Solvency II updates for Q1/2024

Pillar 1 

Taxonomy 2.8 updates

EIOPA´s Taxonomy 2.8 contains various updates for asset reporting under Solvency II. While most of the changes relate to the Pillar 3 QRTs, the new Taxonomy 2.8 also includes an adjustment for a more precise treatment of regional government bonds and local authority bonds, which affects also Pillar 1 and for which an update has been provided by the Solvency II team.

Integration of TPT data for Pillar 1 Market Risk calculations

A long-term focus of the team is the integration of TPT data into the Pillar 1 Standard Solution. This involves importing raw data into SimCorp Dimension as well as developing the business logic and calculation rules to seamlessly integrate it into the Market Risk calculations of the Pillar 1 architecture. Currently, this topic is in the pre-analysis phase. In the next weeks and months, a prototype will be built.

Pillar 3 

Taxonomy 2.8 update

 During the early winter 2023 season, SimCorp Pillar 3 Clients had to prepare for the new Taxonomy 2.8 updates which came into force for the fourth quarter 2023 reporting and the yearly reporting for 2023. The fourth quarter solo reports including the new Taxonomy updates had to be delivered to the National Competent Authorities (NCAs) for the first time at the beginning of February.

One of the cornerstones of the Taxonomy 2.8 update was the newly introduced QRT “climate change-related risks to investments” (S.06.04). Based on SimCorp´s experience from ESG regulations, SimCorp provided a powerful platform for the Solvency II Clients which supports different implementation approaches like expert-based estimations and data provider-based deduction for physical risk and transition risk.

Due to the substantial demand for assistance with the implementation of Taxonomy 2.8, the SimCorp Solvency II team was supported by diverse Market Unit consultants. This collaboration helped the Solvency II Pillar 3 Clients in implementing the latest regulatory updates.

The SimCorp support consisted of the following activities:

-       provision of standardized Change Items with detailed description of the changes and guidelines on their  deployment,

-       implementation of the updates in the Clients´ SimCorp Dimension environments,

-       testing of the updates,

-       support for interfacing with the Solvency II downstream systems.

All related client projects could be completed in time and SimCorp service clients were able to deliver their QRTs to the NCAs, fulfilling the timelines required by the regulator.