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URR – UCITS Risk Reporting Guidelines in Luxembourg

Last Updated on August 28, 2025 by Arnaud Collignon

This briefing document summarizes the “Guidelines on the UCITS Risk Reporting” issued by the Commission de Surveillance du Secteur Financier (CSSF) on December 13, 2022. It outlines the scope, frequency, content, and key principles for UCITS risk reporting in Luxembourg.

1. Reporting Scope and Key Principles:

  • Applicability: The reporting obligation applies to all Luxembourg-domiciled UCITS authorized by the CSSF as of the reporting reference dates (June 30 and December 31). UCITS liquidated during the reference period are out of scope.
  • Entity vs. Sub-fund: The term “UCITS” refers to an entity for non-umbrella UCITS and each sub-fund for umbrella UCITS. Reporting is done separately for each sub-fund; no consolidation is required at the entity level.
  • Two-Sheet File: The reporting file consists of two sheets:
    • “DataURR”: Contains risk information at the UCITS level.
    • “Contact details”: Collects contact information for the management company or self-managed investment company.
  • Mandatory Sections: All UCITS must provide contact details and fill in Section I (“Functional Data”) of the “DataURR” sheet.
  • Extended Reporting Scope (Sections II-VIII): In addition to Section I, UCITS must fill in sections II to VIII if they meet one or both of the following criteria:
    • Total Net Assets (TNA) at the reporting reference date are equal to or higher than 500 million euros (this threshold applies at the sub-fund level for umbrella funds).
    • They use the Value-at-Risk (VaR) method for calculating global exposure and have an arithmetic average leverage (calculated as the sum of notionals of derivatives used) over the reference semester greater than or equal to 250% of the UCITS’s TNA.
  • Frequency: Semi-annual (covering January 1 to June 30, and July 1 to December 31).
  • Reporting Reference Date: The last day of every calendar semester (e.g., end of June and December).
  • Reporting Deadline: Within 6 weeks after the reporting reference date.
  • Reporting Currency: Monetary values are to be provided in the UCITS’s base currency, as disclosed in its constitutive documents and prospectus, unless specified otherwise.
  • Data Accuracy: Data items referring to minimum, maximum, or average values over the 6-month period must consider all observation points, including those with a value of 0. For semester-end values that are 0, a 0 should be filled in. “N/A” or other text should not be used for non-applicable cells; they should be left blank unless specified.

2. Key Sections of the UCITS Risk Data (“DataURR”) Sheet:

Section I: Functional Data (Applicable to ALL Luxembourg-domiciled UCITS)

  • Identifiers: CSSF codes for the entity and sub-fund, name of the UCITS (entity name + sub-fund name for umbrella funds), and base currency (using ISO 4217 codes).
    • General Information:Total Net Assets (TNA) in base currency and in EUR at semester-end.
    • Global exposure calculation method (Commitment, Absolute VaR, or Relative VaR).
    • For VaR-using UCITS: Expected level of leverage (lower limit, average, upper limit) from the prospectus, and arithmetic average leverage during the semester (based on at least bi-monthly data, i.e., 12 observation points).
    • For UCITS disclosing commitment-based leverage in their prospectus (even if using VaR) and all commitment-based UCITS: Expected leverage levels (lower, average, upper) and arithmetic average leverage during the semester (commitment approach).

Section II: Key Investment Strategy (Applicable to UCITS within the reporting scope)

  • Information derived from the prospectus’s primary investment policy, considering both direct and indirect investments. For fund of funds, it’s based on underlying UCIs.
  • Principal Asset Class: Choices include Equity, Investment Grade Bonds, High Yield Bonds, Mixed Equity/Bonds, etc.
  • Principal Investment Strategy: Choices include Long, Short, Long-Short, Market-neutral, Arbitrage, Unconstrained/Multi-strategy.
    • Region and Market:Geographical Focus: Africa, Asia & Pacific, Europe, North America, Central & South America, Multiple Region.
    • Type of Market: Developed, Emerging, Mixed.

Section III: Global Exposure and Leverage (Applicable to UCITS within the reporting scope)

  • A. Commitment Approach: (For UCITS using this method)
    • Global exposure at semester-end, minimum, maximum, and arithmetic average during the semester (calculated daily).
    • Number of days the legal global exposure limit (100% of TNA) was breached.
  • B. Absolute VaR Method: (For all VaR-using UCITS)
    • Absolute VaR (99% confidence, 20 business days holding period) at semester-end, minimum, maximum, and arithmetic average during the semester (calculated daily). Rescaling required if different parameters are used.
  • C. Relative VaR Method: (For UCITS using this method)
    • Relative VaR (on a 200% basis using formula: 100 * (UCITS VaR / Reference VaR)) at semester-end, minimum, maximum, and arithmetic average during the semester (calculated daily).
  • D. VaR Limits and Back Testing: (For all VaR-using UCITS)
    • Maximum internal VaR limit and contractual VaR limit (if applicable), rescaled to 99% confidence, 20 business days.
    • Number of days the internal, contractual, and regulatory VaR limits (20% absolute, 200% relative) were breached.
    • Comments on regulatory VaR limit breaches (max 200 characters), including VaR figure, date, sources, and actions.
    • Back Testing result: Number of overshoots in the last 250 days (99% confidence).
    • Back Testing result assessment: Analysis/explanation and measures taken if overshoots exceed 4 (max 200 characters).
    • Minimum, maximum, and arithmetic average overshoot amount in excess of VaR (as positive percentage of VaR) if overshoots exceed 4.
  • E. Realized Leverage (Sum of Notional Method): (For VaR-using UCITS)
    • Minimum, maximum, and arithmetic average leverage during the semester (based on at least bi-monthly data).
  • F. Breakdown of Leverage per Risk Factor (Sum of Notional Method): (For VaR-using UCITS)
    • Total leverage, broken down by risk factor (equities, fixed income/interest rate, credit, foreign exchange, commodities, volatility, other underlying) and direction (long/short or positive/negative duration). Information expressed as absolute percentage of TNA.
  • G. Leverage from Efficient Portfolio Management (EPM) techniques: (For all UCITS in scope)
    • Leverage arising from reinvestment of cash collateral in EPM, as a percentage of TNA.
  • H. Sum of Notional Amounts per Derivative Category: (For all UCITS in scope)
    • Sum of notional amounts of derivatives at semester-end (as percentage of TNA), categorized into Futures (Equity, Fixed Income/Interest rate, Other), Swaps (Interest rate, Total return, Credit default, Contracts for difference, Other), Forwards (FX, Other), and Options (Equity, Interest rate, Other).

Section IV: Stress Testing and Other Risk Indicators (Applicable to UCITS within the reporting scope)

  • A. Univariate Stress Tests: (For all UCITS in scope)
    • Impact on NAV (as percentage of TNA) for predefined scenarios: Stock markets +/-30%, IR curves parallel shift +200bps, Credit spreads proportional shift +/-50%/+100%, FX base currency vs. other currencies +/-30% (depreciation/appreciation of base currency).
  • B. Most Relevant Stress Tests: (For VaR-using UCITS)
    • Information on the 3 most relevant stress scenarios tested during the semester: description (max 200 characters), result, and holding period (in business days).
  • C. Other Risk Indicators: (For all UCITS in scope)
    • Annualized realized NAV volatility and performance over the semester (excluding subscriptions/redemptions).
    • Minimum and maximum Synthetic Risk and Reward Indicator (SRRI) among active share classes.

Section V: Efficient Portfolio Management (EPM) Techniques (Applicable to UCITS within the reporting scope)

  • Calculations (minimum, maximum, arithmetic average) based on at least monthly data (minimum 6 observation points). NAV dates without EPM use should be accounted for as 0.
  • A. Repurchase agreement transactions (“repo”): Market value of securities sold to counterparties at semester-end, and min/max/average during the semester (without netting or collateral).
  • B. Reverse repurchase agreement transactions (“reverse repo”): Value of cash paid to counterparties at semester-end, and min/max/average during the semester (without netting or collateral). Includes reinvestment of cash collateral from other EPM.
  • C. Securities lending: Market value of securities lent at semester-end, and min/max/average during the semester (without netting or collateral).
    • Indicate if agent lenders are used.
    • Indicate if the agent or other entity indemnifies the UCITS against borrower default.
  • D. Securities borrowing: Market value of securities or cash posted to counterparties at semester-end, and min/max/average during the semester (without netting or securities received).

Section VI: Counterparty Risk and Collateral (Applicable to UCITS within the reporting scope)

  • A. Positive Net Counterparty Exposure:Overall positive net exposure (mark-to-market) from EPM techniques and OTC financial derivative transactions (as % of TNA).
    • Top 3 counterparties (excluding CCPs) with greatest positive net exposure: Name, LEI code, and net exposure.
  • B. Negative Net Counterparty Exposure:Overall negative net exposure (mark-to-market, absolute value) from EPM techniques and OTC financial derivative transactions (as % of TNA).
    • Top 3 counterparties (excluding CCPs) with greatest negative net exposure: Name, LEI code, and net exposure.
  • C. Collateral Received: Value of collateral received at semester-end (without haircuts or netting effects) in the context of EPM techniques and OTC financial derivative transactions.
    • Breakdown of cash collateral by investment type (on deposit, invested in government bonds, reverse repos, short-term MMFs).
  • D. Collateral Posted: Value of collateral posted at semester-end for OTC financial derivative transactions (without netting effects).
  • E. Trading of Financial Derivative Instruments: Percentage of notional amount of financial derivatives traded on a regulated exchange vs. OTC (must sum to 100%).
  • F. Clearing of OTC Financial Derivative Instruments: Percentage of notional amount of OTC financial derivatives cleared through CCP vs. bilaterally (must sum to 100%).

Section VII: Liquidity Risk (Applicable to UCITS within the reporting scope)

  • A. UCITS Portfolio Liquidity Profile (Normal Market Conditions):Percentage of portfolio liquidatable within various time buckets (1 day or less; 2-7 days; etc.; >365 days) at semester-end (must sum to 100%).
    • Value of unencumbered cash at semester-end.
  • B. UCITS Portfolio Liquidity Profile (Stressed Market Conditions): [OPTIONAL]Description of stress test scenario assumptions.
    • Percentage of portfolio liquidatable under stressed conditions within various time buckets.
  • C. Information on Redemption:Highest net redemption (as % of TNA) and its NAV date during the semester.
    • Notice period for redemptions (in business days).
  • D. UCITS Shareholders: Breakdown of ownership by investor group (Non-financial corp, Banks, CIS, Other financial, Insurance, Pension funds, General government, Households/retail, Unknown) as percentage of TNA. “Ultimate beneficial owners should be reported where known or possible on a best effort basis.”
    • Percentage of TNA held by the 5 predominant shareholders (ultimate beneficial owners where known).
  • E. Liquidity Management Tools (in constitutive documents/prospectus): Yes/No for Redemption gates/deferrals, Swing-pricing, Anti-dilution levy, Temporary suspension of redemptions, Other (e.g., redemption in kind, liquidity fees).
  • F. Usage of Ex-Post Liquidity Management Tools: Number of days each of the above tools was used during the semester.
  • G. Use of Borrowing: Borrowing at semester-end, minimum, maximum, and arithmetic average during the semester (as % of TNA, based on all NAV-based data).
  • H. Miscellaneous on Liquidity Management:Other available tools for adverse conditions (e.g., committed credit lines, inter-fund arrangements), excluding uncommitted credit lines.
    • Confirmation if the management company regularly conducts liquidity stress tests.

Section VIII: Credit Risk Information (Applicable to UCITS within the reporting scope)

  • A. Debt Portfolio Credit Quality: (Only for UCITS with total debt portfolio exposure >= 50% of TNA)
    • Percentage of TNA exposed to debt securities (direct or indirect via FDTs) broken down by internal credit rating (1-10, 1 being highest quality, 10 being defaulted). Debt securities are broadly defined and include FDTs relating to debt securities (e.g., bond futures), but not FDTs relating to interest rates (e.g., interest rate swaps). FDTs underlying a financial index or CIS investing in debt securities may be excluded. Netting effects are allowed if compliant with CSSF circular 11/512.
  • B. Debt Portfolio Credit Spreads: (Only for UCITS with total debt portfolio exposure >= 50% of TNA)
    • Percentage of TNA exposed to debt securities within given credit spread buckets (<100 bps, 100-350 bps, 350-1000 bps, >=1000 bps).
  • C. Credit Linked Instruments: Percentage of TNA invested in Convertible bonds, Contingent convertible “CoCo” bonds, ABS/MBS, and Other structured products at semester-end.

Contact Details Sheet:

  • Scope: All management companies and self-managed investment companies.
  • Content: Contact details (First Name, Last Name, Email, Phone Number including prefix for outside Luxembourg) for:
    • Conducting Officers for Risk Management, Compliance, Internal Audit, Investment Management, Administration, Marketing.
    • AML/CFT compliance officer.
    • URR contact person(s).
  • Multiple entries in a single cell should be separated by a semicolon.