On 19 December 2024 and 2 January 2025, the CSSF has updated its Frequently Asked Questions (“FAQs”) regarding the Luxembourg Law of 17 December 2010 on undertakings for collective investment (“UCITS”)(“the 2010 Law”).
New questions were introduced by the CSSF (12.1) providing specific guidance on the portfolio transparency requirements for actively managed UCITS ETFs.
The CSSF specifies that Asset managers (“IFMs”) of actively managed UCITS ETFs must publish detailed portfolio information for the funds they manage while protecting proprietary information. According to ESMA guidelines, IFMs must publish this information at least once a month, with a maximum delay of one month. The information published must include the identity and quantities of holdings. IFMs may choose a different frequency and time lag for the publication of portfolio details compared to the Portfolio Composition File ("PCF") but must justify their approach. PCFs must be sent simultaneously to Authorised Participants ("APs") and Market Makers (“MMs”) via a secure channel, and intraday transactions should not be communicated in detail. Managers must also ensure that APs and MMs comply with confidentiality rules, particularly with regard to sensitive information about pending transactions.
The CSSF also clarified in point 1.16 of the FAQ, that a UCITS is required to clearly disclose in its investment policy the categories of eligible assets listed under Article 41(1) of the 2010 Law in which it may invest, including those aimed at achieving investment goals, for treasury purposes, or under unfavourable market conditions. If a UCITS invests in assets not foreseen in its investment policy, the provisions of Circular CSSF 24/856 will apply.
The CSSF specifies in the point 7.6 of the FAQ the hedge ratio compliance, stating that breaches of the 105% over-hedged and 95% under-hedged positions do not fall under Circular CSSF 24/856. Instead, UCITS management companies are expected to establish proper monitoring and control procedures to ensure compliance with the ESMA Opinion's hedge ratio requirements.
The CSSF outlines in the point 11.4 of the FAQ, the necessary actions when a UCITS experiences an active breach of the Value-at-Risk (“VaR”) limit. The breach must be reported to the CSSF by email, providing details such as the legal names and identifiers of the notifying entity and fund, VaR computation method, internal VaR limits, breach timeline, and reasons for the breach. The CSSF may request further information but prohibits using UCI forms for such notifications.
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