EFAMA KPMG Solvency II Report

4.2.3 Data Licensing
4 WORKING GROUP FINDINGS | 31
Requirements
To allow completion of the proposed Quantitative Reporting Templates (QRTs) and
the actuarial analysis required to perform solvency calculations, Solvency II requires
signifi cantly greater data on the assets held by insurers than has been traditionally
utilised. Much of this data can only be sourced from commercial data vendors and
rating agencies such as Bloomberg, Reuters, Standard and Poor’s and Fitch.
The current structure of data licences and the diversity of data required to support
the three pillars of Solvency II, means all data cannot be supplied within a single
data licence and therefore insurers and the suppliers of their asset data need to hold
multiple licences with data vendors. Frequently, these licences allow for signifi cantly
more data to be provided than is required to fulfi l Solvency II requirements.
Figure 4.2.3.a – Types of data sourced from external vendors
.
Types
of data
# data
items
Examples
Instrument 11 Currency (ISO), Maturity date, Identifi er, Name, Strike, CIC, Duration
Geographic 2 Issuer country, Geographical zone of issue
Classifi cations 1 Issuer Sector
Income 2 Dividends, Interest
Valuation 1 Asset Price
Risk 1 Notional for futures and options
Structured 7 Fixed annual return, Callable of putable, Variable annual return
Issuer 4 Issuer name, Counterparty ID, Issuer Group, Counterparty Group
Credit Ratings 2 Name of credit rating agency, Actual external rating
Collateral 3 Collateral type, Underlying asset of securitisation, Group of debtor
Source: HSBC Security Services
Chris Johnson, chris.johnson@hsbc.com
Note: These measures represent a subjective industry interpretation. The ratings do not represent HSBC’s business.
© 2012 KPMG LLP, a UK limited liability partnership, is a subsidiary of KPMG Europe LLP and a member fi rm of the KPMG network of independent member fi rms affi liated with KPMG International
Cooperative, a Swiss entity. All rights reserved.