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
Equity risk
Forex risk
Interest rate risk
Credit risk
Concentration risk
Illiquidity risk

Data Required to Estimate Default Risk
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
  • New standard for Solvency II used for QRT reporting
  • Cross referenced to a comprehensive range of security identifiers for ease of implementation
  • Entire CIC universe is checked daily for consistency against our latest reference data updates
Legal Entity NACE code Identifier (LEI) ISO 17442
  • Fully mapped to the entity legal name, the entity group and across the relevant security level data, including underlying assets (for convertible instruments)
NACE code
  • Managed by ICE Data Services using a wide range of authoritative company data, and tracking global Mergers and Acquisitions events that may affect the NACE classification
  • Fully cross referenced to entities and underlying securities via a wide range of official coding
Market - leading fixed income evaluations and Related Analytics
  • Evaluated pricing for approximately 2.7m securities per day
  • Fair-Value Information
  • Duration
    • Convexity
    • Option-adjusted
    • Spreads
    • Key Rates
    • Yield
  • Analytics
  • Issuer Credit Curves
  • Credit Derivatives
  • Swaps
Integrated, market leading market and reference data
  • Equities
  • Bonds
  • Funds
  • Futures
  • Options
  • Structured
    • Attachment/ Detachment
    • Collateral
    • Prepayment
  • Swaps
    • Swap inflow/outflow
    • Sensitivity

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.


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 TypeDetails of Data type
CICSecurity level identifier (developed specifically for the Solvency II regulation)
NACEEntity level industrial sector
LEI and issuer level dataIssuer identifier
Parent Group (ultimate parent linkage)Ultimate parent of issuer
DurationRisk Analytical data
Z spreadRisk Analytical data
Valuation yield & convexityRisk Analytical data
Fixed income Terms & ConditionsInterest rate type, annual coupon rate, interest rate inddex, margin, coupon frequency
Fixed income Terms & ConditionsMaturity date, redemption type, redemption rate, callable/puttable, subordinated debt flag
Warrants and options dataStrike price
General reference dataIncorporation of issuer
General reference dataInstrument name
Security IdentifierISIN and CUSIP®
PriceOnly when instrument is convertible, and only for the instrument the instrument converts into
RatingsS&P, Moody's and Fitch
Fund level data 

Integrated Evaluated Prices

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

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