Solvency II regulated insurance and re-insurance undertakings require among others to calculate Solvency Capital Requirements (SCR) of assets by applying a sufficient level of look-through of investment funds.

In order to facilitate the exchange of regulatory relevant fund holdings data, three associations, the BVI in Germany, the club AMPÈRE, sponsored by the French Asset Management Association, and The Investment Association in the UK have introduced the so-called Solvency II Tripartite Template (TPT), that defines the content and format with which portfolio look-through data can be delivered from asset managers to insurers. Over the past years the TPT format has became a clearly established market standard and numerous further associations have joined its development.

TPT reports of funds serve two main purposes. First, TPT reports contain all information of investment funds that are necessary for insurers to produce regulatory required QRT reports on a quarterly basis. Second, TPTs contain information on fund holdings level to enable insurers to calculate relevant SCR figures. Note that as an important component, TPTs also contain so-called ‘indicative SCR’ figures calculated by asset managers or their service providers, respectively. As SCR calculations may become quite complex (e.g. fund-of-fund and derivative structures, various hedging mechanisms etc) a reconciliation between the indicative SCR figures in TPTs and SCR figures calculated by insurers is a meaningful way to ensure a high quality and independent risk assessment of investment funds.

TPT Production

We produce and disseminate TPT reports for numerous clients ranging from boutique style asset managers to global tier-1 asset managers.

SCR Calculation

Our SCR calculation service includes modelling of complex derivatives and fund-of-fund structures.

QRT and other Reports

We provide a variety of further reports including QRT, Lloyd’s QAD template and others.

TPT production

In the core of our business model is the ‘full-service-approach’ philosophy that includes the production of regulatory fund reports, report dissemination and investor consulting.

Our operational product model is to build robust data interfaces to client specific data obtained from custodians, administrators and internal accounting systems as well as from external data sources. The data interfaces allow for input data validation, transformation of client specific data into our standardised format and subsequent production and testing of a variety of regulatory reports. These include Solvency II TPT, QRT, QAD and various further regulatory fund reports. We ensure the highest quality level of our reports with automated input and output data validations and with advanced regulatory analytics including SCR computations as well as multi-level look-through capabilities. The regulatory reports we produce are disseminated through our online platform that is designed to handle different NDA setups and investor specific subscriptions. We handle end investors’ queries directly to facilitate efficient communication and timely solutions as part of our standard service.

SCR calculation

We provide SCR calculation of all holdings, including OTC products, complex derivatives and third party funds. If necessary, before going live, we reconcile results in dialogue with product specialists and portfolio managers to ensure high level of client acceptance. Moreover, our offering includes various further Solvency II related services including SCR Factsheets production and SCR figures filing in openfunds format.

QRT reporting

Various asset managers are requested by insurers to provide fund holdings data in QRT format, such as the template S.06.02, S.07.01, S.08.01, S.08.02, S.09.01, S.06.03, S.10.01, S.11.01, S.26.01, S.26.02 including Currency, Counterparty and Concentration risk analysis. We produce and disseminate these templates as part of our standard offering.

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