New Semi-Annual Reporting of Risk Data Required for Luxembourg-Domiciled UCITS

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The Luxembourg supervisory authority (“CSSF”) recently issued a circular letter (“Circular Letter”) that requires all Luxembourg-domiciled UCITS to provide the CSSF with information – pursuant to the filing of additional semi-annual reports – pertaining to risk data. The Circular Letter was addressed to Luxembourg UCITS Management Companies1, Self-Managed SICAVs2 and management companies of other EU member states, which manage at least one Luxembourg-domiciled UCITS authorized by the CSSF as of 31 March 2016.

The CSSF has placed great importance on these risk reports. Indeed, the Circular Letter indicates that non-compliance (including a delay in filing) could result in the imposition of CSSF sanctions. The Circular Letter indicates that the aim of the reporting – to fill certain gaps in risk-related information provided by Luxembourg-domiciled UCITS – is consistent with broader EU and international discussions pertaining to data gaps in the field of asset management.

The risk data is to be reported to the CSSF in the form of an Excel spreadsheet, available on the CSSF’s website, which contains eight sections:

  • Section I must be completed for all Luxembourg-domiciled UCITS. This section requires information as to the UCITS managed (e.g., CSSF identifier, base currency, total net assets).
  • Sections II through VIII require risk-related information regarding investment strategy, global exposure/leverage, portfolio risk indicators, efficient portfolio management (“EPM”) techniques, counterparty risk and collateral in relation to EPM techniques and OTC financial derivatives, liquidity risk and credit risk, and must be completed for all Luxembourg-domiciled UCITS that either:
    • have total net assets of at least EUR 500 million3 as of the reporting reference date; or
    • use the Value-at-Risk method for calculating global exposure, and have an arithmetic average leverage (calculated as the sum of the notionals of the derivatives used) over the reference six-month period, of at least 250% of the UCITS’ total net assets.

For umbrella funds, the risk reporting must be prepared separately for each sub-fund and no consolidation is required at the umbrella level.

The file must be submitted to the CSSF via e-mail, with specified information in the subject line.

Each report covers the relevant six-month period, the last day of which is the reference date for the information to be reported to the CSSF. The first reporting period covers the period 1 October 2015 through 31 March 2016, and the second reporting period will cover 1 July 2016 through 31 December 2016. The first report must be submitted to the CSSF by 16 May 2016.

Interestingly, the CSSF will issue a new circular letter for each subsequent reporting period. It is therefore possible that the CSSF subsequently may ask for additional or other information, or change the frequency of the required reports.

Footnotes

1) These are management companies subject to chapter 15 of the law of 17 December 2010 on undertakings for collective investment, as amended (“Law of 2010”).

2) These are Luxembourg investment companies subject to part I of the Law of 2010, which do not appoint a UCITS Management Company.

3) For UCITS set up as umbrella funds, the threshold should be separately applied for each sub-fund (i.e., not aggregated).

 

DISCLAIMER: Because of the generality of this update, the information provided herein may not be applicable in all situations and should not be acted upon without specific legal advice based on particular situations.

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