Institutional Investor Reporting

Within Europe, the European Parliament and the Council, leveraging Basel III and IV guidelines, implemented the Capital Requirement Regulation (EU) No 575/2013, as amended by Regulation (EU) No 2024/1623, and Directive 2013/36/EU, as amended by Directive (EU) 2024/1619, collectively known as CRR III and CRD VI.

Consequently, European credit institutions (ECIs) and investment firms (IFs) are now required to calculate their capital requirements with enhanced risk sensitivity in their risk weight calculations. This includes performing a detailed look-through on their investment fund holdings to accurately estimate their exposure in terms of credit risk (solvency ratios), currency risk (FX exposure), countercyclical buffer (country exposure), concentration risk related to large exposures, and liquidity risk (Liquidity Coverage Ratio).

The CRR III entered into force starting 1st January 2025 brought additional requirements to institutions, especially on the credit risk calculations of their investments funds assets. Leading to review of their assets exposures and capital required.Worldwide, the Basel III and IV guidelines have either already been implemented or are currently under review by national regulators (US, UK, Saudi Arabia, Japan, The United Arab Emirates…). The latest update of the Basel guidelines has led to an almost mandatory requirement for investment funds, with regulators mandating reports that include a look-through analysis.

Within Europe, the Solvency II (SII) Directive (2009/138/EC) has also aligned solvency capital requirements (SCR) for insurance companies with the risk profile of their assets and liabilities, with a look-through requirement on their investment fund holdings. To reduce cost in capital, insurance undertakings are collecting as much portfolio holding information as possible via the Tripartite Template (TPT) to estimate the risk they support through those investments. Quality, time and completion rate, including multiple levels of look-through, are standard reporting requirements to keep these investors in the asset managers’ funds.

The Solvency II Taxonomy (Solvency 2.8.0) came into force on the 31st of December 2023, impacting several components of the Quantitative Reporting Template (QRT). The new version of the Solvency II Tripartite Template (TPT v7.0) has been published end of 2024 and will be applicable starting in April 2025. A transition phase will commence in April 2025, during which both TPT’s versions will be accepted by investors.

In addition, some European regulators, such as the German BaFin with the VAG report in Germany, also require compliance reporting on investment fund exposures held by insurance undertakings, and have established dedicated reporting templates in coordination with local investment fund associations.

Following Brexit, the Bank of England has released a comprehensive policy statement detailing its review of Solvency II and its proposed adaptations to better suit the UK insurance market. In the latest policy statements of 2024 (PS 15/24), the Prudential Regulatory Authority outlines a series of proposed changes aimed at aligning Solvency II more closely with the distinctive features of the UK insurance industry.

Worldwide, many countries, inspired by European regulations, have implemented equivalent regulation. Even if the look-through requirement on investment funds is not generalized, some countries such as Singapore are collecting equivalent reporting, and others are following closely (e.g., Hong Kong).

Within Europe, pension funds' regulatory requirements are still established by each national regulator, with a notable increase in transparency requirements for investment funds since 2011: Austria (QMV or PKG reporting), Italy (COVIP reporting), Germany (VAG reporting), Netherlands (FTK/WTP reporting), and Sweden (Traffic Light).

At the European level, with the application of the IORP II regulation, the ECB and EIOPA request a minimum level of transparency from pension schemes, presently mainly for statistical purposes. Most local regulators have updated their reporting formats to take these additional disclosure needs into consideration (e.g., FTK/WTP, COVIP and QMV).

Worldwide, some countries have implemented regulations to monitor pension scheme risk exposure, such as Chile (AFP reporting) and Singapore (ILS reporting). Other APAC countries are following this trend, encouraging pension schemes to collect the necessary information to monitor their risk hold via their third-party portfolio managers.

Asset managers must take these requirements and their evolution into consideration when developing or marketing new products and be ready to deliver a comprehensive set of data in country-specific reporting templates.

Leveraging an expertise built since 2007, Deloitte Luxembourg is the Deloitte centre of excellence through the Fund Transparency Services team for IIR and can assist you in meeting your look-through requirements. We offer to outsource the production of IIR, whatever the reporting format requested. We cover the end-to-end reporting process:

• One single entry data point for data collection, either from your fund administrators or your external asset managers, for an additional look-through level (e.g., FoF structures).
• Data enrichment leveraging multiple financial information providers, including the collection of credit ratings where applicable, and internal pricing and analytical libraries.
• An in-house reporting platform that is adaptable, flexible, and connected to an internal referential database covering more than 200,000 instruments and securities.
• Documented controls and dedicated oversight files for each reporting type to ease your monitoring, and periodic service and KPIs review.
• Monthly or quarterly reporting, at share class or portfolio level.
• Regulatory watch and support regarding your investors’ inquiries.
• Dissemination of reporting to our clients, platforms, vendors, and your investors on request.

We assist in reducing your time to market and enhancing your client satisfaction. Next to industry-standard templates, Deloitte can also provide you with tailor-made templates, designed to satisfy any specific needs of your clients.