UCITS Risk Reporting

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UCITS Risk Reporting

13 December 2016

Regulatory News Alert

The CSSF sent out a second Circular Letter to UCITS’s management companies and self-managed companies requesting that they perform a UCITS Risk Reporting. As for the first reporting, the structure of the report remains unchanged and is composed of eight distinct sections:

  • Section I - applies to all UCITS; and
  • Section II to VIII - apply only to UCITS with AuM over EUR 500 million or a leverage greater than 250 percent.
    As mentioned in the Circular Letter, the next UCITS Risk Reporting will be based on information from the second semester of 2016 and is due on 15 February 2017.

Change of requirements

Through this second Circular Letter, the CSSF made some changes to initial requirements compared to the first UCITS Risk Reporting guidelines:

  • Scope: UCITS liquidated during the reference period are now included
  • Stress testing: The three most relevant stress test scenarios should be disclosed
  • Overshoots: Funds should provide a brief explanation of the sources of overshoots

Do not hesitate to contact our UCITS Risk Reporting team if you have any questions.

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