FactEntry launches data service for tracking eligible bonds in Solvency II Matching Adjustment

But there is no single list of assets that are eligible, rather a set of criteria that each asset needs to meet. The complex set of criteria is based on the idea that an insurer shouldn’t have to compensate for market volatility around bonds where the volatility is low because cash flow timings or amounts are fixed, or that compensation is built in for the bond holder in the event of any change to cash flow.

To identify which assets may be eligible under the MA rules, you need to understand the characteristics of each bond in your portfolio. For example, for each bond, what are the details of its:

• Call and callability
• Make Whole clause
• Spens Features
• Redemption features and clauses
• Call, Redemption dates and maturities
• Clause analysis
• Covenant analysis affecting cashflows

Working with an independent partner who is a specialist in fixed income data and has an existing database of prospectuses and reference data that can be leveraged, but who also has the understanding of both the eligibility requirements and the bond terms and conditions, can provide a much faster and more cost-effective solution.

FactEntry has been working with both insurance companies and asset managers to analyse their portfolios, identify bonds eligible for MA, and provide commentary, taking into account each client’s business rules, in order to back up the decisions.

This frees your team from any lengthy internal review, or hiring expensive consultants, to give you an answer to the tricky MA question, backed up with the commentary that gives you the confidence to know you can justify your decisions to the PRA. It can also speed up the process of verifying new bonds for inclusion in portfolios. And there are no restrictive licensing agreements or annual subscriptions; just pay for what you need.

The Process

Securely deliver us your list of Fixed Income ISINs for your universe. FactEntry produces a spreadsheet with the relevant supporting bond information as detailed

FactEntry will supply the relevant Final Terms and Base documents for the securities. Add more securities for review as your portfolio changes over time without needing to commit to an annual license.