The CSSF has published guidelines on the UCITS risk reporting (URR). The document gives further guidance on the UCITS risk reporting and contains definitions, explanations and examples for the items as referred to in the Excel reporting file.
KEY PRINCIPLES AND INSTRUCTIONS
Reporting scope:Ā The present reporting obligation does apply to all Luxembourg domiciled UCITS1 authorized by the CSSF as at 30 June 2021. UCITS liquidated during the reference period are out of scope. While management companies and investment companies know the UCITS they manage and that are covered by the reporting scope, the CSSF asks them nevertheless to critically verify, prior to the submission of the report, that they cover all UCITS authorized as at 30 June 2021.
The reporting file encompasses two separate sheets:
- the first sheet named āDataURRā mainly refers to risk information at UCITS level (hereafter āUCITS risk data);
- the second sheet labelled āContact detailsā aims at collecting contact details at the level of the management company or self-managed investment company in order to enable the CSSF, amongst others, to send the circular letter for UCITS risk reporting by e-mail (in addition to the posted letter) to all addressees.
All the aforesaid UCITS, without exception, have to provide contact details in the second sheet as well as the data items referred to in Section I (āFunctional Dataā) of the UCITS risk data.
In addition to Section I, all UCITS meeting one or both of the following criteria (hereafter āthe reporting scopeā) have to fill in sections II to VIII of the UCITS risk data:
- a) UCITS with total net assets (TNA) at the reporting reference date equal or higher than 500 million euros;
- b) UCITS using the Value-at-Risk (VaR) method for calculating the global exposure as laid down in article 42(3) of the 2010 Law, as further detailed by the CSSF Regulation 10-4 and CESRās Guidelines on Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITSā (Ref. 10-788), (hereafter āCESRās guidelines on Risk Measurementā) with an arithmetic average leverage(calculated as the sum of the notionals of the derivatives used) over the reference semester greater than or equal to 250% of the UCITS total net assets.
Frequency:Ā The frequency of the UCITS risk reporting is semi-annual, this reporting exercise covering the half-year starting 1 January 2021 and ending 30 June 2021. For completeness purposes, the next report is scheduled for the reference date 31 December 2021 covering the semester from 1 July 2021 to 31 December 2021.
Reporting reference date:Ā In principle, the last day of every calendar semester (e.g. end of June and December) shall be considered as the reference date for drawing up the UCITS risk reporting to be communicated by UCITS.
Reporting deadline:Ā UCITS shall submit the UCITS risk reporting as at 30 June 2021 to the CSSF by 16 August 2021 at the latest.
Umbrella UCITS:Ā The UCITS risk reporting shall be drawn up separately for each subfund. No consolidation is required at entity level.
Reporting currency:Ā The UCITS risk reporting shall state under the functional data section the base currency in which the financial figures of the UCITS are expressed. That currency shall be the same as the one disclosed in the constitutive documents and the prospectus of the UCITS. All monetary values are to be provided in the base currency of the UCITS unless specified otherwise.
Period covered:Ā The reporting covers a period of six months. Requested information concerns both data referring to the semester-end and data referring to the reference period of 6 months.
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