UCITS Risk Reporting Dashboard...UCITS RISK REPORTING DASHBOARD Unrestricted Version: Version 0.1 draft 5/25 2. Executive summary • The overall UCITS population, as at 31 December

UCITS RISK REPORTING DASHBOARD

Unrestricted Version: Version 0.1 draft

1/25

UCITS Risk Reporting

Dashboard

31.12.2019



2/25

UCITS Risk Reporting Dashboard

CONTENTS

1. Introduction 3

1.1 Scope of the UCITS Risk Reporting 3 1.2 Coverage of the full reporting scope by investment policy type and global

exposure calculation method 4 2. Executive summary 5 3. Overall UCITS population 6

3.1 Main characteristics 6 3.2 Realised leverage 7

4. UCITS in the full reporting scope 9 4.1 Main characteristics 9 4.2 Global exposure and leverage 10 4.3 Stress testing and other risk indicators 13 4.4 Efficient portfolio management (EPM) techniques 15 4.5 Counterparty risk and collateral in relation to EPM techniques / OTC and

traded derivatives 17 4.6 Liquidity 19 4.7 Credit 23



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UCITS Risk Reporting Dashboard

1. Introduction

1.1 Scope of the UCITS Risk Reporting

In the context of the UCITS Risk Reporting, all Luxembourg domiciled UCITS 1 authorised by the CSSF are required

to provide some general information/basic functional data including the global exposure calculation method and

the realised level of leverage, as well as, for UCITS under a VaR approach, the expected level of leverage. In

addition, detailed information on risks is requested for UCITS falling in the “ full reporting scope", i.e. UCITS

fulfilling at least one of the following two criteria:

- net assets above EUR 500 million;

- use of VaR for the calculation of global exposure covered by Article 42(3) of the 2010 Law with an average

gross leverage during the semester greater than 250%2.

1 In this report, the terms “UCITS” and “fund” will be used both for an entity in the case of a non -umbrella UCITS and for each sub-

fund in the case of an umbrella UCITS.

2 In accordance with the rules set out in the applicable regulation, the gross leverage is calculated as the notional sum of th e derivatives

used.

Not in the

reporting scope22%

883 Bn€

TNA >= 500M€

73%

2 877 Bn€TNA >= 500M€ and

real levg >= 250%3%

130 Bn€

Real levg >= 250%

1%38 Bn€

In the reporting

scope78%

3 045 Bn€

Overall UCITS Population and UCITS falling in the reporting scope (in terms of net assets)



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1.2 Coverage of the full reporting scope by investment policy type and global exposure

calculation method

Note: Fund classifications are based on the BCL investment policy types. The category “Hedge funds” includes

funds that implement alternative strategies while respecting the UCITS regulatory framework (often referred to

as “liquid alternative funds”).

0%

20%

40%

60%

80%

100%

0 Bn

500 Bn

1.000 Bn

1.500 Bn

Covera

ge r

ate

Net

assets

Coverage rate by investment policy type

0%

20%

40%

60%

80%

100%

0 Bn

500 Bn

1.000 Bn

1.500 Bn

2.000 Bn

2.500 Bn

3.000 Bn

Covera

ge r

ate

Net

assets

Coverage rate by global exposure calculation method



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2. Executive summary

• The overall UCITS population, as at 31 December 2019, is made of 10 993 funds (incl. dormant /

unlaunched funds) totaling net assets of EUR 3 928 Bn€, mainly Equity and Bond funds (resp. 35% and

34% in terms of net assets), and funds under the Commitment approach (66% in terms of net assets).

• The Full reporting scope is made of 1 972 funds totaling net assets of EUR 3 045 Bn€. It fairly covers

the overall UCITS population. The predominant criterion for falling in the full reporting scope remains size

(i.e. TNA above EUR 500 million).

• The main change compared to December 2018 is a decrease in gross leverage from 70% to 63%,

o mainly due to bond funds and hedge funds / funds under the absolute VaR approach and

o mainly explained by a lower use of short-term interest rate derivatives (



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3. Overall UCITS population

3.1 Main characteristics

3.1.1 Net assets

3.1.2 Investment policy types

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

Fund size

Market concentration

units net assets

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

% o

f to

tal net

assets

number of funds

Market concentration

1.337 bn€

34%

1.357 bn€

35%

770 bn€

20%

130 bn€

3%

15 bn€

0%

319

bn€8%

Investment policy types

(in terms of net assets)

Bond funds Equity funds Mixed funds

Hedge funds Other funds MMF

3.115

28%

4.034

37%

2.851

26%

616

6%

246

2%131

1%

Investment policy types

(in terms of units)





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3.1.3 Global Exposure calculation methods

3.2 Realised leverage

3.2.1 Realised leverage by investment policy type and by global exposure calculation method

Methodology note: For the purpose of the 2 graphs above, the realised leverage is

- for funds under a VaR approach, the semester-average value;

- for funds under the commitment approach and TNA above 500M EUR, the semester-end value; and

- for funds under the commitment approach and with TNA below 500M EUR, the TNA-weighted average of

the semester-end leverage of all funds in the same category under the commitment approach and with

TNA above 500M EUR.

2.600

bn€ 66%

644 bn€

16%

684 bn€

18%

Global exposure calculation method (in terms of net assets)

Commitment Absolute VaR Relative VaR

7.565

69%

1.802

16%

1.626

15%

Global exposure calculation method (in terms of units)

Commitment Absolute VaR Relative VaR

84%

14%

96%

318%

120%

3%0%

50%

100%

150%

200%

250%

300%

350%

400%

Realised levera

ge

Average TNA-weighted realised leverage

Dec 2016 June 2017 Dec 2017 June 2018Dec 2018 June 2019 Dec 2019

23%

81%

204%

63%

0%

50%

100%

150%

200%

250%

300%

Realised levera

ge

Average TNA-weighted realised leverage




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3.2.1 Realised leverage for funds under the commitment approach

Methodology note: The realised leverage level is based on the commitment approach, as defined by CESR 10/788.

3.2.2 Realised and expected leverage for funds under the VaR approach

Methodology note: The realised leverage level is based on the sum of the notionals method as defined by CESR

10/788. Where several levels of leverage are disclosed in the prospectus (for example an expected and a

maximum or a range with minimum and maximum), the expected leverage shown on the graph refers to the

highest number.

0%

20%

40%

60%

80%

100%

Realised leverage (Commitment)

units net assets

0%

20%

40%

60%

80%

100%

Realised leverage (VaR)

units net assets

0%

20%

40%

60%

80%

100%

Expected leverage (VaR)

units net assets



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4. UCITS in the full reporting scope

4.1 Main characteristics

LongShortLong-ShortMarket-neutral

Arbitrage

Unconstrained/Multi-strategy

0 Bn

200 Bn

400 Bn

600 Bn

800 Bn

1.000 Bn

net

assets

(Bn€)

Net assets by principal asset class and investment strategy

1.791 bn€

59%714 bn€

23%

180 bn€

6%

10 bn€

0%

351 bn€

12%

Investment regions(in terms of net assets)

Multiple Region Europe

Asia & Pacific Central & South America

North America

1.200

61%

465

24%

128

6%

8

0%

171

9%

Investment regions(in terms of units)

Multiple Region Europe

Asia & Pacific Central & South America

North America



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4.2 Global exposure and leverage

4.2.1 Funds under the Commitment approach

4.2.2 Funds under the VaR approach

0%

5%

10%

15%

20%

25%

30%

Gross leverage per derivative category (Commitment funds)

Futures Swaps Forwards Options

0%

5%

10%

15%

20%

25%

30%

Gross leverage per risk factor (Commitment funds)

Equity IR Credit FX Other (incl TRS)

0%

50%

100%

150%

200%

Gross leverage per derivative category (VaR funds)

Futures Swaps Forwards Options

0%

50%

100%

150%

200%

Gross leverage per risk factor (VaR funds)

Equity IR Credit FX Other (incl TRS)



11/25

Note: As set out in the guidelines, “positive” interest rate and credit spread duration correspond to long exposure

on bonds, i.e. exposures such as fixed rate receiver of an IRS or protection seller of a CDS.

4.2.3 Usage of leverage

Note: For the purpose of this report, the usage of leverage is defined as the ratio of the realised to the regulatory

limit for funds under the commitment approach, respectively the ratio of the realised to the expected level of

gross leverage disclosed in the prospectus for funds under the VaR approach.

12%

5%

2%

5%

9%

4%

1%

1%

-8%

-6%

-2%

-9%

-8%

-5%

-1%

0%

-25% -15% -5% 5% 15% 25%

Equity

FI / IR < 3M

FI / IR 3-12M

FI / IR 1-5Y

FI / IR > 5Y

Credit spread duration

Commodity

Volatility

Gross leverage per risk factors (VaR funds) - ex-FX and "other"

Dec 2019 Short / neg duration Dec 2019 Long / pos duration

June 2019 Short / neg duration June 2019 Long / pos duration

962

112

44

22

1

1045

65

28

3

0

0% 20% 40% 60% 80% 100%

0 - 25%

25% - 50%

50% - 75%

75% - 100%

> 100%

% of the population

Usage

Usage of leverage (Commitment funds)

Average

Maximum

174

117

146

147

143

104

245

166

210

112

74

24

0% 10% 20% 30% 40%

0 - 25%

25% - 50%

50% - 75%

75% - 100%

100% - 150%

> 150%

% of the population

Usage

Usage of leverage (VaR funds)

Average

Maximum



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4.2.4 Value-at-Risk (VaR)

Net assets and average TNA-weighted VaR by principal asset class and principal investment strategy

Note: The “heatmap” graph represents each fund category by a rectangle whose size is proportional to its net

assets and whose colour reflects its average absolute VaR (confidence interval of 99% and holding period of 1

month). For the avoidance of doubt, the graph is based on the absolute VaR levels of both UCITS under an

absolute and a relative VaR approach.

0%

2%

4%

6%

8%

10%

12%

14%

Avera

ge A

bsolu

te V

aR

Average VaR (TNA-weighted)





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4.3 Stress testing and other risk indicators

4.3.1 Univariate stress test results

-12,6%

-0,6%

-28,9%

-8,8%

-8,7%

0,0%

-35%

-30%

-25%

-20%

-15%

-10%

-5%

0%

Result in %

of

net

assets

Equities -30%


0% 20% 40% 60%

< -35%

-35% to -25%

-25% to -15%

-15% to -5%

-5% to 0%

0%

0% to 5%

>= 5%

% of funds (Bond funds and MMF excluded)

Result a

s %

of

net

assets

Equities -30%

June 2019

December 2019

-3,6%

-8,1%

-0,1%

-2,4%

-3,9%

-0,3%

-10%

-8%

-6%

-4%

-2%

0%

2%

Result in %

of

net

assets

Interest rates +200bps


0% 10% 20% 30% 40% 50%

< -35%

-35% to -25%

-25% to -15%

-15% to -5%

-5% to 0%

0

0% to 5%

>= 5%

% of funds (Equity funds excluded)

Result a

s %

of

net

assets

Interest rates +200bps

June 2019

December 2019



14/25

Note: As set out in the guidelines, the univariate stress test results should not take into account

dependencies/correlations between risk factors. For the sake of readability, Bond funds and MMF (resp. Equity

funds) are excluded from the graph illustrating the univariate stress test on equities (resp. on interest rates and

on credit spreads).

4.3.2 Annualised realised volatility

-2,8%

-6,4%

-0,1%

-1,8%

-1,1%

-0,1%

-10%

-9%

-8%

-7%

-6%

-5%

-4%

-3%

-2%

-1%

0%

Result in %

of

net

assets

Credit spreads +100%


0% 20% 40% 60% 80%

< -35%

-35% to -25%

-25% to -15%

-15% to -5%

-5% to 0%

0

0% to 5%

>= 5%

% of funds (Equity funds excluded)

Result a

s %

of

net

assets

Credit spreads +100%

June 2019

December 2019

0%

5%

10%

15%

20%

Realised volatility (TNA-weighted)





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4.4 Efficient portfolio management (EPM) techniques

4.4.1 Evolution of volumes and number of active funds by EPM type

4.4.2 Main active Investment Fund Managers (IFMs) per EPM type

Note: Repos are not pictured above as their volumes are much lower (total 1.3Bn€). Similarly to Reverse repos,

repos are dominated by a few actors (~80% of volumes from funds managed by 3 IFMs).

1

35

72

-

109

0 Bn

20 Bn

40 Bn

60 Bn

80 Bn

100 Bn

120 Bn

140 Bn

EPM volumes at semester-end

Dec 2016 June 2017 Dec 2017 June 2018

Dec 2018 June 2019 Dec 2019

33

98

634

-

696

0

100

200

300

400

500

600

700

800

Number of funds engaged in EPM transactions

Dec 2016 June 2017 Dec 2017 June 2018

Dec 2018 June 2019 Dec 2019

IFM 1

IFM 2

IFM 3

Securities lending (72 Bn €)

IFM 1

IFM 2

IFM 3

Reverse repos (35 Bn €)



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4.4.3 EPM volumes by investment strategy

4.4.4 Securities Lending: Use of Agent lenders & indemnification against borrower default

38

23

10

32

0 Bn

10 Bn

20 Bn

30 Bn

40 Bn

50 Bn

EPM volumes by investment strategy

Sec Lending Sec Borrowing Repos Reverse Repos

31%

22 bn€

43%

31 bn€

27%

19 bn€

69%

50 bn€

Sec Lending (in volume)

No use of agent lenders or other intermediaries

use... with indemnification

use... without indemnification

19%

130

60%

372

21%

132

81%

504

Sec Lending (in units)

No use of agent lenders or other intermediaries

use... with indemnification

use... without indemnification



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4.5 Counterparty risk and collateral in relation to EPM techniques / OTC and traded

derivatives

Methodology note: The graph represents the largest counterparties of UCITS in terms of (positive and negative)

net counterparty exposure of UCITS in the full reporting scope. More specifically, the main counterparties are

determined based on the sum of the absolute values of the net exposures of all UCITS in the full reporting scope

to their three counterparties with the largest positive net exposure and their three counterparties with the largest

negative net exposure at semester-end. It is determined at group rather than at legal entity level.

363 bn€

24%

156 bn€

10%

1.012 bn€

66%

1.169 bn€

76%

Trading and clearing of financial derivative

instruments (based on gross assets)

Listed OTC - CCP cleared OTC - Bilaterally cleared

Ctpy1

Ctpy 2

Ctpy 3

Main counterparties on EPM and OTC derivatives transactions



18/25

1106

110

35

19

10

52

675

8

2

2

0

9

0% 20% 40% 60% 80% 100%

0% - 1%

1% - 2%

2% - 3%

3% - 4%

4% - 5%

>= 5%

% of funds engaged in OTC derivatives / EPM transactions

exposure

in %

of

net

assets

Overall net positive counterparty exposure

on OTC derivatives / EPM transactions

EPM

OTC

94%

112 Bn€

4% / 5 Bn€

1% / 1,1 Bn€

1% / 1,1 Bn€

0% / 0,5 Bn€

Reinvestment of

cash collateral

Collateral received on EPM / OTC derivative

transactions and reinvestment of cash collateral

Non cash collateral Deposits Govt bonds Rev repos Short-Term MMF



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4.6 Liquidity3

4.6.1 Portfolio liquidity at semester-end in normal market conditions

3 The figures are based on the self -assessment of the Inves tment Fund Managers on the time to liquidate of their funds and

may appear relatively over-optimis tic.

0%

20%

40%

60%

80%

100%

Asset

liquid

ity in %

of

net

assets

Time to liquidate (normal market conditions)

All funds Bond funds Equity funds Mixed fundsHedge funds Other funds MMF

85% 82% 84%88%

96% 99%

86%

0%

20%

40%

60%

80%

100%

Evolution of 7-days liquidity (all fund categories, normal market conditions)

Dec 2016 June 2017 Dec 2017 June 2018 Dec 2018 June 2019 Dec 2019



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4.6.2 Portfolio liquidity at semester-end in normal market conditions (bond funds)

0%

20%

40%

60%

80%

100%

Asset

Liq

uid

ity in %

of

net

assets

Time to liquidate (normal market conditions)focus on bond funds

All bond funds Investment Grade Bonds General Bonds

Emerging Markets Bonds High Yield Bonds

82%

91%

82% 80%73%

0%

20%

40%

60%

80%

100%

Evolution of 7-days liquidity (bond funds, normal market conditions)




21/25

4.6.3 Portfolio liquidity at semester-end in stressed market conditions4

4 As set out in the guidelines , this sub-section is optional and was filled in by a minority of funds (~30% of the full reporting scope). It

is critical to s tress that the results are based on different methodologies and/or assumptions .

0%

20%

40%

60%

80%

100%

Asset

Liq

uid

ity in %

of

net

assets

Time to liquidate (stressed market conditions)

All funds Bond funds Equity funds Mixed funds


69%63%

71%67%

89%

99%

74%

0%

20%

40%

60%

80%

100%

Evolution of 7-days liquidity (all fund categories, stressed market conditions)




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4.6.4 Portfolio liquidity at semester-end in stressed market conditions (bond funds)

0%

20%

40%

60%

80%

100%

Asset

Liq

uid

ity in %

of

net

assets

Time to liquidate (stressed market conditions)focus on bond funds

All bond funds Investment Grade Bonds General Bonds

Emerging Markets Bonds High Yield Bonds

63%

77% 64%

55%

43%

0%

20%

40%

60%

80%

100%

Evolution of 7-days liquidity (bond funds, stressed market conditions)




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4.6.5 Liquidity Management Tools

4.7 Credit

4.7.1 Aggregate credit exposure by internal ratings and by credit spreads

89%

63%

17%

98%

1%0%

20%

40%

60%

80%

100%

Available liquidity management tools (TNA-weighted)

Dec 2016 June 2017 Dec 2017 June 2018

Dec 2018 June 2019 Dec 2019

0%

36%

3% 0%0%

20%

40%

60%

80%

100%

Usage of liquidity management tools (at least once)

Dec 2016 June 2017 Dec 2017 June 2018

Dec 2018 June 2019 Dec 2019

-

200

400

600

800

1.000

1.200

0%

20%

40%

60%

80%

100%

120%

Num

ber

of

funds

% o

f net

assets

Aggregate credit exposure by internal ratings

rating = 1 rating = 2 rating = 3 rating = 4

rating = 5 rating = 6 rating = 7 rating = 8

rating = 9 rating = 10 Number of funds (rhs)



24/25

Methodology note: As set out in the guidelines, this sub-section is only applicable, with a few exceptions (e.g.

funds of funds), to UCITS within the full reporting scope which have a total debt portfolio exposure (direct or

indirect) at semester-end greater than or equal to 50% of the UCITS total net assets. Exposures to debt securities

should be broken down by credit rating from 1 to 10 with reference to an internal assessment of the credit quality

of the said instruments, whereby rating 1 is deemed to be the upper credit rating (i.e. the highest quality) and

10 relates to defaulted securities.

-

200

400

600

800

1.000

1.200

0%

20%

40%

60%

80%

100%

120%

Num

ber

of

funds

% o

f net

assets

Aggregate credit exposure by credit spreads

cr spread < 100 bps cr spread > 100 and < 350 bps cr spread > 350 and < 1000 bps

cr spread > 1000 bps Number of funds (rhs)



25/25

Commission de Surveillance du Secteur Financier

283, route d’Arlon

L-2991 Luxembourg (+352) 26 25 1-1

[email protected]

www.cssf.lu
mailto:[email protected]://www.cssf.lu/

Documents

UCITS Risk Reporting Dashboard...UCITS RISK REPORTING DASHBOARD Unrestricted Version: Version 0.1 draft 5/25 2. Executive summary • The overall UCITS population, as at 31 December