CSSF: requirements of the review on illiquid asset valuation

Summary. On 4 June 2026, the CSSF published a Feedback Report on the valuation of less liquid and illiquid assets. All IFMs must immediately benchmark their policies, procedures and controls, then implement documented corrective actions.

The facts

The Commission de Surveillance du Secteur Financier (CSSF, Luxembourg) conducted a 2024‑2025 thematic review, launched in late 2023 via a questionnaire, on the « Valuation framework for less liquid and illiquid assets ». It primarily targeted AIFMs managing AIFs exposed to private equity, real estate, infrastructure, private debt or funds of funds, and secondarily addressed UCITS aspects linked to Article 41(2) of the 2010 law (less liquid or unlisted « trash ratio » positions). The CSSF sets out observations and recommendations and expects all IFMs to benchmark their practices and implement corrective measures where needed.

Legal basis

• AIFMD – Article 19 and Delegated Regulation (EU) No 231/2013 (Articles 67 to 74) require appropriate valuation policies and methodologies, clear governance, functional independence, periodic reviews, and the option to appoint an external valuer.
• UCITS – Luxembourg law of 17 December 2010, Article 41(2) frames certain eligible assets, including the « trash ratio » pockets reviewed by the CSSF for valuation of unlisted or less liquid securities.

The CSSF ties its expectations to these texts, past exercises (CSA, self‑assessments, inspections) and aims to raise the industry’s valuation and internal control standards.

What changes for Luxembourg firms

• Scope. Primarily Luxembourg IFMs/AIFMs managing AIFs invested in illiquid assets (PE, RE, infra, private debt, FoF), and also UCITS with « trash ratio » positions under the 2010 law. Boards and control functions (risk, compliance, internal audit) are directly involved.
• Risk. Inadequate valuation can distort NAVs, disadvantage investors and trigger remediation orders or sanctions for governance/control failures. Valuation is a CSSF supervision priority for 2026.
• Timing. Immediate requirement: benchmark against the Feedback Report and initiate necessary fixes, anticipating off‑site follow‑ups and on‑site inspections.

For senior management, the challenge is to evidence ownership (review, approval of action plans) and control effectiveness (independent testing, recalculations, back‑testing, challenge of assumptions and models) with robust documentation.

Practical actions to take this week

• Launch a « Flash » gap analysis. Assign risk management and compliance to compare valuation policies, procedures and controls to the CSSF observations. Minute the board’s review of the Feedback Report, decisions, owners, milestones and budget. To structure governance and resilience of control frameworks, you can leverage approaches aligned with the DORA framework in Luxembourg under CSSF oversight where they intersect with organisation and internal control topics.
• Map illiquid exposures. By vehicle/fund and method (DCF, comparables, multiples, external valuer), verify versioned models, materiality thresholds, independent review controls, methodology change procedures, and the audit trail on fair value adjustments. If you need to formalise plans, testing and reporting, partnering with a business continuity and operational resilience service can speed up the set‑up of traceable controls and action plans.
• Test recent files. Reperform valuation on three recent cases per asset class, confront market assumptions (rates, multiples, liquidity), document the challenge session, and, where an external valuer is used, verify independence, mandate, deliverables and selection criteria per AIFMD and Regulation 231/2013.

Next steps

Plan a 90‑day compliance track, monitor milestones in a valuation committee, and prepare an evidence pack (updated policies, challenge minutes, independent tests, corrective actions). To discuss prioritisation and the documentation CSSF expects, get in touch with our team.

Sources

• CSSF – Communication of 4 June 2026
• CSSF – Feedback Report
• Directive 2011/61/EU – AIFMD (Art. 19)
• Delegated Regulation (EU) No 231/2013 (Arts. 67‑74)
• Law of 17 December 2010 on undertakings for collective investment – Art. 41(2)

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