TPT v6 : our summary of the new Solvency II tripartite template

 

At the beginning of the year, FinDatEx (Financial Data Exchange) published the specifications for the 6th version of the TPT file format.

As a reminder, FinDatEx’s mission is to facilitate the exchange of data to meet the needs of European financial regulations between the various stakeholders (investors and investment service providers). TPT is the file format used for data exchange between managers and insurers to meet the need for transparency of funds under Solvency 2.

🔗 Links:
File (TPT v6)
FinDatEx Publication

This new file format version can be used from 31-03-2022 and will enter into force on 30-06-2022, the date from which it is recommended to use only this version of the TPT file format.

The main changes observed are as follows:

16_Grouping_code_for_multiple_leg_instruments:

A grouping code for currency futures and options is now available.

➡️ This should allow for better identification of currency risk with the possibility of modelling these instruments on several legs

Detail concerning the 20_Contract_size_for_derivatives field:

It is now expressly requested to disclose the size of the contract for derivatives rather than the value of a point.

➡️ This is a minor change

Accuracy for feeding fields related to the concept of call/put and cap/floor of fixed income products:

For the following fields:

• 43_Call_put_date

• 44_Issuer_bearer_option_exercise

It is now specified that a value must be entered only if field 42_Callable_putable is fed with the value ‘Cal’ or ‘Put’ (it is therefore no longer necessary to enter these fields if the value of field 42 is ‘Cap’ or ‘Flr’).

Moreover, the 45_Strike_price_for_embedded_(call_put)_options field can now be fed with the cap or floor when field 42 is filled in with ‘Cap’ or ‘Flr’.

➡️ This should improve the results of consistency checks in feeding into the TPT matrix

Possibility to provide data on the issuers and counterparties of mortgages and loans (CIC category ‘8’):

The fields relating to the identification of the issuer for instruments whose CIC category is ‘8’ are now asked to be filled out. The fields concerned are:

• 46_Issuer_name

• 47_Issuer_identification_code

• 48_Type_of_identification_code_for_issuer

• 49_Name_of_the_group_of_the_issuer

• 50_Identification_of_the_group

• 51_Type_of_identification_code_for_issuer_group

This information could previously be requested in addition to the TPT by certain entities: The new version should limit stakeholder questions and exchanges about these fields, for mortgages and loans.

Two new fields for Collateral to respond to Article 176.5 of the Solvency 2 2015/35 Directive in relation to Articles 197 and 214 for the credit risk mitigation of corporate bonds, structured products and mortgages and loans (CIC categories ‘2’, ‘5’ and ‘8’):

138_Collateral_eligibility:

It indicates whether a bond has collateral eligible under Article 176.5 of the Directive:

• 0 – Not valued or has no collateral

• 1 – Complies with the requirements of Articles 214, 197.1a and, 197.1b

• 2 – Complies with the requirements of Articles 214 and 197.1a

• 3 – Complies with the requirements of Article 214

• 4 – Not eligible

139_Collateral_Market_valuation_in_portfolio_currency:

This field provides information with the market value of collateral (in portfolio currency) when the collateral is classified as ‘1’, ‘2’, or ‘3’ in field 138_Collateral_eligibility.

➡️ This allows for the automation of the inclusion of collateral in the calculation of the Credit SCR with risk mitigation, but the entity must obtain the necessary supporting documents to use these TPT data in the event of inspection by the regulator

 

[Stanislas Masson]