SOLVENCY II REPORTING

WITH

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ImproveInternalEfficiencyClearwater’s robust, automated reconciliation process compiles and aggregates disparate data and provides consistent and validated information to ensure the accuracy of portfolio holdings. With Clearwater’s precise and timely data, you are empowered to analyse and act on data, instead of compile and manipulate data.

IntegrateintoYour SolvencyIIProcessThe Clearwater solution provides an output of data that’s vital to your overall Solvency II monitoring and reporting process. This aggregated and validated data can be incorporated into your Own Risk and Solvency Assessment (ORSA) procedures and included in a custom input file that you can upload into your Solvency Capital Requirement (SCR) calculation software.

AccessEIOPAandLloyd’sReportsClearwater provides an extensive suite of QRT and Lloyd’s templates and the flexibility to create a variety of additional supplementary reports through its powerful user interface. These templates contain a combination of Clearwater calculations, third-party data, and client-provided data, which streamlines the Pillar III reporting process while integrating with your larger Solvency II filing process.

ReceiveClientServicing andExpertiseClearwater’s dedicated client services team has extensive experience with the intricacies of the EU insurance industry. Clearwater acts as an extension of clients’ teams, providing up-to-date industry insights and dedicated support to help overcome the complexities and challenges of Solvency II. Clearwater’s monthly functionality updates mean your organisation automatically follows the latest guidance, and your reporting is always in line with current regulations.

ClearwaterAnalytics’SolvencyIIApproachClearwater has been providing Solvency II-level data to insurers for years. Clearwater’s automated, integrated, accurate, and transparent solution seamlessly navigates Solvency II challenges while also streamlining overall investment accounting, reporting, and analytics.

AGGREGATE RECONCILE INTEGRATE

CUSTODY BANKS TRADE INFORMATION

AUTOMATED DAILY FEEDS

ANALYSEReview Accounting & Analytics DataMake Portfolio Decisions

IMPORTUpload Into Core Systems

REPORTBook Journal EntriesCreate Board ReportsPrepare Regulatory Reports

CLIENT-PROVIDED DATA

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YourFilingProcesswithClearwaterClearwater’s ever-growing collection of Pillar III QRT and Lloyd’s templates are available with one simple click. The Statement Download tool provides instant access to your templates and streamlines Solvency II data collection for SCR calculations.

Templates SCRCalculationsInputFile

ReadytoIncorporateintoCompleteSolvencyIITemplate

ReadytoUploadintoSCRSoftware

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Clearwater’sQRTandLloyd’sTemplatesClearwater provides a variety of templates to assist clients with filing their QRT, QAD, AAD, and QMA reports. Clearwater provides:

QRTTemplates • S.02.01 – Balance Sheet: The balance sheet summary as defined by EIOPA.

• S.06.01 – Summary of Assets: A summary of information on assets and derivatives regarding the undertaking as a whole.

• S.06.02 (D1) – List of Assets: An item-by-item list of assets in the EIOPA-defined reporting format.

• S.07.01 (D1S) – Structured Products: An item-by-item list of structured products held by the undertaking in its portfolio.

• S.08.01 (D2O) – Open Derivatives: Shows derivatives contracts that existed during the reporting period and were not closed prior to the reporting reference date.

• S.08.02 (D2T) – Derivative Transactions: An item-by-item list of closed derivatives.

• S.09.01 (D3) – Income/Gains and Losses: Information on gains/income and losses by asset category (including derivatives).

• S.10.01 (D5) – Securities Lending & Repos: An item-by-item list of securities lending transactions and repurchase agreements.

• S.11.01 (D6) – Assets Held as Collateral: An item-by-item list of assets held as collateral.

Lloyd’sQADTemplates • QAD 230 – Portfolio List

• QAD 233 – Open Derivatives

• QAD 234 – Historical Derivatives Trades

• QAD 235 – Return on Investment Assets

Lloyd’sAADTemplates • AAD 230 – Portfolio List

• AAD 232 – Structured Products

• AAD 233 – Open Derivatives

• AAD 234 – Historical Derivatives Trades

• AAD 235 – Return on Investment Assets

• AAD 237 – Securities Lending and Repos

• AAD 238 – Assets Held as Collateral

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Lloyd’sQMATemplates • QMA 003: Cash flow statement

• QMA 114: US dollar denominated investment return

• QMA 201: Assets

• QMA 212u: Concentration of Investment holdings

• QMA 217: Schedule 3 Investment analysis – Cost

• QMA 218u: Investment analysis – asset classification

• QMA 219u: Investment analysis – credit classification

• QMA 410: Net Investment income recognised as profit or loss

• QMA 411: Net Investment income recognised as profit or loss – prior year

• QMA 415: Sensitivity Analysis

• QMA 416: Sensitivity Analysis – prior year

• QMA 420: Credit risk – ratings

• QMA 421: Credit risk – ratings – prior year

• QMA 425: Credit Risk – Aging and Impairment

• QMA 426: Credit Risk – Aging and Impairment – prior year

• QMA 440: Fair value hierarchy

• QMA 441: Fair value hierarchy – prior year

• QMA 460: Liquidity risk – Maturity profiles

• QMA 461: Liquidity risk – Maturity profiles – prior year

• QMA 465: Derivative information

• QMA 466: Derivative information – prior year

• QMA 531: Analysis of Derivatives Contracts

Clearwater also provides reports and data that clients can reference when completing other relevant templates:

• Sensitivity Analysis – As available through Clearwater’s Value at Risk Report

• Hierarchy Level Analysis – Asset class and fair value level matrix

• Fair Value Level 3 Reconciliation Roll Forward Report

• SCR calculation input file

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DataPointsProvidedinClearwater’sTemplatesSolvency II requires the incorporation of many client-specific data points that are often unavailable from custodians, asset managers, and other third-party sources. Clearwater’s flexible system allows clients to incorporate their own specific and subjective Solvency II data points into the QRT and Lloyd’s templates alongside Clearwater’s calculations, Solvency II classifications (LEI, Group LEI, NACE, CIC, etc.), and data from Clearwater’s third-party data providers. This integration eliminates the need to manually input data into Excel documents for each report filing.

With the intuitive, web-based Custom Field Manager, client data can be uploaded in bulk or edited individually to allow for a quick creation and an easy maintenance process.

The table below outlines the data source (Clearwater or client) for each Solvency II data point.

DataPoint Template DataSourceAccrued Interest EIOPA/Lloyd's ClearwaterAcquisition Price EIOPA/Lloyd's ClearwaterAggregate market value of exposure to issuer Lloyd's QMA ClearwaterAsset Category EIOPA/Lloyd's ClearwaterAsset Held in Unit-Linked and Index-Linked Contracts EIOPA/Lloyd's ClearwaterAsset Held in Unit-Linked and Index-Linked Funds Lloyd’s ClearwaterAsset ID Code EIOPA/Lloyd's ClearwaterAsset ID Code Type EIOPA/Lloyd's ClearwaterAsset or Liability Underlying the Derivative Lloyd’s AAD/QAD Client

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DataPoint Template DataSourceAsset Pledged as Collateral EIOPA/Lloyd's ClientAttachment Point EIOPA/Lloyd's ClientBuyer or Seller/Lender or Borrower Lloyd’s ClearwaterBuyer/Seller EIOPA ClearwaterCallable or Putable EIOPA/Lloyd's ClearwaterCapital Protection EIOPA/Lloyd's ClientCIC EIOPA/Lloyd's ClearwaterCIC (Look-Through) Lloyd’s ClientCollateral Portfolio EIOPA/Lloyd's ClearwaterCollateral Type EIOPA/Lloyd's ClearwaterCollateral Value EIOPA/Lloyd's ClearwaterCollective Investments Undertaking ID Code (Look-Through) EIOPA/Lloyd's ClientCollective Investments Undertaking ID Code type (Look-Through) EIOPA/Lloyd's ClientContract Dimension EIOPA/Lloyd's ClearwaterContract Name EIOPA/Lloyd's ClearwaterContract Size EIOPA ClearwaterCounterparty Code (LEI) EIOPA/Lloyd's ClearwaterCounterparty Group EIOPA/Lloyd's ClearwaterCounterparty Group Code EIOPA/Lloyd's ClearwaterCounterparty ID EIOPA/Lloyd's ClearwaterCounterparty Name EIOPA/Lloyd's ClearwaterCountry of Custody EIOPA/Lloyd's ClientCountry of Issue (Look-Through) EIOPA ClientCredit Quality Step EIOPA ClearwaterCurrency EIOPA/Lloyd's ClearwaterCurrency Lloyd's QMA ClearwaterCurrency (Look-Through) EIOPA/Lloyd's ClientCustodian EIOPA ClientDelta EIOPA/Lloyd's ClientDerivative ID Code EIOPA/Lloyd's ClearwaterDerivative ID Code Type EIOPA/Lloyd's ClearwaterDerivatives Held in Unit-Linked and Index-Linked Contracts EIOPA/Lloyd's Clearwater

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DataPoint Template DataSourceDetachment Point EIOPA/Lloyd's ClientDividends EIOPA ClearwaterDuration EIOPA/Lloyd's ClearwaterDuration (Look-Through) Lloyd’s ClientExternal Rating (Look-Through) Lloyd’s ClientFar Leg Amount EIOPA/Lloyd's ClientFixed Annual Return EIOPA/Lloyd's ClearwaterFund Number EIOPA/Lloyd's ClientGeographical Zone of Issue (Look-Through) Lloyd’s ClientGroup of Debtor Pledging the Collateral Lloyd’s ClientID Code (Look-Through) Lloyd’s ClientID Code Type (Look-Through) Lloyd’s ClientInfrastructure Investment EIOPA ClearwaterInitial Date EIOPA ClearwaterInstrument Underlying the Derivative EIOPA ClearwaterInterest EIOPA ClearwaterInternal Rating EIOPA ClientInvestment Fund Code (Look-Through) Lloyd’s ClientInvestment Fund Code Type (Look-Through) Lloyd’s ClientIssue Type Lloyd’s ClearwaterIssue Type (Look-Through) Lloyd’s ClientIssuer Code (LEI) EIOPA/Lloyd's ClearwaterIssuer Country EIOPA/Lloyd's ClearwaterIssuer Group EIOPA/Lloyd's ClearwaterIssuer Group (Look-Through) Lloyd’s ClientIssuer Group Code (LEI) EIOPA/Lloyd's ClearwaterIssuer Group Code (Look-Through) Lloyd’s ClientIssuer Group Code Type (Look-Through) Lloyd’s ClientIssuer Name EIOPA/Lloyd's ClearwaterIssuer Sector (NACE) EIOPA/Lloyd's ClearwaterItem Title EIOPA ClearwaterLevel of Look-Through (Look-Through) Lloyd’s ClientLong or Short Position Lloyd’s AAD/QAD Clearwater

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DataPoint Template DataSourceLoss Given Default EIOPA/Lloyd's ClientMarket Value (FIS) Lloyd’s ClientMarket Value (Non-FIS) Lloyd’s ClearwaterMarket Value + Accrued Lloyd's QMA ClearwaterMatching Portfolio Number EIOPA ClientMaturity Date EIOPA/Lloyd's ClearwaterMaximum Loss Under Unwinding Event EIOPA/Lloyd's ClientName of Counterparty Pledging the Collateral EIOPA/Lloyd's ClientName of the Group of the Counterparty Pledging the Collateral EIOPA/Lloyd's ClientNear Leg Amount EIOPA/Lloyd's ClientNet Gains and Losses EIOPA ClearwaterNominated ECAI EIOPA ClearwaterNotional Amount of the Derivative EIOPA/Lloyd's ClearwaterNumber of Contracts EIOPA/Lloyd's ClearwaterOriginal Cost Lloyd's QMA ClearwaterPar Amount EIOPA/Lloyd's ClearwaterParticipation EIOPA/Lloyd's ClientPercentage of Par Solvency II Value Lloyd’s ClearwaterPortfolio EIOPA/Lloyd's ClientPosition in the Contract EIOPA ClientPremium Paid to Date EIOPA ClearwaterPremium Paid/Received to Date Lloyd’s ClearwaterPremium Received to Date EIOPA ClearwaterPrepayment Structured Product EIOPA/Lloyd's ClearwaterProfit and Loss to Date EIOPA/Lloyd's ClearwaterQMA 003 Classification Lloyd's QMA ClearwaterQMA 114 Classification Lloyd's QMA ClearwaterQMA 201 Classification Lloyd's QMA ClearwaterQMA 212u Classification Lloyd's QMA ClearwaterQMA 217 Classification Lloyd's QMA ClearwaterQMA 218u Classification Lloyd's QMA ClearwaterQMA 219u Classification Lloyd's QMA ClearwaterQMA 410 Classification Lloyd's QMA ClearwaterQMA 411 Classification Lloyd's QMA Clearwater

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DataPoint Template DataSourceQMA 415 Classification Lloyd's QMA ClearwaterQMA 416 Classification Lloyd’s QMA ClearwaterQMA 420 Classification Lloyd’s QMA ClearwaterQMA 421 Classification Lloyd’s QMA ClearwaterQMA 425 Classification Lloyd’s QMA ClearwaterQMA 426 Classification Lloyd’s QMA ClearwaterQMA 440 Classification Lloyd’s QMA ClearwaterQMA 441 Classification Lloyd’s QMA ClearwaterQMA 460 Classification Lloyd’s QMA ClearwaterQMA 461 Classification Lloyd’s QMA ClearwaterQMA 465 Classification Lloyd’s QMA ClearwaterQMA 466 Classification Lloyd’s QMA ClearwaterQMA 531 Classification Lloyd’s QMA ClearwaterQuantity EIOPA/Lloyd's ClearwaterRating EIOPA/Lloyd's ClearwaterRating Agency Lloyd’s ClearwaterRating Agency (Look-Through) Lloyd’s ClientRent EIOPA ClientSecurity Title (Look-Through) Lloyd’s ClientSolvency II Balance Sheet Classification EIOPA ClearwaterSolvency II Balance Sheet Summary Classification EIOPA ClearwaterSolvency II Valuation Method Lloyd’s ClearwaterSolvency II Value EIOPA ClearwaterStart Date EIOPA/Lloyd's ClearwaterSwap Delivered Currency EIOPA/Lloyd's Clearwater (In

development)Swap Inflow Amount EIOPA/Lloyd's ClientSwap Outflow Amount EIOPA/Lloyd's ClientSwap Received Currency EIOPA/Lloyd's Clearwater (In

development)Synthetic Structured Product EIOPA/Lloyd's ClientTotal Amount (Look-Through) EIOPA ClientTotal Solvency II Amount EIOPA/Lloyd's ClearwaterTotal Solvency II Amount (FIS) Lloyd’s Client

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DataPoint Template DataSourceTotal Solvency II Amount (FIS) (Look-Through) Lloyd’s ClientTotal Solvency II Amount (Look-Through) Lloyd’s ClientTotal Solvency II Amount (Non-FIS) Lloyd’s ClearwaterTotal Solvency II Amount (Non-FIS) (Look-Through) Lloyd’s ClientTrade Date Lloyd's QMA ClearwaterTransaction Type Lloyd's QMA ClearwaterTrigger Value EIOPA/Lloyd's ClearwaterType of Asset for Which the Collateral is Held EIOPA/Lloyd's ClientType of Code of Asset or Liability Underlying the Derivative EIOPA ClearwaterType of Counterparty Code EIOPA/Lloyd's ClearwaterType of Counterparty Group Code EIOPA/Lloyd's ClearwaterType of Issuer Code EIOPA/Lloyd's ClearwaterType of Issuer Group Code EIOPA/Lloyd's ClearwaterType of Repo / Securities Lending Lloyd’s ClientType of Structured Product EIOPA/Lloyd's ClearwaterUltimate Issuer/Counterparty Lloyd's QMA ClearwaterUnderlying Asset Category (Look-Through) EIOPA/Lloyd's ClientUnderlying security/ index/ portfolio EIOPA/Lloyd's ClientUnit Percentage of Par Amount Solvency II Price EIOPA/Lloyd's ClearwaterUnit Solvency II Price EIOPA/Lloyd's ClearwaterUnrealised Gains and Losses EIOPA ClearwaterUnwind Trigger of Contract EIOPA/Lloyd's ClientUse of Derivative EIOPA/Lloyd's ClientVariable Annual Return EIOPA/Lloyd's ClearwaterValuation Method EIOPA Clearwater

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This material is for informational purposes only. The information we provide is from sources Clearwater Analytics considers reliable, but Clearwater Analytics provides no warranties regarding the accuracy of the information. Further, nothing herein should be construed as legal, financial, or tax advice, and any questions regarding the intended recipient’s individual circumstances should be addressed to that recipient’s lawyer and/or accountant.

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‘The new Solvency II regime has created a greater demand for better investment portfolio systems. Constantly changing regulatory guidance and expansion of our business created a need for better investment data aggregation, accuracy, and access. Transparency is a key requirement of Solvency II, and is a factor that influenced our decision to use Clearwater.’

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