As part of the implementation of updated regulatory requirements stemming from BaFin’s revised collective administrative acts and amendments to the German Investment Regulation (Anlageverordnung, AnlV), the German Investment Funds Association (BVI) has introduced a significantly revised VAG reporting template for investment funds held by German insurers.

The updated template was first published in October 2021, with further refinements and clarifications released during December 2021. The new version becomes applicable as of 31 December 2021 and will replace the previous template version.

The revision reflects a broader regulatory focus on more structured, standardised, and transparent investment reporting for insurers. For asset managers and service providers supporting insurance clients, the changes require timely adjustments to data models, reporting processes, and operational workflows.

Regulatory Background – How VAG Reporting Works

Under BaFin’s reporting framework, German insurance undertakings are required to disclose their capital investments through several standardised reporting forms (Nachweisungen) and annexes. The reporting scope includes supervised small insurance undertakings (kleine Versicherungsunternehmen), pension funds (Pensionskassen), and certain public-law pension institutions (öffentlich-rechtliche Versorgungseinrichtungen) offering voluntary retirement benefits.

These reporting obligations are fulfilled through several standardised forms. These include Nachweisung 670, which provides an overview of investments by regulatory asset category under AnlV, and Nachweisung 660, which covers derivative financial instruments, forward purchases, forward sales, and structured products. In addition, Annex ‘Diversification’ (Anlage Streuung) is used to monitor debtor concentration and diversification limits, while Annex ‘Investment Funds’ (Anlage Fonds) provides more detailed information on investment fund holdings and underlying exposures.The reporting timelines are also important from an operational perspective. Nachweisungen 670 and 660, as well as Anlage Streuung, must be submitted quarterly without delay and no later than the end of the month following the relevant calendar quarter. Anlage Fonds is submitted annually and must be filed no later than the end of the month following the calendar year.

For pension funds, Nachweisung 678 applies and must also be submitted quarterly. The BVI data sheets therefore play an important intermediary role: they allow asset management companies to provide insurers and pension funds with the information required to fulfil their own VAG reporting obligations.

Role of the BVI Data Sheets

The BVI data sheets are designed to support reporting by asset managers to investors subject to the BaFin collective administrative acts. For insurance undertakings, asset managers use the data sheets for Anlage Fonds and Anlage Streuung. For pension funds, only the Anlage Fonds data sheet is required; a separate Anlage Streuung debtor list is not needed.

Although Anlage Fonds is submitted to BaFin only annually for small insurance undertakings, the BVI guidance notes that asset managers will provide the data sheets to insurers or pension funds on a monthly or quarterly basis. This is practically important because insurers still need to update fund-related values in Nachweisung 670 on a quarterly basis.

The updated data sheets also remain Excel-based for the time being, although they have been technically improved to allow future CSV processing according to BVI. The German guidance confirms that the Excel file must be provided in xlsx format, that certain tabs must not be modified, and that fields are allocated between asset managers, insurers, and automatically calculated formula fields.

Key Changes in the Revised BVI Template

The new template goes beyond a technical update and introduces a broader revision of the reporting structure, including amended data fields, classifications, and guidance notes.

Most notably, the template introduces a redesigned layout, expanded issuer and exposure reporting, revised field definitions, and renamed reporting positions. Investments must now be allocated more precisely to regulatory categories under the AnlV framework.

Several asset classes and reporting topics receive more explicit treatment, including target fund exposures, derivatives, ABS and credit-linked notes, real estate funds, bail-in-able debt instruments, listed and non-listed assets, and the concept of an organised market. This makes the revised template more prescriptive, but also more useful for consistent interpretation across market participants.

Increased Focus on Look-Through Transparency

One of the most relevant developments is the stronger emphasis on look-through reporting.

The German guidance confirms that investment funds under section 2 paragraph 1 numbers 15 and 16 AnlV generally have to be made transparent and included in the relevant quota calculations. If they are not transparent, only classification under number 17 may be available. For special AIFs, transparency requires that the insurer receives information on the composition of the fund within one month after the end of the relevant quarter; for retail funds, the period is three months.

Where a fund itself invests in target funds, those target funds may also need to be made transparent. A separate data sheet must be prepared for each target fund and the results then aggregated into the reporting of the primary fund. This is particularly relevant for fund-of-funds structures and creates additional data sourcing and validation requirements.

Selected Asset Class and Data Challenges

The revised template also clarifies several practical classification issues.

For derivatives, liabilities from derivative transactions are generally offset against the related asset, while derivative receivables and swaps may need to be reflected in the residual value where appropriate. Derivatives are not treated in the same way as other residual-value assets for the alternative investment quota, but they remain relevant for the 35% risk capital investment quota.

For ABS and credit-linked notes, the guidance confirms that these instruments are captured separately and must generally have investment-grade credit quality. If they lose investment-grade status during the holding period, this must be reflected in the relevant reporting line.

Bail-in-able debt instruments are also treated explicitly. They may be allocated to certain AnlV categories, but are subject to the 25% bail-in quota. Where such instruments are below investment grade, additional high-yield quota considerations may also apply.

The template also distinguishes between listed and non-listed assets and clarifies the relevance of the organised market concept, including its link to regulated markets under MiFID II and the BaFin exchange list for certain non-EEA markets.

Operational Impact for Firms

Because the revised template is not backward-compatible, implementation efforts should not be underestimated.

Firms may need to address:

  • updates to existing reporting templates and automation processes;
  • revised mapping logic for AnlV categories;
  • additional issuer and concentration reporting fields;
  • new treatment of ratings, bail-in instruments, derivatives, and target funds;
  • enhanced look-through processes for fund-of-funds structures.

The adjusted WM-Daten feed expected from the first quarter of 2022 should support implementation, but firms will still need to validate whether the mapped data points are appropriate for their own reporting purposes.

Looking Ahead

The revised BVI template marks an important step towards more data-driven and standardised insurer investment reporting in Germany. While the template is intended to improve consistency, it also increases expectations around data quality, classification logic, and timely look-through information.

Firms that invest early in scalable data sourcing, look-through transparency, and automated reporting processes are likely to be best positioned to manage the transition efficiently.

If your organisation is currently preparing for the revised VAG reporting template or reviewing related reporting processes, we would be pleased to exchange views and share practical experience. Please feel free to get in touch with SolvencyAnalytics.