Tripartite Template for Solvency II reporting (V1)
(Use A3 if printing template)
Introduction
The Solvency II Directive defines among other things solvency capital requirements (SCR) for insurance companies to be applied across all EU Member States. Insurance and reinsurance undertakings are obliged to
assess their economic capital and to use in principle a standard formula for the calculation of the SCR. Moreover, the Solvency II Directive establishes uniform reporting standards which encompass inter alia quantitative
information about investments by insurance and reinsurance undertakings and, unlike the current reporting regime, requires broader reporting of interim figures. In order to support insurance and reinsurance undertakings
which invest in investment funds in fulfilling their reporting and SCR calculation obligations vis-à-vis the authorities, investment management companies have to inform insurance and reinsurance undertakings of the
portfolio composition of the funds managed by them and may need to report data under quantitative reporting templates (QRTs).
The Investment Management Association (IMA) in the UK, BVI in Germany and Club AMPERE, sponsored by the French Asset Management Association (AFG), have therefore established a template for Solvency II
reporting to assist such reporting. The objective of the template shown below is to facilitate the SCR calculation under the standard formula (standard model) and to support data delivery for QRTs. The template affects
investment management companies which exchange data between funds of funds or vis-à-vis insurers. The template may be used for purposes of SCR calculation by the recipient or for purposes of data delivery such as
already calculated SCR values or value changes under the Solvency II scenarios. The coverage of the data exchange is limited to the described types of assets for the time being. If necessary, there could be a need to
extend the format template by adding more fields at a later time. The format template comprises mandatory and optional fields. It has to be taken into account that optional fields are not part of the recommended and
drafted standard and any exchange of optional data may cause additional costs and should be based on individual arrangements.
The template is intended to ensure that investment management companies choosing to use the template should meet the new Solvency II reporting requirements when they come into force on 1 January 2016.
Investment management companies and providers of interfaces vis-à-vis insurer or reinsurer undertakings may therefore take the necessary steps to implement and comply with the format template in good time. The
implementation of the template is subject to the effect of testing and further coordination with IT system suppliers.
[It is still necessary to clarify who will be responsible for further development and procedures for handling new versions of the template, but a review is planned for end of Q4/2014]
Detailed position file
Version dated 12/09/2014
NUM
DATA
DEFINITION
CODIFICATION
COMMENT
IMA COMMENT
Purpose
Required Desirable
Optiona Derivab SCR
le (if not Measures
l
provided)
Portfolio Characteristics and valuation
1
Portfolio identifying data
Identification of the mandate or fund
2
Type of identification code for the fund share or portfolio
Codification chosen to identify the share of the fund
3
Portfolio name
Name of the Portfolio or name of the UCITS
4
Portfolio currency ( B )
Valuation currency of the portfolio
Depend on the type of identification
"CUSIP", "ISIN", "BLOOMBERG",
Empty (in the case of a proprietary
identification code)
Fund or Share Class
√ On IMA Data Exchange table.
Identification
√
The different cases are taken from the QRT specifications Legal identifier (KID)
√ On IMA Data Exchange table.
Identification
√
Alpha (max 255)
Portfolio or Fund or Share Class name
√ On IMA Data Exchange table.
Identification
√
Code ISO 4217
Portfolio or Fund or Share Class currency - reporting
currency
√ On IMA Data Exchange table.
Identification
√
QRT & SCR
Input
√
Identification
Control
√
√
√
For D01
√
For D01
√ On IMA Data Exchange table.
5
Net asset valuation of the portfolio in Portfolio currency
Portfolio valuation
Num ( #0.00)
6
7
Valuation date
Reporting date
Date of valuation (date positions valid for)
Date of reporting (date report produced)
YYYYMMDD
YYYYMMDD
8
Share price
Share price of the fund/share class
Num ( #0.00)
8b
Total number of shares
Total number of shares
Num Tbc
9
% Liquidity (cash)
Amount of liquidity of the fund / total net asset value of the fund in %
Num ( 0.0000#)
10
Portfolio Modified Duration
Weighted average modified duration of portfolio positions
Num ( #0.00)
11
Complete SCR Delivery
y/n
alpha(1)
The current format has to be analysed within the framework
of funds with hedged shares
time delay visible, if valuation date <> reporting date
Add the total number of shares -> next line
example 100% = 1 - Rationale: enable to choose between
SCRs calculation modes - detailed definition to be provided
by French Club Ampere
convention chosen to ease the calculations
Rational : simplify SCRs calculation - detailed definition to be
provided by French Club Ampère
Y = only in case that all SCRs Values are included in the
file. Inform of capacity to deliver SCRs (Flag Y/N)
Clarification required as to return (fund level vs share class)
and reconciliation or otherwise with Field 8 Share Price *
Total Number of Shares.
√ On IMA Data Exchange table.
Used for version control.
Input for fund line on D01.
QRT
Total shares used to calculate above share price (to be
confirmed).
Control
Used in an alterative method of SCR calculation.
Comment to clarify that this is for the top level fund only.
SCR
√
√
Used in proportional approach to SCR calculation & fund
level data on D01.
QRT & SCR
√
√
Control to indicate whether SCR measures provided.
SCR
√
√
√
Instrument codification
√ On IMA Data Exchange table as desirable where licensing
permits.
If not provided then additional information may be required to
enable Insurer to assign.
Sufficient to provide only CIC to three places (2 alpha plus
first level security type) for D4 and SCR purposes (to be
confirmed).
QRT & SCR
Input
Mapped from CIC first level component (XL, XT or ISO 31661-alpha-2 country code).
SCR Input
12
CIC code of the instrument
S2 definition
Code CIC
This codification (cf. CIC Table) would allow to determine :
- the type and the country of the main codification
- the S2 type of instrument
- the S2 subtype of instrument 4 digits
- can be useful to add the source (internal BBG…) : TBC
- Indicative CIC
13
Economic zone of the quotation place
Indication of the economic zone of the quotation place
integer ("0"= non listé / "1"=EEA /
"2"=NON EEA / "3"=NON OCDE)
redundant with CIC code but used as a consolidation criteria
by some participants
- useful for equity SCR - need to provide the detailed
mapping in appendix (Client information)
14
Identification code of the instrument
Identification code of the financial instruments
depend on the type of identification
√ On IMA Data Exchange table.
Identification
√
√ On IMA Data Exchange table.
Identification
√
Subject to entity/system approach.
Identification
√ On IMA Data Exchange table,.
Identification
√
Subject to entity/system approach.
Identification
√
15
Type of identification code for the instrument
Codification chosen to identify the instrument
"CUSIP", "ISIN", "BLOOMBERG",
"REUTERS", "TELEKURS", Empty in
the case of a proprietary codification)
16
Identification of instrument leg
grouping code for operations on multi leg instruments
Alphanum (max 255)
17
Instrument name
instrument name
Alpha (max 255)
17b
Asset / Liability
Assetl/Liability identification if needed
18
Quantity
Number of instruments on position
"A" or "L" or "NA" if values are
directionnal values
Num ( #0.0000#)
19
Nominal amount
Quantity * nominal unit amount
Num ( #0.0000#)
same code for the different legs : used for swaps, and
possibly for pensions
limited number of digits maximum 255 digits
√
√
Valuations and exposures
NA if not used
Signed quantity to segregate long/short positions
Signed quantity to segregate long/short positions
-Instrument currency (local currency)
Used in SCR calculations.
SCR Input
√
√ On IMA Data Exchange table.
SCR Input
√
20
Contract size for derivatives
index * tick size * quotity
Num (#0)
Used in SCR calculations.
SCR Input
√
21
Cotation currency (A)
currency of cotation for the instrument
Code ISO 4217
√ On IMA Data Exchange table [currency of denomination].
SCR Input
√
22
Market valuation in cotation currency ( A )
Market valuation of the position accrued interest included in cotation currency
Num ( #0.0000#)
Enables first principal calculation within SCR.
SCR Input
√
Required to derive accrued income if not provided separately.
SCR Input
√
23
Clean market valuation in cotation currency (A)
Market valuation of the position accrued interest excluded in cotation currency
2014-09-12_Solvency II Tripartite Formate Template_final draft - Detailed inventory
Num ( #0.0000#)
duplication of data for equity or any kind of instrument
without accrued interest calculation when traded
Page 1 /4
Tripartite Template for Solvency II reporting (V1)
(Use A3 if printing template)
24
Market valuation in portfolio currency (B)
Market valuation of the position accrued interest included in portfolio currency
Num ( #0.0000#)
25
Clean market valuation in portfolio currency (B)
Market valuation of the position accrued interest excluded in portfolio currency
Num ( #0.0000#)
26
Valuation weight
Market valuation in portfolio currency / portfolio net asset value in %
Num ( 0.0000#)
27
Market exposure amount in cotation currency (A)
Market exposure amount different from market valuation for derivatives
(valuation of the equivalent position on the undelying asset)
Num ( #0.0000#)
28
Market exposure amount in portfolio currency (B)
29
Market exposure amount for leg 2 in quotation currency of the
underlying asset ( C )
30
Market Exposure in weight
Market exposure for leg 2 weight over NAV
31
Market exposure amount different from market valuation for derivatives
(valuation of the equivalent position on the undelying asset) in the cotation
currency of the portfolio
Market exposure amount different from market valuation for derivatives
(valuation of the equivalent position on the undelying asset) in the quotation
currency of the underlying asset
√ On IMA Data Exchange table [monetory value or % of
QRT & SCR
Input
√
Required to derive accrued income if not provided separately.
SCR Input
√
√ On IMA Data Exchange table [monetory value or % of
NAV].
SCR Input
√
Enables first principal calculation within SCR.
SCR Input
NAV].
duplication of data for equity or any kind of instrument
without accrued interest calculation when traded
100 %=1
- including liquidity
Necessary data to calculate the SCR in the case of an open
fund
For equity future contracts and index futures contracts this
data is calculated depending on the characteristics of the
contract and of the index value.
For the equity future contracts this data is equal to the
exposure resulting on the cheapest to deliver
Num ( #0.0000#)
Former data converted in the portfolio currency
√ On IMA Data Exchange table [monetory value or % of
NAV].
SCR Input
Num ( #0.0000#)
only for fx forwards, negative amount for leg 2
Subject to entity/system approach.
SCR Input
Exposure valuation in portfolio currency / portfolio net asset valuation in %
Num ( 0.0000#)
Necessary data to determine the market exposure arising
from the derivativeswithin the framework of open funds
√ On IMA Data Exchange table [monetory value or % of
SCR Input
Exposure valuation for leg 2 in portfolio currency / portfolio net asset valuation
in %
Num ( #0.0000#)
only for fx forwards, negative amount for leg 2
Subject to entity/system approach.
SCR Input
NAV].
√
√
√
√
√
√
√
Instrument characteristics & analytics
Interest rate instruments characteristics
Interest rate type
TF = fixed coupon rate
TR = revised coupon rate
TV = variable coupon rate
"Fixed" (taux fixe), "variable" (taux
revisable), "floating" (Variable)
For step up bonds only ongoing period characteristics are
entered
Identification flag, IMA table showed basis.
SCR Input
√
33
Coupon rate
Fixed rate : coupon rate as a percentage of nominal amount
Revided rate : last fixing rate + margin as a percentage of nominal amount
Variable rate : estimation of current rate over the period + margin as a
percentage of nominal amount
all rates are expressed on an annual basis
Num ( 0.0000#)
example 100% = 1
convention chosen to ease the calculations
√ Effectively on IMA Data Exchange table by virtue of
component disclosure.
SCR Input
√
34
Identification type for interest rate index
Type of codification used for interest rate index
"BLOOMBERG", empty (if internal
codification)
SCR Input
√
SCR Input
√
SCR Input
√
SCR Input
√
√ On IMA Data Exchange table.
SCR Input
√
√ On IMA Data Exchange table.
SCR Input
√
Required for SCR shock calculations.
SCR Input
√
Required for SCR shock calculations.
SCR Input
√
SCR Input
√
SCR Input
√
SCR Input
√
SCR Input
√
32
35
Interest rate reference identification
identification code for interest rate index
Depend on the identification type of
the indicator
36
Interest rate index name
name of interest rate index
Alpha (max 255)
37
interest rate Margin
Facial margin as a percentage of nominal amount on an annual basis
Num ( 0.0000#)
38
Coupon payment frequency
number of coupon payment per year
1= annual
2= biannual
4= Quarterly
12= Monthly
Integer ("1"= Annuel / "2"= Semestriel
/ "4"=Trimestriel / "12"= Mensuel)
39
Maturity date
Last redemption date
YYYYMMDD
"Bullet", "Sinkable", empty if non
applicable
Num ( 0.0000#)
40
Redemption profile
Type of redemption payment schedule : bullet, constant annuity…
41
Redemption rate
42
Callable / putable
Redemption amount in % of nominal amount
embedded option B for both
C = Call
P = Put
empty if none
43
Date de call / put
Next maturity date of embedded options
YYYYMMDD
44
Issuer / bearer option exercice
I : issuer
B : bearer
Alpha(1) ("I "= Issuer / "B" = bearer)
45
Strike price for embedded (call/put) options
strike price for embedded options expressed as a percentage of the nominal
amount
Num ( 0.0000#)
name of the issuer
Alpha (max 255)
depend on identification type
Alpha() ("LEI" or empty if internal
codification)
Alpha (max 255)
depend on identification type
Alpha() ("LEI" or empty if internal
codification)
Alpha(1)( "C" = Call / "P" = Put)
√ Effectively on IMA Data Exchange table by virtue of
signed ammount
Final maturity date for interest rate or derivatives
"99999999" for perpetual bonds
1=100%
component disclosure.
√ Effectively on IMA Data Exchange table by virtue of
component disclosure.
√ Effectively on IMA Data Exchange table by virtue of
component disclosure.
√ Effectively on IMA Data Exchange table by virtue of
component disclosure.
Enter the characteristics of the shorter maturity option in case
√ On IMA Data Exchange table.
of various options. Empty if no options
First or next call/put date, required for SCR shock
calculations.
to confirm if needed. (Ie is there any instrument with a put
that could be exercised by the issuer ( capital increase
To be confirmed, are there any examples that would justify
operation at a predefined price, triggered by the issuer of a
bond) or a call that could be exercised by the bearer ( capital inclusion?
increase operation at a predefined price, triggered by the
bearer).
Required for SCR shock calculations.
Issuer data
46
Issuer name
47
Issuer identification code
identification code of the issuer
48
Type of identification code for issuer
LEI, internal or financial information provider code
49
50
Name of the group of the issuer
Identification of the group
Name of the highest parent company
Identification code of the group
51
Type of identification code for the issuer group
LEI, internal or financial information provider code
52
Issuer country
Country of the issuer company
Code ISO 3166-1 alpha 2
53
Issuer economic area
economic area of the Issuer
1=EEA / 2=NON EEA / 3=NON OCDE
integer ( "1"=EEA / "2"=NON EEA /
"3"=NON OCDE / "4"=SUPRA)
√
SCR Input
√
Concentration risk input.
Concentration risk input.
SCR Input
SCR Input
√
√
Only LEI can be used to product QRT
Concentration risk input.
SCR Input
√
Be careful specific format for supra-national
organisations and EU Institutions depending on the last
QRT specifications
- real estate investment also - warning:EIOPA mapping for
QRTs is different (not code ISO)
√ On IMA Data Exchange table.
QRT & SCR
Input
√
Mapped from above field.
QRT & SCR
Input
Non informed for derivatives
Be careful the NACE format must be ajusted to take the
last QRT specifications into account
SCR Input
Required for SCR calculation.
SCR Input
√
√ On IMA Data Exchange table as identification of Asset
Backed Securities.
SCR Input
√
Data used to identify the stocks guaranteed by a country
Agreed required for SCR input - IMA to consider further.
SCR Input
√
55
Covered / not covered
used for mortgage covered bonds and public sector covered
Alpha(2) ("C" = Covered / "NC" = Non
bonds (art 22 UCITS directive 85/611/EEC)
Convered)
- option to be confirmed: to add the guarantor name
56
Securitization
Alpha (1) ("Y" = yes "N"= no
Explicit garantee by the country of issue
Alpha (1) ("Y" = yes "N"= no
used for synthetic ABS (synthetic asset backed securities,
CDO etc.)
- for Structured Products only
58
Subordinated debt
Subordinated or not ?
Alpha (1) ("Y" = yes "N"= no
for Structured Products only
√ On IMA Data Exchange table [with indication of seniority
58b
Nature of the TRANCHE
Tranche level (senirotiy…)
Alpha
additionnal line for the nature of the tranche free value
alphanumeric
√ On IMA Data Exchange table.
2014-09-12_Solvency II Tripartite Formate Template_final draft - Detailed inventory
√
Clarification on SCR use required - believe it is optional given
other security information available.
Economic sector
Y = Garanteed
N = without garantee
Code NACE
SCR Input
√ On IMA Data Exchange table.
Only LEI can be used to product QRT
54
57
Economic sector
√ On IMA Data Exchange table, need to be clear that this is
populated with either issuer or counterparty depending on
instrument type.
√ On IMA Data Exchange table.
see below].
√
SCR Input
√
SCR Input
√
Page 2 /4
Tripartite Template for Solvency II reporting (V1)
59
Credit quality step
Rating "CQS" of the issuer or of the issue
num (1) ( "1" = AAA, "2"=AA, "3"=A,
"4"=BBB, "5"=BB, "6"=B, "7"=CCC or
lower, "8"=unrated)
indication du type d'option
C = Call
P = Put
Alpha(1)( "C" = Call / "P" = Put)
Cf EIOPA specifications
- may be subject to licensing - commercial decision
(Use A3 if printing template)
Possible where entity has inernal credit
assessment/assignment but commerical/liability
considerations.
SCR Input
√
SCR Input
√
Derivatives / additional characteristics for options legs
60
Call / Put
61
Strike price
62
Conversion factor (convertibles)/ concordance factor (derivé
taux) / parity (options)
63
Maturity date
maturity date
64
Exercice type
65
Hedge strategy
AMerican, EUropean, ASiatic, BErmudian
Alpha (2)("AM", "EU", "AS", "BE")
indication of existing hedge program ( Y = the position is systematicaly rolled at
Alpha (1) ("Y" = yes "N"= no)
maturity, N = no systematic roll at maturity)
66
Hedge factor of instrument
Strike price expressed as the cotation of the underlying asset
Num ( #0.0000#)
√ IMA table uses same data column as other securities that
have callable/putable features.
currency of issue - underlying local currency
Num ( #0.0000#)
Num ( 0.0000#)
SCR Input
√
√ On IMA Data Exchange table.
SCR Input
√
SCR Input
√
√ IMA table uses same data column as other securities that
have maturity/expiry date.
√ On IMA Data Exchange table.
√ IMA table data field is Y to indicate position has been taken
for hedging purposes, blank otherwise.
AAAAMMJJ
hedge factor of existing hedge item
√ IMA table includes additional data column for currency of
strike price.
SCR Input
√
SCR Input
√
between 0 and 1 (50% = 0,5 for a half year hedge)
- if the hedge strategy (65) "YES", than "1" for 100%
- if the hedge strategy (65) "NO", than value between "0" and
"1" (e.g. full hedge until next maturity (in 3M) and no high
Subject to review - likely to be removed.

probability for roll
is the hedge strategy not documented then “0”
Derivatives / additional characteristics on the underlying asset
67
CIC code of the underlying asset
S2 definition
Code CIC - Alpha(4)
This codification (cf. CIC Table) would allow to determine :
- the type and the country of the main codification
- the S2 type of instrument
- the S2 subtype of instrument
Desirable where available and license permits.
As previous - sSufficient to provide only CIC to three places
(2 alpha plus first level security type) for SCR purposes (to be
confirmed).
SCR Input
68
Identification code of the underlying asset
identification code of underlying asset
Depend on identification type
Depand on the following field
Indicators identification to be specified
√ On IMA Data Exchange table.
SCR Input
√
√ On IMA Data Exchange table.
SCR Input
√
√ On IMA Data Exchange table.
SCR Input
√
This field would be used to determine the forex risk exposure
related to the underlying of a convertible. This case is not
√ On IMA Data Exchange table.
detailed in the technical specifications of the QIS5
SCR Input
√
69
Type of identification code for the underlying asset
name of the codification used for identification of the underlying asset
70
Name of the underlying asset
Name
"CUSIP", "ISIN", "BLOOMBERG",
"REUTERS", "TELEKURS", Empty (in
case of a proper codification)
Alpha (max 255)
71
cotation currency of the underlying asset( C )
currency of cotation for the asset
Code ISO 4217
72
Last valuation price
Last valuation price of the underlying asset
Num ( #0.0000#)
73
Country of quotation of the underlying
Country of quotation of the underlying asset
Code ISO 3166-1 alpha 2
74
Country of quotation
integer ("0"= non listé / "1"=EEA /
"2"=NON EEA / "3"=NON OCDE)
75
coupon rate
economic area of quotation
0= non listed, listed 1=EEA / 2=NON EEA / 3=NON OCDE
Fixed rate : coupon rate as a percentage of nominal amount
all rates are expressed on an annual basis
number of coupon payment per year
1= annual
2= biannual
4= Quarterly
12= Monthly
Last redemption date
YYYYMMDD
76
coupon payment frequency
77
Maturity date
Num ( 0.0000#)
Integer ("1"= Annuel / "2"= Semestriel
/ "4"=Trimestriel / "12"= Mensuel)
78
Redemption profile
Type of redemption payment schedule : bullet, constant annuity…
79
Redemption rate
Redemption amount in % of nominal amount
Num ( 0.0000#)
80
Issuer name
name of the issuer
Alpha (max 255)
81
Issuer identification code
identification code of the issuer
Depend on the nomenclature used
Type of issuer identification code
LEI, internal or financial information provider code
Depend on the nomenclature used
83
Name of the group of the issuer
Name of the highest parent company
Alpha() ("LEI" or empty if internal
codification)
84
Identification of the group
Identification code of the group
Depend on the nomenclature used
85
Type of the group identification code
LEI, internal or financial information provider code
Alpha() ("LEI" or empty if internal
codification)
86
Issuer country
Country of the issuer company
Code ISO 3166-1 alpha 2
economic aera of the Issuer
1=EEA / 2=NON EEA / 3=NON OCDE
Y = Garanteed
N = without garantee
integer ( "1"=EEA / "2"=NON EEA /
"3"=NON OCDE / "4"=SUPRA)
87
88
89
Issuer economic aera
Explicit garantee by the country of issue
Credit quality step
Credit quality step as defined by S2 regulation
to be entered if the underlying is an interest rate - optional
Secondary level security detail may be required where other
information not provided.
SCR Input
√
Secondary level security detail may be required where other
information not provided.
SCR Input
√
SCR Input
√
SCR Input
√
SCR Input
√
SCR Input
√
SCR Input
√
SCR Input
√
SCR Input
√
SCR Input
√
SCR Input
√
Secondary level security detail may be required where other
information not provided.
SCR Input
√
Secondary level security detail may be required where other
information not provided.
SCR Input
√
Secondary level security detail may be required where other
information not provided.
SCR Input
√
SCR Input
√
SCR Input
√
SCR Input
√
SCR Input
√
Secondary level security detail may be required where other
information not provided.
Secondary level security detail may be required where other
information not provided.
optional
"Bullet", "Sinkable", empty if non
applicable
82
most recent price of the underlying asset - optional
- linked to the question of the rationale to provide greeks
data in the file
This field would be used to determine the action risk
exposure of convertible bonds. Same codification to the first
2 characters of the CIC table. - optional
optional
√
Alpha (1) ("Y" = yes "N"= no
num (1) ( "1" = AAA, "2"=AA, "3"=A,
"4"=BBB, "5"=BB, "6"=B, "7"=CCC or
lower, "8"=unrated)
Secondary level security detail may be required where other
information not provided.
Final maturity date for rate instruments or derivatives optional
optional
1=100% - optional
optional
optional
optional
In the end the unique identification should be the LEI. Othe
identifications are possible, such as the BIC code.
Nevertheless these identifications would not be free of
copyright - optional
optional
In the end the unique identification should be the LEI. Other
identifications are possible, such as the BIC code.
Nevertheless these identifications would not be free of
copyright.
optional
optional
optional
Data used to identify the stocks guaranteed by a country optional
Cf EIOPA specifications - optional
Secondary level security detail may be required where other
information not provided.
Secondary level security detail may be required where other
information not provided.
Secondary level security detail may be required where other
information not provided.
Secondary level security detail may be required where other
information not provided.
Secondary level security detail may be required where other
information not provided.
Secondary level security detail may be required where other
information not provided.
Secondary level security detail may be required where other
information not provided.
Secondary level security detail may be required where other
information not provided.
Secondary level security detail may be required where other
information not provided.
Secondary level security detail may be required where other
information not provided.
Analytics
90
91
Modified Duration at maturity date
Modified duration at next option exercice date
Num ( #0.00)
Num ( #0.00)
92
Credit sensibility
Num ( #0.00)
93
Sensibility at underlying asset price variation (delta)
Sensibility to the underlying asset
Num ( #0.00)
94
Convexity
Convexity
Num ( #0.00)
94b
Vega
Num ( #0.00)
Modified duration based on dirty price
Modified duration based on dirty price at next option
Derivative of the dirty price by credit spread, divided by the
dirty price
To be confirmed : either standard delta definition ( derivative
of the option price by the underlying instrument price divided
by the price of the underlying instrument) or leverage (
derivative of the option price by the underlying instrument
price divided by the price of the option).
Standard convexity calculation
Derivative of the price of the optional instrument by the
volatility
√ On IMA Data Exchange table.
Alternative basis?
SCR Input
SCR Input
Derived price using spread divided by dirty price.
SCR Input
√ On IMA Data Exchange table.
SCR Input
Rate of change of yield across yield curve.
SCR Input
√ On IMA Data Exchange table.
√
√
√
√
√
√
Transparency
2014-09-12_Solvency II Tripartite Formate Template_final draft - Detailed inventory
Page 3 /4
Tripartite Template for Solvency II reporting (V1)
Only for a first and unique level of look-trough
(Use A3 if printing template)
Identifies second level and below funds (fund of funds)
included in look-through data.
optional - percentage of
optional - percentage of
optional - percentage of
optional - percentage of
optional - percentage of
optional - percentage of
optional - percentage of
optional - percentage of
optional - percentage of
SCR result from standard model calculation.
SCR result from standard model calculation.
SCR result from standard model calculation.
SCR result from standard model calculation.
SCR result from standard model calculation.
SCR result from standard model calculation.
SCR result from standard model calculation.
SCR result from standard model calculation.
SCR result from standard model calculation.
95
Identification of the original portfolio for positions embedded in
Isin code of the fund
a fund
97
98
99
100
101
102
103
104
105
SCR Mrkt IR up weight over NAV
SCR Mrkt IR down weight over NAV
SCR_Mrkt_Eq_type1 weight over NAV
SCR Mrkt Eq type2 weight over NAV
SCR_Mrkt_Prop weight over NAV
SCR_Mrkt_Spread_bonds weight over NAV
SCR Mrkt Spread structured weight over NAV
SCR_Mrkt_Spread_derivatives_up weight over NAV
SCR_Mrkt_Spread_derivatives_down weight over NAV
Capital requirement for interest rate risk for the "up" shock
Capital requirement for interest rate risk for the "down" shock
Capital requirement for equity risk - Type 1 *)
Capital requirement for equity risk - Type 2 *)
Capital requirement for property risk
Capital requirement for spread risk on bonds
Capital requirement for spread risk on structured products
Capital requirement for spread risk - credit derivatives (upward shock)
Capital requirement for spread risk - credit derivatives (downward shock)
106
Asset pledged as collateral
Indicator used to identify the underrighted instruments (ASD1)
to be specified
optional - needed for segregated account
107
Place of deposit
Instruments' place of deposit (ASD1)
to be specified
optional - needed for segregated account
108
Participation
Indicator used to identify the guidelines of participation in accountancy terms
to be specified
optional - needed for segregated account
110
Valorisation method
valorisation method (cf specifications QRT) (ASD1)
to be specified
optional - needed for segregated account
111
Average price of acquisition
Average price of acquisition (ASD1)
to be specified
optional - needed for segregated account
112
Credit rating
Rating of the counterparty / issuer (cf specifications QRT) (ASD1)
to be specified
optional - needed for segregated account
113
Rating agency
Name of the rating agency (cf specification QRT) (ASD1)
to be specified
optional - needed for segregated account
EEA or OECD or RoW
D4 (redundant with issuer economic aera but with different
codification)
ISIN
SCR Input
√
Contributions to SCR
Num ( 0.0000#)
Num ( 0.0000#)
Num ( 0.0000#)
Num ( 0.0000#)
Num ( 0.0000#)
Num ( 0.0000#)
Num ( 0.0000#)
Num ( 0.0000#)
Num ( 0.0000#)
portfolio NAV ( 100 %=1)
portfolio NAV ( 100 %=1)
portfolio NAV ( 100 %=1)
portfolio NAV ( 100 %=1)
portfolio NAV ( 100 %=1)
portfolio NAV ( 100 %=1)
portfolio NAV ( 100 %=1)
portfolio NAV ( 100 %=1)
portfolio NAV ( 100 %=1)
SCR
SCR
SCR
SCR
SCR
SCR
SCR
SCR
SCR
√
√
√
√
√
√
√
√
√
QRT
√
QRT
√
QRT
√
QRT
√
QRT
√
QRT
√
QRT
√
QRT
√
For D04
√
√
√
√
√
√
√
√
√
Additional information (QRT)
114
Geographic zone of issue - (issuer economic aera for D4)
Belongs in the instrument section as it is the zone of issue of the holdings
Not relevant for look-through reporting/SCR.
Fund investment holding/instrument level.
Not relevant for look-through reporting/SCR.
Fund investment holding/instrument level.
Not relevant for look-through reporting/SCR.
Fund investment holding/instrument level.
Not relevant for look-through reporting/SCR.
Fund investment holding/instrument level.
Not relevant for look-through reporting/SCR.
Fund investment holding/instrument level.
Not relevant for look-through reporting/SCR.
Fund investment holding/instrument level.
Not relevant for look-through reporting/SCR.
Fund investment holding/instrument level.
Not relevant for look-through reporting/SCR.
Required for D01 Fund line item (alternative source
available).
Additional Information Portfolio Characteristics (QRT)
115
Fund Issuer Code
LEI or Pre LEI - of Issuer of Fund or Share Class
D1
116
Fund Issuer Code Type
LEI, Pre-LEI or null return
D1
117
Fund Issuer Name
Issuer of Fund or Share Class
D1
118
Fund Issuer Sector
NACE code of Issuer of Fund or Share Class
119
Fund Issuer Group Code
LEI or Pre LEI - of Ultimate Parent of Issuer of Fund or Share Class
120
Fund Issuer Group Code Type
LEI, Pre-LEI or null return
121
Fund Issuer Group name
Ultimate parent of issuer of Fund or Share Class
122
Fund Issuer Country
Country ISO of Issuer of Fund or Share Class
123
Fund CIC code
CIC code - Fund or Share Class (4 digits)
Not relevant for look-through reporting/SCR.
Required for D01 Fund line item (alternative source
available).
Not relevant for look-through reporting/SCR.
Required for D01 Fund line item (alternative source
available).
Not relevant for look-through reporting/SCR.
Required for D01 Fund line item (alternative source
available).
Not relevant for look-through reporting/SCR.
Required for D01 Fund line item (alternative source
available).
D1
-detailed definition needed : per category such as property /
derivatives (counterparty location)
D1
to be confirmed since this introduces discrepancies between Not relevant for look-through reporting/SCR.
how funds and other instruments are reported (is the the LEI Required for D01 Fund line item (alternative source
of the fund or the LEI of the Issuer/ asset management
available).
company that should be reported)
Not relevant for look-through reporting/SCR.
D1
Required for D01 Fund line item (alternative source
available).
Not relevant for look-through reporting/SCR.
D1
Required for D01 Fund line item (alternative source
available).
Not relevant for look-through reporting/SCR.
D1
Required for D01 Fund line item (alternative source
available).
D1 - Remark: first two digits are expected to be XL ( not
Not relevant for look-through reporting/SCR.
country code)
Required for D01 Fund line item (alternative source
-further discussion to be held regarding CIC normlization
available).
effort
Where provided this needs to be the full CIC.
QRT
√
For D01
QRT
√
For D01
QRT
√
For D01
√
For D01
√
For D01
√
For D01
QRT
√
For D01
QRT
√
For D01
Not relevant for look-through reporting/SCR.
Required for D01 Fund line item (alternative source
available).
QRT
√
For D01
123
Fund Custodian Country
First level of Custody - Fund Custodian
124
Duration
if more than 50% bonds invested - Fund modified Duration (Residual modified
duration)
D1 - Residual modified duration - to be discussed
125
Accrued Income (Security Denominated Currency)
Amount of accrued income in security denomination currency at report date
126
Accrued Income (Portfolio Denominated Currency)
Amount of accrued income in portfolio denomination currency at report date
2014-09-12_Solvency II Tripartite Formate Template_final draft - Detailed inventory
√
For D01
QRT
D1
to be confirmed since this introduces discrepancies between
Not relevant for look-through reporting/SCR.
how funds and other instruments are reported (is it the
Required for D01 Fund line item (alternative source
country of the custodian of the assets held by the fund or the
available).
country where the shares are held incustody by the investors
?). The latter scenario should include registrar schemes.
Control value as market values provided both including and
excluding accrued income.
Control value as market values provided both including and
excluding accrued income.
√
For D01
To be discussed
√
To be discussed
√
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