SOF Investor Reporting

• TPT generation from raw data with / without look through target fund TPTs for the relevant alternative asset classes.
• TPT Input Management incl. collection and validation of target fund TPTs as well as feedback and engagement with target fund managers aiming to improve the data quality over time
• TPT Analyzer presenting the key KPIs of the TPT including SCR / capital charges on a two pager that can be used in the fundraising and in the ongoing analysis

• BVI VAG Template (VAG) is a German market standard for the (Landes-)VAG / AnlV Reporting for German pension funds and pension like institutions (e.g. Versorgungswerk).
• Investors use VAG reports in order to calculate the actual utilisation of the mix quota (“Mischungsquote”) and diversification quota (“Streuungsquote”). The investor will use the VAG report in order to prepare their quarterly supervisory reports that have to be submitted to BaFin no later than 30 days after the quarter end.
• SOF generates VAG reports from raw data with / without look through target fund VAGs for the relevant alternative asset classes.

CRR clients (banks) are subject to various regulatory requirements and would usually require funds to provide the following calculations that banks will then integrate into their own Pillar 1 calculations and Pillar 3 reporting:

• Risk Weighted Assets (RWA) being the regulatory Pillar 1 capital charge for banks; RWA has to be externally audited if delivered via a third party;
• FX exposures are an additional regulatory Pillar 1 capital charge that has to be externally audited in case of third party calculations
• Own fund deductions for investments in financial sector entities need to be identified based on the economic activities of the target investments
• Contercyclical Capital Buffer (CCyB) needs to be calculated based on the issuers’ geographic location of target investments
• Credit Valuation Adjustment (CVA) is an additional regulatory capital charge for derivatives counterparties
• GroMiKV / Large Exposures and Million Loans requires identifying concentrations per issuer of target investments

Working with SOF means getting the full CRR reporting services focused on the specifics of alternative investments including the following:

• BVI GroMiKV Datasheet being the German market standard for the GroMiKV reporting
• WM Forms being the German market standard for RWA, FX, own funds, CCyB and CVA reporting
• Additional SOF CRR reporting package including detailed calculations and disclosures required for investors and auditors
• High risk assessment support whereby SOF is a sparring partner for the client setting up a documented framework for high risk assessments of target investments (150% capital charge)
• External audit support whereby SOF supports the client in their discussion with external auditors with regard to the reports prepared by SOF
• “FinanzInformatik (FI) / KVG Schnittstelle” support whereby SOF supports the client setting up the FI interface and / or provides regular FI reports via the FI interface

Please find more information in the SOF ESG section under the following link

Please find more information in the SOF ESG section under the following link

CRR clients (banks) need to fulfil Pillar 2 / internal risk management requirements / MaRisk BA in Germany including

• Value at Risk (VaR) calculations based on different time horizons (1 day, 3 months, 1 year), different confidence intervals (95%, 99%, 99.5%, 99.9%), different methods (historical, analytical / variance-covariance, Cornish Fisher and stochastic / Monte Carlo simulation) for different risks (equity, property, spread, interest rate, FX, counterparty default).
• Stress tests, scenario incl. ESG and sensitivity analysis based on historical and hypothetical scenarios
• Additional VaR analysis for real estate incl. decomposition into total return (TR), income return (IR) and capital growth (CG) risks
• Outsourcing requirements in cases where the investor receives calculated data
• Annual backtesting whereby the previous forecasts of risk values are compared to the actuals in order to conclude if the model is appropriate (“Modell- und Parameterangemessenheitsprüfung”)

SOF provides the comprehensive Pillar 2 reporting services focused on the specifics of alternative investments including the following:

• Regular Pillar 2 report including a detailed VAR KPIs for multiple time horizons, methods and confidence levels, a further real estate VaR decomposition of TR into IR and CG, over 100 interest rate stress tests as well as stress scenarios incl. ESG transitional and physical stresses
• Detailed documentation of the calculation model incl. assumptions enhancing clients’ understanding of the SOF framework
• External audit report of the SOF model issued by a qualified external auditor
• Regular annual backtesting report consisting of a qualitative analysis (assumptions and used benchmarks vs. the actual portfolio / investment strategy) and the quantitative analysis (actual returns vs. risk forecasts)
• Support in the benchmark selection whereby SOF acts as a sparring partner for the client based on their knowledge of available benchmark providers and their products for the relevant alternative investment asset classes
• Outsourcing agreement and regular outsourcing compliance support whereby SOF provides a standardised outsourcing agreement for the investor based on their regulatory requirements (e.g. MaRisk BA) and the relevant information on a regular basis