CSSF Publishes New UCITS Risk Reporting Requirements - Quick Action Required!

• Jurisdiction: Luxemburgo
• Date: 29 April 2016

On 22 April 2016, the CSSF released a new circular letter which requires UCITS funds to complete and file a substantial new reporting template related to the risk and risk management of UCITS funds.

The letter addresses all UCITS, but the major reporting requirements apply only to the ones that fulfil the conditions below. Those that do fall within the full scope face a new, major reporting challenge, as the first report must be filed by 16 May 2016. Given the level of detail requested by the circular, quick action is an absolute must.

Full-scope reporting applies to those UCITS that either have more than €500 million total net assets (TNA), or that use the value-at-risk (VaR) method for calculating their global exposure and have an arithmetic average leverage over the reference semester greater than or equal to 250% of the UCITS' total net assets.

Challenging reporting requirements

The following is a non-exhaustive list of the information that will need to be submitted:

leverage per risk factor (sum of notional amounts; optionally: commitment) sum of notional amounts per derivative category % liquidity per time bucket % shareholdings of the UCITS per sector classification debt portfolios only: % TNA per rating class (1, 2, 3, ...10) debt portfolios only: % TNA per credit spread bucket % TNA per type of credit-linked instruments new stress tests / sensitivities minimum/maximum/arithmetic average use of EPM techniques such as [reverse] repos and securities, lending/borrowing and cash borrowing details of...