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TPT field 91 – Modified duration to next option exercise date
Modified duration to next option exercise date
| Property | Value |
|---|---|
| Field number | 91 |
| Column name | 91_Modified_duration_to_next_option_exercise_date |
| TPT versions | V7, V8 |
| Format | Number |
| FinDatEx data model path | Position / Analytics / ModifiedDurationToCall |
| Solvency II | Conditional (C) |
| Swiss Solvency Test (SST) | Conditional (C) |
| IORP / EIOPA / ECB | Optional (O) |
| NW 675 | Conditional (C) |
Applies to
Positions with CIC category 1 – Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities, 7 – Cash and deposits, 8 – Mortgages and loans, B – Call options, C – Put options, D – Swaps.
Version differences
- TPT V7 definition: “”.
FundsXML 4 mapping
Solvency II TPT block (TripartiteTemplateSolvencyII_V7):
…/TripartiteTemplateSolvencyII_V7/Portfolio/Positions/Position/Analytics/ModifiedDurationToCall
The field mapping table lists every field side by side; TPT to FundsXML explains the rules behind it.
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