FinDatEx publishes new version 6 of Solvency II Tripartite Template (TPT)

Context and objectives

On 10 January 2022, the Financial Data Exchange Templates (FinDatEx) published a new version of the Solvency II tripartite template (TPT).

FinDatEx is a joint structure established by representatives¹ of the European financial services industry. It aims to coordinate, organize and carry out standardization work to facilitate data exchange between stakeholders for European financial market legislation, such as the second Markets in Financial Instruments Directive (MiFID II), the Packaged Retail and Insurance-based Investment Products (PRIIPs) Regulation, and Solvency II.

The Solvency II TPT was developed to serve as an EU-wide standardized format to deliver the portfolio composition of funds. Insurers require this information to meet their supervisory requirements, such as:

• The solvency capital requirement (SCR), which insurance companies must calculate for investment funds based on each of the fund’s underlying assets; and
• Reporting obligations (such as the quantitative reporting templates) regarding the portfolio composition of their fund investments (fund look-through) for supervisory authorities.
  

Changes introduced by TPT 6.0

The new template, known as TPT 6.0, comprises several changes compared with the previous TPT version, TPT 5.0:

• The completion of the fields 43_Call_put_date and 44_Issuer_bearer_option_exercise is now mandatory if the fields 42_Callable_putable are completed with Cal or Put.
  
  
• The content of the definition of the field 45_Strike_price_for_embedded_(call_put)_options has been updated to clarify that this field should include the floor or cap rate for embedded interest-rate options.
  
  
• Clarification that for loans, the columns 46_Issuer_name to 51_Type_of_identification_code_for_issuer_group must now be completed.
  
  
• There are two new fields related to the compliance of debt collateral with Solvency II collateral arrangements and risk-adjusted value criteria:
  • 138_Collateral_eligibility
  • 139_Collateral_Market_valuation_in_portfolio_currency.
     
• The comment for the fields 137_Counterparty_sector has been updated to facilitate the completion of this column based on the CIC and the Nace code.

You can find the full TPT 6.0 here.

Additional guidelines for TPT 6.0

FinDatEx released additional guidelines for modeling FX forward, FX option, FX future, swap and credit derivatives transactions in TPT 6.0.

You can find the additional guidelines here.

Next steps

TPT 6.0 can be used from 31 March 2022. TPT 5.0 and 6.0 may be used in parallel on an interim basis in Q2 2022. It is recommended only to use TPT 6.0 from 30 June 2022.

How can Deloitte help?

Deloitte has a long track record in helping our clients meet their institutional investors reporting obligations, with more than 20,000 reports produced annually. We can assist you in your Solvency II and/or European Central Bank (ECB)/European Insurance and Occupational Pensions Authority (EIOPA) reporting challenges with an offer that covers:

• Solvency II TPT 6.0, ready for Q1 2022 reporting;
• Solvency II SCR Market reporting;
• ECB/EIOPA (the Institutions for Occupational Retirement Provision Directive, or IORP II) reporting; and
• Other Solvency II transparency reporting, such as quarterly asset data (QAD) or bespoke client templates.

For further information on our risk reporting services, please visit our webpage or contact our specialists below.

¹ The European Fund and Asset Management Association (EFAMA), the European Banking Federation (EBF), Insurance Europe, the European Savings and Retail Banking Group (ESBG), the European Association of Cooperative Banks (EACB), the European Structured Investment Products Association (EUSIPA), and the European Association of Public Banks (EAPB) established the joint FinDatEx structure.

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