Circular CSSF 20/753 is a CSSF circular, published 23 October 2020. Subject: Amendment of Circular CSSF 07/301, as amended by Circulars CSSF 08/338, 09/403,11/506 and 13/568 on the implementation of the internal capital and liquidity adequacy assessment process (ICAAP and ILAAP) and of Circular CSSF 11/506 on principles of a sound stress testing programme.
\nRelevant for: Credit institutions, Investment firms.
\nKeywords: Capital requirement, Stress test.
\nAmends Circular CSSF 11/506.
\nCircular CSSF 20/753 AMENDMENT OF CIRCULAR CSSF 07/301, AS AMENDED BY CIRCULARS CSSF 08/338, CSSF 09/403, CSSF 11/506 AND CSSF 13/568 ON THE IMPLEMENTATION OF THE
\nINTERNAL CAPITAL AND LIQUIDITY ADEQUACY ASSESSMENT PROCESS (ICAAP AND ILAAP) AND OF CIRCULAR
\nCSSF 11/506 ON PRINCIPLES OF A SOUND STRESS TESTING PROGRAMME
\nCircular CSSF 20/753 Re: Amendment of Circular CSSF 07/301, as amended by Circulars CSSF 08/338, CSSF 09/403, CSSF 11/506 and CSSF
\n13/568 on the implementation of the Internal Capital and Liquidity Adequacy Assessment Process (ICAAP and ILAAP) and of circular CSSF 11/506 on principles of a sound stress testing programme
\nLuxembourg, 23 October 2020
\nLadies and Gentlemen,
\nTo all credit institutions
\nThe purpose of this circular is to amend Circular CSSF 07/301, as amended, as well as circular CSSF 11/506 in order to provide CRR institutions, as defined in Article
\nand investment firms
\n1(1) of CSSF Regulation N° 15-02 and hereafter referred to as “institutions” 1, updated supervisory expectations on the regulatory requirements applicable to the ICAAP/ILAAP and to stress testing programmes pursuant to the guidelines EBA/GL/2018/04 2 of the European Banking Authority (EBA). In line with CSSF Regulation N° 15-02 and the principle of proportionality, the amended Circulars CSSF 07/301 and CSSF 11/506 shall no longer be applicable to non CRR investment firms. As regards circular CSSF 07/301, it can be observed that today the general principles of ICAAP and ILAAP are broadly understood. Therefore the circular has been considerably shortened and is now focusing on key implementing provisions that institutions shall meet in order to comply with articles 18 and 19 of CSSF Regulation N° 15-02. These provisions complement the general (risk) governance principles of Circular CSSF 12/552 that apply to ICAAP and ILAAP in particular. In the amended text, the wording has been aligned with current terminology (e.g. “management body” or “risk appetite”). Also, the reporting requirements have been clarified in line with the EBA Guidelines on ICAAP and ILAAP information collected for SREP purposes of 3 November 2016 (EBA/GL/2016/10) 3. The amendments of circular CSSF 11/506 are meant to provide further guidance on the principle of proportionality (point 6) and on operational arrangements relating in particular to the coverage of longer term risks (e.g. climate-related risks; points 24 and 25) and data infrastructure (point 30).
\n\"Significant supervised entities\" as defined in Article 2, point 16 of Regulation (EU) N° 468/2014 of the European Central Bank (ECB) of 16 April 2014 (SSM Framework Regulation) shall refer to the relevant ECB rules (if any).
\nThe guidelines are available on the EBA website https://www.eba.europa.eu
\nIn order to allow for a straightforward review of the changes made, the amendments made to Circular CSSF 11/506 are presented in tracked changes in Annex 1. A dedicated version in tracked changes of Circular CSSF 07/301 is not provided due to the substantial shortening and redesign of the circular. The amended text, without tracked changes, appears in Annex 2. This circular – and hence the amended versions of circulars CSSF 07/301 and CSSF 11/506 - apply from 31 October 2020. CSSF expects these changes to be reflected within the institutions’ governance and operating frameworks from 31 December 2020.
\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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