TPT Working Group recently decided to release a revised 6th version of the
Solvency II Tripartite Template. This fixes some mistakes and unclarity of
version 5 and adds additional guidance for certain derivatives.
In order to
facilitate the solvency capital (SCR) calculation for insurance companies, 2
fields have been added:
- Field 138
"Collateral Eligibility: eligibility of collateral according to the
- Field 139 "Collateral Market Valuation in portfolio currency":
Market valuation of the collateral in portfolio currency.
the working group has refined the description of some data points and provided
additional guidance to facilitate the consistent mapping of foreign exchange
forwards, foreign exchange options, interest rate swaps, credit derivative
swaps and collateral.
published a consultation of the proposed changes to TPT V6. Our experts at LPA
will participate at the consultation and we are happy to include your comments
ends on 21 Dec. 2021. It is expected that the final version will be published
in Q1 2022.
free to contact us at Haojin.Ba@acarda.de