The CSSF has announced that the deadline for UCITS management companies to submit their UCITS risk reports for the period covering the half-year starting 1 July 2016 and ending 31 December 2016 will be 15 February 2017. This is the second CSSF request for reports since a new, more data-heavy template related to risk and risk management reports was introduced in 2016. Given the level of detail requested by the CSSF, quick action is an absolute must.
The same, but different
In a previous article, we provided a non-exhaustive list of the information that had to be submitted in the first reports. This second round of reports has brought small changes, and, furthermore, new requirements for stress testing and overshoot reporting. The latter have been beefed up, with the CSSF now requiring companies to give a brief explanation of the sources of the overshoots if the number of overshoots reported exceeds four; also required are short descriptions of the three most relevant stress scenarios selected and tested over the semester.
The UCITS portfolio liquidity profile in stressed market conditions remains optional for the present reporting exercise; however, the CSSF stresses the importance of such data from a liquidity risk management perspective.
Asset managers may have difficulties producing the report in an efficient manner, as the required information is often scattered across the organisation, hiding in a number of systems, departments, and data sets. Some may not be able to find all of it and crunch the necessary numbers within the short deadline.
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