To help AIFMs in mastering the main hurdles in their risk management process of alternative investments, EY developed the cutting-edge Alternatives Risk Monitor. It improves operational decision-making and increases transparency and efficiency while maintaining regulatory compliance in the risk management function. EY can support clients in ad-hoc or continuous risk assessement.  

Key features:

• Extensive out of the box KRI inventory and possibility to add specific KRIs
• Apply group of risks (e.g., on the investment strategy and sector) to facilitate an easy/automatic mapping process
• Easing the assessment through central capturing of global values and and automatic feeds from various sources
• Flexible KRI configuration enables you to set-up frequency, priority, risk model, etc.
• Audit trail – e.g., access to all previously conducted assessments
• Automated sourcing of holding and NAV data from the fund administrator
• Dashboard for insightful analytics

Funds are required to provide the below mentioned reports to bank investors in order to meet their Basel III look-through requirement and reduce capital adequacy.

• GroMiKV - The GroMiKV reporting enables investors from the banking sector to identify their concentrated exposures according to the regulation of large exposures and loans
• CRR - According to the Capital Requirements Regulation (CRR), for financial institutional investors we need to identify the fund’s CVA risk, own fund deduction quotes, FX exposure and risk weights.
• CRD IV - The ​Capital Requirements Directive IV (CRD IV) is an EU legislative package that contains prudential rules for banks, building societies and investment firms. It includes enhanced requirements for the quality and quantity of capital, a basis for new liquidity and leverage requirements, rules for counterparty risk, macroprudential standards including a countercyclical capital buffer and capital buffers for systemically important institutions.

The "Property Return Model" established by the German industry association BVI is intended to supplement the previous methods of risk measurement in real estate funds and to map relevant market risk figures for any real estate in a fund. The report can be shared internally or with investors.

The delegation of investment management functions by UCITS management companies and alternative investment fund managers (AIFMs) has been under the lens of the ESMA (e.g. review AIFM directive) and the CSSF (circ. 18/698). EY’s Oversight solution enables you to manage and document your delegated functions centrally, to link to due diligence platforms and to monitor KPIs and SLAs centrally.

Key features

• Flexible presentation of essentials
• Tailored templates
• End-to-end process, e.g., 
  • Efficient data gathering from various sources
  • Enrichment through market data
• Narratives configuration allows to set up narratives at umbrella, fund and share class level
• Publishing of the latest Factsheet on website after validation by client
• Factsheet comparison feature on dashboard allows to quickly review any changes from last published version

The Markets in Financial Instruments Directive (MiFID II) requires that the funds are being made available only to the right investor groups and fund’s cost information are disclosed pre-trade and on regular basis. The industry defined a standard template to exchange this information efficiently: European MiFID II Template (EMT) entails the target market data, distribution strategy, as well as ex-ante and ex-post costs. In addition to the EMT, certain distributors may request to utilize different platforms of exchange with their bespoke formats (WM Daten, Allfunds, OpenFunds).

Key features

• Automatic dissemination to distributors and platforms
• Seamless integration with EY’s Transaction Cost module
• Comparison with previously approved reports to optimize review and approve process
• Optional calculation of additional cost information
• Look-through into external target funds

The Money Market Fund Regulation EU 2017/1131 (in short “MMFR”) is an EU regulation for money market funds (“MMF”), which requires to report stress tests and other information (in particular classification of investors) to local regulators. The stress tests calculations are standard for all MMFs, as per the methodology described in ESMA guidelines ESM34-49-164 and ESMA34-49-168.​

Funds are required to provide the below PKG report to Austrian pension funds which are investing into the funds so that the pension funds can perform their asset look-through requirement.

VAG (Versicherungsaufsichtsgesetz) is German pension fund reporting. The German insurers and pension funds are required to perform a certain asset look-through. This report is provided by asset managers on a quarterly basis.

FTK, (Financieel Toezichtskader) is a Dutch pension fund reporting. The Dutch pension funds are required to perform a certain asset look-through. This report is provided by asset managers on a quarterly basis.

Traffic-light model is a Sweden pension fund reporting where a company’s solvency risk is categorized as green, amber or red and according to the colour some actions are taken.

COVIP reporting is an Italian reporting required by Italian regulators for pension funds.

Key Information Documents for insurers (KID), in which product information, risk, performance scenarios and costs (in particular transaction costs) are disclosed.

Key features:

• KIDs and SIDs
• Monitoring of product features and figures
• Monitoring of trigger events of ‘material change’ or annual review
• Flexible narratives management
• Translation 
• Website integration and hosting of documents

Calculations

• Collection of EPTs from ~300 asset managers 
• Up to daily calculations of Systemic Risk Indicator (SRI), performance scenarios and cost information 
• On the fly simulation for specific investment scenarios (illustration to insurer’s end-client)
• Sourcing of proxy data for new insurance and allocation funds

Key Requirements:

• Rule book approach
• Monitoring of product features and figures
• Monitoring of small amount of free text fields
• Trigger event of ‘material change’ or annual review (every 12 months)
• Monthly calculation not required but recommended (SRI and performance scenario monitoring, transaction cost)
• Once drafted – less maintenance needed on text fields
• Translation only on free text fields

Asset managers need to send a TPT (Tripartite Template) in a given format to their insurance investor in order to meet their look-through and capital adequacy requirement. EY supports asset managers in the creation of the TPT report and SCR calculation and collects for insurer and fund of funds the TPTs from asset managers. More and more insurers are asking for alternative investment funds (AIF) for instance for the right real estate capital adequacy or perform an eligabilty assessment (long-term equity and infrastructure information). 

EY Regulatory Reporting platform calculates both PRIIPs transaction cost calculation methods – the arrival price/slippage method and the new PRIIPs/estimate method. Asset managers can choose one of the methodology for EMT and EPT reporting.

Key features:

• Tracked changes of ex-post and ex-ante figures
• Arrival price and estimate methodology comparison
• Sourcing of arrival price
• Detailed classification of asset classes for estimate methodology application
• For Fund-of-Funds: 
  • sourcing of Fair-Value-Price-Template FVPT (arrival price of funds) to calculate transaction costs of (de-) investing into funds 
  • cost look-through (EY collects EPTs from ~300 asset managers)

Key features

• Tailored templates to meet client branding guidelines
• End-to-end process, e.g., 
  • Efficient data gathering from various sources
  • Enrichment through market data
  • SRRI monitoring
• Narratives configuration allows to set up narratives at umbrella, fund and share class level
• File and publish latest KIID on website after validation by client
• Translation service
• UCITS KIID comparison feature on dashboard allows to quickly review any changes from last published version