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Solvency II Tripartite Data Exchange Table

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 SCR. Moreover, the Solvency II Directive establishes uniform reporting standards which encompass 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 obligations to 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 (QRT).

BVI in Germany, club AMPÈRE (sponsored by the French asset management association) and The Investment Association in the UK have taken the initiative to develop a template to assist with Solvency II reporting. Assogestioni, VOÏG, DUFAS and ALFI also joined the initiative, which was also supported by EFAMA.

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 and 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 and comprises mandatory and optional fields. Users of this template should take into account any optional fields are not part of the recommended and drafted standard and exchange of such data may cause additional costs and should be based on individual arrangements.

Where appropriate and in accordance with a particular fund's structure the template is designed to be reported at the share class level. In the scenario where multiple investment share classes are available data in the template should be presented at that level to enable the insurance entity to correctly represent the look-through on their investment in a particular share class.