Data to Support Pillar I and Pillar III Requirements
We provide high quality reference data on more than 10 million financial instruments, and collect, edit, maintain and deliver pricing and pricing-related data from more than 450 markets and exchanges around the globe. The combination of this high quality reference and pricing data, coupled with proven analytics, can help your firm manage the transition to Solvency II and maintain ongoing compliance.
| Data Needed to Estimate Market risk |
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| Equity risk |
| Forex risk |
| Interest rate risk |
| Credit risk |
| Concentration risk |
| Illiquidity risk |
| Data Required to Estimate Default Risk |
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| Counterparty default risk |
| Concentration default risk |
A unique approach to addressing Solvency II compliance
Our Solvency II approach delivers unparalleled breadth and depth of cross-asset data to help asset managers and their insurance clients with their compliance obligations by providing:
- Extensive high-quality asset data required to support the Minimum Capital Requirement (MCR) and Solvency Capital Requirement (SCR) calculation process under Pillar I requirements
- Additional asset data requirements specific to Quantitative Reporting Templates (QRTs) under Pillar III
A number of key data attributes and service capabilities required to support Pillar I and Pillar III requirements are also included in our Solvency II data solution.
| Integrated CIC Code |
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| Legal Entity NACE code Identifier (LEI) ISO 17442 |
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| NACE code |
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| Market - leading fixed income evaluations and Related Analytics |
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| Integrated, market leading market and reference data |
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The Solvency II product fully leverages our global expertise in reference data and income data collection. Fixed income data is sourced from prospectuses for better accuracy and completeness of data.
LOOK-THROUGH DATA VIA Our PARTNERSHIP WITH MORNINGSTAR
We've partnered with Morningstar, a leading investment research firm and data provider with established, full security-level fund portfolio disclosure relationships with global asset managers, to assist your firm with its Pillar I Market Risk SCR calculations and Pillar III asset data reporting requirements by offering a fully standardized and streamlined source of fund look-through data. Attributes in this offering include those captured in the Tripartite template.
- Detailed fund exposures to individual equity, bond, cash and other securities.
- Multi-layer fund look-through
- Built on industry-leading portfolio collection
- Consistent methodology across global funds
- Bespoke data permissioning system
- Superior timeliness & data quality
- Seamless bundling with third-party data
- Unified, consistent, easy-to-integrate solution
Morningstar Solvency II Solution
Fund Full Holdings & Fund Look-Through
The combined ICE Data Services & Morningstar Solution
| Data Type | Details 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 | Interest rate type, annual coupon rate, interest rate inddex, margin, coupon frequency |
| Fixed income Terms & Conditions | 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 Identifier | 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 |
Our independent and industry-leading evaluated pricing service is an integral component of the Solvency II data service, providing evaluated prices for fixed income instruments which do not trade frequently. 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 levels of capital required
Interested in our Data Solutions?