SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

Tripartite Columns

The Tripartite (TPT) report is the industry standard for asset managers to report asset look-through data to insurers. FinDatEx (Financial Data Exchange Templates) published its latest version 6.0 on 10 January 2022.

The SCR Calculator can produce a number of columns of the Tripartite Report, for a model portfolio in this form:

  • 4_Portfolio_currency_(B)
  • 5_Net_asset_valuation_of_the_portfolio_or_the_share_class_in_portfolio_currency
  • 6_Valuation_date
  • 7_Reporting_date
  • 9_Cash_ratio
  • 10_Portfolio_modified_duration
  • 11_Complete_SCR_delivery
  • 13_Economic_zone_of_the_quotation_place
  • 14_Identification_code_of_the_instrument
  • 17b_Asset_liability
  • 19_Nominal_amount
  • 21_Quotation_currency_(A)
  • 22_Market_valuation_in_quotation_currency_(A)
  • 24_Market_valuation_in_portfolio_currency_(B)
  • 26_Valuation_weight
  • 32_Interest_rate_type
  • 33_Coupon_rate
  • 38_Coupon_payment_frequency
  • 39_Maturity_date
  • 43_Call_put_date
  • 52_Issuer_country
  • 53_Issuer_economic_area
  • 55_Covered_not_covered
  • 57_Explicit_guarantee_by_the_country_of_issue
  • 58_Subordinated_debt
  • 59_Credit_quality_step
  • 90_Modified_duration_to_maturity_date
  • 97_SCR_mrkt_IR_up_weight_over_NAV
  • 98_SCR_mrkt_IR_down_weight_over_NAV
  • 99_SCR_mrkt_eq_type1_weight_over_NAV
  • 100_SCR_mrkt_eq_type2_weight_over_NAV
  • 101_SCR_mrkt_prop_weight_over_NAV
  • 102_SCR_mrkt_spread_bonds_weight_over_NAV
  • 103_SCR_mrkt_spread_structured_weight_over_NAV
  • 104_SCR_mrkt_spread_derivatives_up_weight_over_NAV
  • 105_SCR_mrkt_spread_derivatives_down_weight_over_NAV
  • 105a_SCR_mrkt_FX_up_weight_over_NAV
  • 105b_SCR_mrkt_FX_down_weight_over_NAV
  • 1000_TPT_Version

Note that this is not to be confused with the "Tripartite Reader" (a separate module, described in a later chapter in this User Manual). Here our focus is to produce Tripartite columns on a hypothetical model portfolio; while the Tripartite Reader is designed to read an arbitrary existing Tripartite report and use information in there to calculate the SCR columns.