CSSF published the circular CSSF 20/753, which amends CSSF 07/301 on the implementation of the Internal Capital and Liquidity Adequacy Assessment Process (ICAAP and ILAAP) and CSSF 11/506 on the principles of a sound stress testing program. CSSF has issued these amendments to provide institutions under the Capital Requirements Regulation (CRR) with updated supervisory expectations on the regulatory requirements applicable to the ICAAP/ILAAP and to stress testing programs pursuant to the EBA guideline (EBA/GL/2018/04). The application date for the circular is October 31, 2020. CSSF expects these changes to be reflected within the governance and operating frameworks of institutions from December 31, 2020.
The amended Circulars CSSF 07/301 and CSSF 11/506 shall no longer be applicable to non-CRR investment firms. The circular CSSF 07/301 has been considerably shortened and is now focusing on the key implementing provisions that institutions shall meet to comply with Articles 18 and 19 of the CSSF Regulation N° 15-02. These provisions complement the general (risk) governance principles of Circular CSSF 12/552, which apply to ICAAP and ILAAP in particular. Also, the reporting requirements have been clarified in line with the EBA guidelines on ICAAP and ILAAP information collected for SREP purposes (EBA/GL/2016/10). The amendments of circular CSSF 11/506 are meant to provide further guidance on the principle of proportionality and on operational arrangements related to the coverage of longer term risks (such as climate-related risks) and data infrastructure. To allow for a straightforward review of the changes made, the amendments to Circular CSSF 11/506 are presented in tracked changes in Annex 1. A dedicated version in tracked changes of Circular CSSF 07/301 has not been provided due to the substantial shortening and redesign of the circular. The amended text, without tracked changes, appears in Annex 2.
Effective Date: October 31, 2020
Keywords: Europe, Luxembourg, Banking, ICAAP, ILAAP, Stress Testing, Regulatory Capital, CRR, Basel, Climate Change Risk, Proportionality, Governance, EBA, CSSF
Previous ArticleBDE Publishes Supervisory Expectations to Address Climate Risks
FED proposed three-year extension, without revision, of the information collection FR 4202, titled "Recordkeeping Provisions Associated with Stress Testing Guidance."
FCA updated the draft guidance for firms to ensure that mortgage customers whose homes may be repossessed are treated fairly and appropriately, particularly where there are risks of harm to customers who are vulnerable as a result of the COVID-19 pandemic.
FCA issued a statement on the cessation or loss of representativeness of the 35 LIBOR benchmark settings published by ICE Benchmark Administration or IBA.
EBA published a package that includes the final draft implementing technical standards on supervisory reporting and disclosures of investment firms.
BIS published a paper that provides an overview on the use of big data and machine learning in the central bank community.
APRA finalized the reporting standard ARS 115.0 on capital adequacy with respect to the standardized measurement approach to operational risk for authorized deposit-taking institutions in Australia.
ECB published a guide that outlines the principles and methods for calculating the penalties for regulatory breaches of prudential requirements by banks.
MAS and The Association of Banks in Singapore (ABS) jointly issued a paper that sets out good practices for the management of operational and other risks stemming from new work arrangements adopted by financial institutions amid the COVID-19 pandemic.
ACPR announced that a new data collection application, called DLPP (Datalake for Prudential), for collecting banking and insurance prudential data will go into production on April 12, 2021.
BCB announced that the Financial Stability Committee decided to maintain the countercyclical capital buffer (CCyB) for Brazil at 0%, at least until the end of 2021.