VAG reporting, which refers to Solvency I, covers pension funds and insurance companies. The stated VAG regulation is ensued from the German Insurance Supervision Act. In order to be compliant with the German financial supervisory authority (BaFin) requirements, the fund will have to provide its insurance undertakings clients with a detailed holding breakdown. The objective of this reporting is to monitor the insurance undertakings’ investment in the fund and ensure qualified investments.
Under the VAG requirements, the guarantee assets and the other restricted assets must be invested in a way that ensures maximum security and profitability, taking into account the type of insurance business conducted and the structure of the undertaking, while safeguarding the insurance undertaking’s liquidity at all times and maintaining an appropriate mix and diversification.
A dedicated VAG reporting Excel template and guidelines have been established by the German Investment Funds Association (BVI). This reporting is a NAV breakdown of the portfolio into specific VAG asset classifications. This output mainly highlights the asset type, the rating, and the geographical localization for the holdings of the investment fund.
Moreover, the value of market risk potential has to be indicated, measured by either the Commitment or the Value-at-Risk approach.
Solvency II is a harmonized, transparent, and risk-oriented EU-wide insurance regulatory framework aiming to reduce insolvency risk of insurance and reinsurance undertakings.
By providing incentives in form of potential reduced capital requirements, the regulatory authority encourages insurance companies to implement appropriate risk management systems and sound internal controls. These internal risk management procedures are framed by a consistent supervisory system at sectorial level across all member states. The supervisory system under Solvency II involves reporting obligations for (re-)insurances companies in form of Solvency Capital Requirement (SCR) and Quantitative Reporting Templates (QRT) reporting.
In order to comply with the above mentioned reporting obligations and benefit from reduced capital requirements, insurance and reinsurance undertakings need relevant information on the holdings of investment funds they are invested in.
With the objective to facilitate the data exchange between investment funds and insurance companies, various industry associations across different member states agreed on a Standardised EU template (Tripartite template, or TPT). The data provided by way of the Tripartite template is relevant for both, SCR and QRT reporting, however, it only accounts for the part of the (re)insurer’s balance sheet that consists of exposures to the corresponding investment funds.
Still under the Solvency II framework, and for the purpose of enabling a harmonized approach to supervision across the EU, other templates are required “QAD”. The Quarterly Asset Data reporting are based on EIOPA Solvency II DPM and XBRL taxonomy package version 2.4.0, EIOPA filing rules and its underlying regulations.
Our service offering includes the different templates; QAD 230, 232, 233, 234, 236.
Monthly and Quarterly “Directe Rapportage” for Dutch Insurance and pension funds required them to classify their investments in accordance with DNB guidelines (De Nederlandsche Bank). The information disclosed will be used to assess the National balance of payments and several National and European Statistics.