UCI Reports foreseen by Circular CSSF 21/790 for year-ends 31 January 2026, 28 February 2026, 31 March 2026 and 30 April 2026 now available on eDesk and information on main updates

On 9 February 2026, the CSSF made available in the “Collective Investment Sector Reporting Tool” (“CISERO”) module on the CSSF eDesk platform the Self-Assessment Questionnaire (“SAQ”), the Separate Report (“SR”) and the Management Letter (“ML” and together with the SAQ and the SR, collectively referred to as the “Reports”) for undertakings for collective investment (“UCIs”) with a financial year-end 31 January 2026, 28 February 2026, 31 March 2026 and 30 April 2026. The Reports, with a financial year-end after 30 April 2026, will be made available three months before the respective year-end.

On the basis of the assessments made by the CSSF of the Reports received from UCIs, the supervisory priorities of the CSSF as well as the regulatory developments, the CSSF proceeded to some changes to the Reports, when compared to those in place with a financial year-end as at 31 December 2025.

The main changes, as further set out below, relate in particular to the valuation, expenses / income and NAV determination sections:

The following specific questions have been added:

• whether the valuation policies/procedures (including the valuation methodologies) in place for the UCI (including at the level of the investment fund manager (“IFM”) if applicable) address specifically the valuation processes applicable under stressed market conditions/exceptional circumstances;
• whether the valuation policies/procedures in place for the UCI (including at the level of the IFM if applicable) provide for specific reviews/checks to ensure that, in case a new sub-fund and/or new investment strategy is launched, the valuation policies/procedures cover in an adequate manner the valuation of the investments of the new (sub-)fund and/or the new investment strategy;
• whether the valuation models used in the context of the valuation of investments which are material in the UCIs’ portfolios of the Fund were subject to an independent validation (including at the level of the IFM if applicable);
• whether the valuation policies/procedures in place for the UCI (including at the level of the IFM if applicable) provide for the conduct, in accordance with a risk-based approach, of backtesting controls (by comparing the realised value of the assets upon exit to the last model-based value) in case the UCI has invested a significant portion of the NAV in investments valued on the basis of valuation model(s).

The SAQ has further been simplified by removing several questions in relation to UCI sub-funds holding significant investments in certain types of assets (e.g. investments in non-standard OTC financial derivative instruments, investments in unquoted assets and/or OTC FDIs valued by an external valuer), the provision of information on the number of sub-funds concerned and the related NAV proportion of these assets.

Other questions have been further clarified by refining their wording (e.g. questions on the conflicts of interest to which a UCI is exposed to) and/or adding selectively (sub) questions (e.g. question addressing whether the written valuation policies and procedures include stale valuations) and/or adding/updating related tooltips to better clarify the expectations.

Finally, in application of a risk-based approach, some questions have been limited to open-ended UCIs only. It has to be noted that the limitation of the SAQ to open-ended UCIs does not mean that closed-ended UCIs should not adhere to the same valuation standards.

The sub-section “Liquidity Management Tools (LMTs)” has been updated to take into account the changes of Directive (EU) 2024/927 of the European Parliament and of the Council of 13 March 2024 amending Directives 2011/61/EU and 2009/65/EC as regards delegation arrangements, liquidity risk management, supervisory reporting, the provision of depositary and custody services and loan origination by alternative investment funds (the “AIFM/UCITS Review Directive”) that will apply as of 16 April 2026. More particularly, the list of LMTs covered in that sub-section has been aligned to the LMTs foreseen in the Annexes of the AIFM/UCITS Review Directive.

The question asking whether a formalised assessment has been done for the UCI (including at the level of the IFM if applicable) to verify, amongst other, that the costs/fees are proportionate compared to market standards and to the type of services provided has been further specified with regard to the expectations concerning the content of this formalised assessment. In that context, a sub-question has also been added asking whether this formalised assessment has been discussed during a formal meeting of the management of the UCI.

A question relating to the compliance of the UCI with the ESMA’s guidelines on performance fees in UCITS and certain types of AIFs (ESMA34-39-992) has also been added.

Upon review of the SR transmitted to the CSSF, and noting a satisfactory level of regulatory compliance in certain areas, the auditor’s procedures have been reviewed and streamlined in order to further strengthen the risk-based supervisory approach.

As a result, the following procedures have been removed from the SR:

• In the section “Investment compliance”, (i) the procedures relating to the existence of a documented eligibility assessment for certain types of investments held by UCITS (i.e. investments in closed-ended funds and structured financial instruments as well as investments in non-plain vanilla OTC financial derivative instrument positions) and (ii) the procedure relating to the existence of a favourable credit quality assessment for positions held by money market funds.
• In the section “Valuation”, (i) the procedure relating to the monitoring and publication for LVNAV MMFs or public debt CNAV MMFs of the difference between the constant NAV and the NAV calculated pursuant to the mark-to-market and/or mark-to-model methods and (ii) the procedure ensuring that a documented “backtesting” control is in place for investments in target investment funds (excluding ETF, UCITS, UCITS equivalent and MMFs).
• In the section “NAV determination”, the procedures relating to the policy/procedural framework governing LMTs (anti-dilution levy, swing pricing and gating) and its application, this also in view of the entry into application as of 16 April 2026 of the LMT requirements foreseen by the AIFM/UCITS Review Directive.
• In the section “Disclosure”, the procedure relating to securities financing transactions.

Furthermore, some targeted adjustments have been made to some procedures, including notably the scope of application of the procedures (e.g. only open-ended UCIs) and the reduction of the sample size.

In the section “Organisation”, the procedure regarding the existence of a policy addressing conflicts of interest and a record of conflicts of interest for SIFs and SICARs managed by a registered AIFM or SIFs and SICARs not qualifying as AIF has been replaced by a procedure regarding the existence of a documented risk management policy for SIFs managed by a registered AIFM or not qualifying as AIF.

In the section “Expenses and Income”, a procedure has been added to verify that the formalised assessment on costs/fees, as referred to in the SAQ, has been done for the UCI (including at the level of the IFM if applicable) and has been discussed during a formal meeting of the management of the UCI.