Overview
The Solvency II Directive (Directive 2009/138/EC) sets out a riskbased framework for the prudential supervision of insurance and reinsurance undertakings in the European Union. Central to the regime is the requirement for insurers to submit periodic quantitative and qualitative data that allow supervisory authorities to assess the adequacy of capital and the quality of risk management.
Since 2016, the European Insurance and Occupational Pensions Authority (EIOPA) has provided a standardised reporting template known as the Solvency II Template (SIIT) for the transmission of fundrelated data. The template is used for the Quantitative Reporting Templates (QRTs) and the Qualitative Reporting Templates (QualRTs), with a specific focus on the Insurance Fund section of the Balance Sheet (BS) and the Assets section of the Solvency Capital Requirement (SCR) calculations.
Template Structure
The SIIT is delivered as an Excel workbook (XLSX) that follows a modular design. Each module corresponds to a reporting requirement defined in the Delegated Acts. The most important modules for fund data are:
- BS01 Balance Sheet Insurance Fund: Details of assets and liabilities that belong to the specific insurance fund.
- SCR02 Solvency Capital Requirement Market Risk: Asset breakdowns used for market risk calculations.
- BS02 Balance Sheet Assets & Liabilities: Mapping of fund holdings to the overall balance sheet.
Each module contains a series of rows with predefined codes (e.g., SF01 for Fund assets fixed income) and columns for:
- Reporting period (e.g.,
20241231) - Currency
- Amount (in the reporting currency)
- Optional notes or comments
Data validation rules are embedded in the workbook to minimise entry errors. The template also includes a ReadOnly sheet that summarises the data that will be sent to the supervisory authority via the Secure Data Transmission (SDT) gateway.
Key Elements of the Insurance Fund Reporting
1. Asset Classification
Assets must be classified according to the Solvency II asset hierarchy (cash, sovereign bonds, corporate bonds, equities, real estate, etc.). The classification determines the riskweighting applied in SCR calculations. The template uses the following main codes:
| Code | Description |
|---|---|
| SF01 | Cash and cash equivalents |
| SF02 | Sovereign bonds (Eurozone) |
| SF03 | Corporate bonds investment grade |
| SF04 | Corporate bonds high yield |
| SF05 | Equity listed |
| SF06 | Real estate direct |
| SF07 | Other assets (e.g., derivatives, participations) |
2. Liability Segmentation
Liabilities are broken down into Technical Provisions and Other Liabilities. For the insurance fund, the most relevant line is the Technical Provisions Insurance Contracts which must be matched against the corresponding assets.
3. Matching Principle
The template requires a matching of assets to liabilities on a perfund basis. This ensures that the funds net asset value (NAV) is transparent and that the SCR reflects the actual risk exposure of the specific fund rather than the whole company.
4. RiskBased Adjustments
For certain asset classes, a riskadjusted amount must be provided (e.g., for assets subject to liquidity risk). The template includes columns for Riskadjusted value and SCR impact.
Submission Process
- Data Collection: Gather fundlevel data from accounting systems, investment platforms and actuarial models.
- Data Validation: Use the builtin checks in the SIIT workbook; run the Validate macro to identify missing or inconsistent entries.
- Internal Review: The Chief Risk Officer (CRO) and Finance Director signoff on the completed template.
- Upload to SDT: Log in to the EIOPA Secure Data Transmission portal, upload the encrypted workbook, and obtain a receiptID.
- Regulatory Confirmation: The national supervisory authority acknowledges receipt and may request clarifications within 10 business days.
- Publication: For publicly listed insurers, aggregated fund data are published in the annual Solvency and Financial Condition Report (SFCR).
Common Challenges and Practical Tips
- Data Granularity: Insurers often store assets at a portfolio level, not at the fund level. Implement a mapping table that links each portfolio to the relevant fund code.
- Currency Conversion: Ensure that all amounts are expressed in the reporting currency (usually EUR). Use the ECB reference rates for the reporting date.
- Timing Differences- The balancesheet date may differ from the valuation date of certain assets (e.g., illiquid real estate). Document these differences in the Notes column and provide an explanatory annex.
- Regulatory Updates: The Delegated Acts are periodically amended. Subscribe to EIOPA newsletters and maintain a changelog of template version updates.
- Automation: Many insurers automate the export of fund data directly into the SIIT workbook via VBA or Python scripts, reducing manual entry errors.
