Reporting Templates

Our reporting requirements require that "Unit Solvency II price" and "Unit percentage of par amount Solvency II price" must be unique per investment. We acknowledge that small deviations are possible for the same assets for reasons as you mentioned in your question. However, when the report prices deviate significant (for example more than 5 percent) from the reference market prices, this is considered a data quality issue. If no unique price is available, the reported "Unit Solvency II price" and "Unit percentage of par amount Solvency II price" could be calculated as the weighted average of the reported prices by the solo entities provided that both the prices of solo entities as well as the calculated price do not deviate significantly from the reference market prices. In addition, the prices reported should ensure compliance with the validation rules specifying that the “Total Solvency II amount"  should be equal to the product of "Quantity" and "Unit Solvency II price" plus "Accrued interest" or the product of "Par amount" and "Unit percentage of par amount Solvency II price" plus "Accrued interest".