Circular CSSF 18/706 is a CSSF circular, published 19 December 2018. Subject: Transparency requirements based on Article 12-6 (2) of the Law of 22 June 2018.
\nLegal basis: Law of 22 June 2018 introducing covered bonds into the financial sector law.
\nRelevant for: Credit institutions.
\nLuxembourg, 19 December 2018
\nTo all banks issuing covered bonds
\nRe: Transparency requirements based on Article 12-6 (2) of the Law of 22 June 2018
\nLadies and Gentlemen, Based on Article 12-6 (2) of the Law of 22 June 2018, laying down transparency requirements to covered bond banks, the circular establishes the type of information to be provided and defines the procedure to be applied for the publication of the information. The covered bond bank shall publish on a quarterly basis the following information according to the respective covered bond class referring to the end of the quarter in each case: A) Disclosure of cover pool and covered bond information per category (public sector covered bonds, mortgage backed covered bonds, moveable property covered bonds, mutual covered bonds, renewable energy covered bonds) 1
\nNominal value of cover assets in EUR Nominal value of cover assets including derivatives Net present value of cover assets in EUR Nominal value of covered bonds outstanding in EUR Nominal value of covered bonds outstanding including derivatives Net present value of covered bonds outstanding in EUR Nominal overcollateralisation in percent Nominal overcollateralisation in percent including derivatives Net present value overcollateralisation in percent Substitute assets in percent of nominal value Geographic dispersion of cover assets in percent of nominal value Type of interest rates (Fixed, Floating, Others) Rating 1 of cover assets in percent of nominal value
\nA description of the selection criteria and origin of underlying ratings has to be part of the disclosure.
\nNominal value of cover assets by currency 2 Nominal value of covered bonds outstanding (liabilities) by currency Nominal value of cover assets in reporting currency (e.g. EUR) by maturity with the following buckets: ≤1 year, > 1 to ≤2 years, > 2 to ≤3 years, > 3 to ≤4 years, > 4 to ≤ 5 years, > 5 to ≤ 10 years and > 10 years Nominal value of covered bonds outstanding in reporting currency (e.g. EUR) by maturity with the following buckets: ≤ 1 year, > 1 to ≤2 years, > 2 to ≤ 3 years, > 3 to ≤ 4 years, > 4 to ≤ 5 years, > 5 to ≤ 10 years and > 10 years Percentage of the loans more than ninety days past due and non-performing loans at least in percent of nominal value Ten largest exposures of groups of connected clients in percent of nominal value of the cover pool Details in relation to repayment type (Bullet/Interest only, Amortising, Others) of cover assets and covered bonds outstanding CRR compliance (Yes/No) of covered bonds outstanding UCITS compliance (Yes/No) of covered bonds outstanding Nominal value of cover assets in EUR that are eligible for central bank credit in the European System of Central Banks Nominal value of cover assets in EUR that are level 1 or 2A liquid assets within the meaning of Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions, with the exception of covered bonds issued by the bank Information on derivatives used in the cover pool (notional, type of derivative).
\nB) Cover pool specific information a) Cover assets of mortgage-backed covered bonds (\"lettres de gage hypothécaires\") - Nominal value by type in EUR: commercial mortgages, residential mortgages, etc - For every type, the following additional information shall be given: • number of the loans, • property type information • according to their amount in tranches of up to 300,000 Euros, of more than 300,000 Euros up to 1 million Euros, of more than 1 million Euros up to 10 million Euros and of more than 10 million Euros - Loan to Value (LTV) information - Loan seasoning 3 with the following buckets: ≤ 1 year, > 1 to ≤ 2 years, > 2 to ≤ 3 years, > 3 to ≤ 5 years and > 5 years.
\nThe text above is the opening of the document; the PDF carries the whole.
\nDocument page, PDF. Source: Commission de Surveillance du Secteur Financier (CSSF), reproduced with the CSSF's consent. The French text prevails.
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