The revised UCITS Directive (2009/65/EU), which must be implemented in all Member States by 1 July 2011, requires, for structured UCITS (including capital-protected and guaranteed UCITS) and other comparable UCITS, the use of prospective scenarios as presentation of past performance is not relevant.
Article 36 of the Commission Regulation No 583/2010 implementing the Directive as regards key investor information (KII) provides that:
· The key investor information document for structured UCITS shall not contain the "Past performance" section. For the purposes of this Section, structured UCITS shall be understood as UCITS which provide investors, at certain predetermined dates, with algorithm-based payoffs that are linked to the performance or to the realization of price changes or other conditions, of financial assets, indices or reference portfolios or UCITS with similar features.
· For structured UCITS, the section entitled "objectives and investment policy" of the [key investor information document] shall include an explanation of how the formula works or how the pay-off is calculated.
· The explanation referred to in paragraph 2 shall be accompanied by an illustration, showing at least three scenarios of the UCITS' potential performance. Appropriate scenarios shall be chosen to show the circumstances in which the formula may generate a low, a medium or a high return, including, where applicable, a negative return for the investor.
Deadline for comments is 10 September 2010.
© CESR - Committee of European Securities Regulators
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