Thomson Reuters has pulled together the datasets required by insurance companies and asset managers to comply with the capital adequacy and disclosure obligations of Solvency II. The company’s Solvency II Data Service is available through the Thomson Reuters DataScope Select delivery platform and falls in line with company strategy to support clients with reference data required for regulatory disclosure.
The data service includes both Thomson Reuters and third-party data, and is offered on a modular basis to allow customers to subscribe only to the data they need to comply with Solvency II.
The company provides datasets including instrument and issuer classifications such as Complimentary Identification Codes and NACE industry sector codes used by the European Commission and required for Solvency II assessments and disclosures. The ‘look through’ requirements of the regulation are met using fund information from the Thomson Reuters Lipper database. Also accessible as part of the service are Thomson Reuters identification codes that are required for mapping and reporting using the regulation’s quantitative report templates, and independent evaluated pricing with specific Solvency II attributes to support minimum capital requirement and solvency capital requirement calculations.
Third-party data providers to the Thomson Reuters Solvency II Data Service are Tullett Prebon and Allianz, which are providing benchmark curves to support the valuation of assets and liabilities as required by Solvency II.
Acknowledging the January 2016 start date for quarterly disclosure reports under Solvency II, Tim Lind, global head of financial regulation solutions at Thomson Reuters, says: “We are seeing an uptick in preparations for quarterly reporting and the market appetite for Solvency II information continues to grow, driving the need for granular, transparent and accurate pricing and reference data.”
While Thomson Reuters’ Solvency II Data Service is very much about data input for Solvency calculations, Lind says the company is considering extending the service to calculate capital charges using the regulation’s standard assessment model. He explains: “Many insurance firms are expected to develop and use their own internal models to avoid the large capital requirements that may result from calculations using the standard model, so if we made calculations using the standard model they would most likely be used as a control feature in clients’ own calculations.”
Meantime, Lind notes that the Solvency II data service is being implemented by a number of insurance firms and asset managers in Europe, and that it joins a growing portfolio of solutions dedicated to regulatory compliance. He says: “Not only does the Solvency II data service add to Accelus Risk Manager, our risk management and Own Risk and Solvency Assessment risk modelling solution, but it also builds on the growing portfolio of solutions we have around Fatca, FRS, Financial Transaction Tax and Dodd-Frank.” Among other regulations that Thomson Reuters is targeting with a data service for compliance is BCBS 239, a Basel Committee regulation that requires the same market inputs as Solvency II to calculate capital charges.