Institutional Investor Reporting

They capture multiple risk indicators required under the EU Capital Requirements Regulation (CRR) under WM formats and monitor every key regulatory risk component (e.g., credit or forex risk). They are essential to distribute to German CIs and appear under various names (e.g., SolvV, CRR, ECD CVA).

Under the German regulation “Groß‑ und Millionenkreditverordnung (GroMiKV)”, fund managers are asked to provide issuer information and applicable exemptions to calculate large‑exposure capital charges to their investors using the GroMiKV or BVI Datenblatt reporting.

The LCR Reporting consists of multiple Excel‑based templates that capture the liquid coverage ratio. required under the Regulation (EU) 2015/61 to ensure that credit institutions' liquidity is sufficient to cover their engagements.

The two KVG templates perform fund holding look‑through to capture key risk indicators related to the CRR and GroMiKV regulations. They must be loaded in the KVG interface monthly to ensure an accurate regulatory capital cost estimation by the German savings banks.

Regulators in Japan, Saudi Arabia and China have implemented Basel guidelines into their banking regulations. To support investors' fund look-through requirements, we provide reporting templates tailored to local regulatory specifications and exemptions, which we monitor through our KPMG network.

In France and Italy, some credit institutions developed their own templates to simplify the collection of information from their fund managers. These formats are based on the Basel I/II/III guidelines. 

Since 2019, pension funds have been subject to additional funds holding look-through reporting obligations under the IORP II Directive [EU] 2016/2341. ECB and EIOPA jointly developed standardized reporting templates that resemble the Solvency II QRTs in terms of data points and structure.

This reporting is a German- and Austrian‑specific Solvency I requirement for insurance companies and pension funds, derived from the Insurance Supervision Act (VAG). BaFin requires investment funds to provide their clients with a VAG report detailing a portfolio holdings breakdown.

In line with these requirements, PKG and QMV reporting provide a breakdown of a fund’s portfolio’s economic exposure under the Austrian Pension Fund Act (Pensionskassengesetz – PKG) and the supervisory guidelines issued by European authorities for investment funds.

Under the Pensioenwet and the new Wet toekomst pensioenen (Wtp), quarterly FTK reporting focuses on a pension fund’s underlying investments and requires a full look‑through of investment fund holdings. All calculation guidelines are set out in the DNB FTK Statements Explanatory Notes.

The COVIP, the Italian supervisory authority, requires pension funds to report on fund holdings, investment activity, financial management and derivative usage. Market templates, such as ANADER, ANATIT, PANIND, LTOICR, VALDER, are designed to provide such information in a standardized format.

Administradoras de Fondos de Pensiones (AFPs) regulator requires Chile’s pension schemes to have strict transparency in the Fund’s holdings. Pension funds must report quarterly to monitor several risks, instrument eligibility and compliance limits under Chile’s pension legislation (DL 3.500).

The service involves producing fund-branded marketing documentation designed to support distribution efforts – whether entering new markets or presenting new portfolios to prospective insurance undertaking investors. SCR market‑risk estimation, covering every Solvency II sub‑module (spread, interest‑rate, currency, counterparty, real estate, and equity risk), is designed to support you.

The service involves producing fund-branded marketing documentation designed to support distribution efforts, whether to enter new markets or present new portfolios to prospective credit institution investors. It covers regulatory capital calculations applying Basel III–IV standards, using any required local rules such as CRR, BIS, or PRA regulations. It can include forecasted regulatory capital charge estimation.

VAG eligibility – German and Austrian insurance undertakings and pension funds must verify that a fund’s investment policy complies with the strict asset‑eligibility requirements of the VAG regulation. KPMG provides VAG eligibility services, signed by a statutory auditor, to enhance investor confidence. 

KPMG provides solutions to help clients optimize capital requirements under the Solvency II framework. By qualifying investments as infrastructure or long‑term equity assets, clients can cut the applicable SCR sub‑modules by up to 50%, while a Mandate‑Based Approach for non-look-through portfolios can potentially lower the Equity Type 2 capital.

Credit institutions require an audit certification confirming that the CRR solvency ratios and foreign‑exchange exposures of their CIU investments provided by third parties are accurate. KPMG supports clients by reviewing and validating both internal and external calculations to ensure regulatory compliance.

Under the Liquidity Coverage Ratio (LCR) regulation, investments held by credit institutions may qualify as liquid assets if they meet strict eligibility criteria. Our advisory specialists assess and confirm the LCR eligibility of investment funds.