Solvency II / Draft of TPT Template v6.0

The FinDatEx Solvency II working group has published an update on the Solvency II Tripartite Template Version 6.0 in order to cover current topics of the SII Regulation.

Nikolaus Sernetz
10. December 2021
Fund reporting

This new version of the TPT allows investors to take into account the valuation of collateral received when calculating the SCR ratio and, if necessary, to reduce capital costs. For this purpose, 2 additional fields are planned in the Tripartite Template:

  • Box 138 "Collateral eligibility"

Eligibility of collateral according to the requirements of Delegated Regulation (EU) 2015/35 (Articles 176, 197 and 214)

  • Box 139: "Collateral Market valuation in portfolio currency"

Market value of the collateral in the currency of the share class

In addition to the changes to the format, guidelines are to be published to clarify the presentation of FX forwards, FX options, FX futures, interest rate swaps, credit derivatives swaps and collaterals. In this regard, Fenion sees a significant need in the industry, as the TPT format provides only very vague specifications in this area, and very different representations are present in the market.

The TPT V6 is in public consultation until 21.12.2021 and the final version can be expected to be released in the first quarter of 2022.

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Stefan Fischer

Managing Partner | COO

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