Prudential reporting for credit institutions
Legal reporting encompasses all the periodic information to be transmitted to the CSSF by the entities under its supervision by observing the file transport and data protection instructions.
- Periodic reporting: for prudential supervisory purposes, the supervised entities are required to transmit to the CSSF data relating to their activities on a monthly, quarterly, half-yearly or annual basis, depending on the object. The instructions of the CSSF only concern the prudential reporting (tables B), for which the CSSF is responsible. The instructions relating to the statistical reporting (tables S), for which the BCL is responsible, are available on the BCL website. It should be borne in mind that tables B and S are to be reported twice to the BCL and to the CSSF.
- TAF/MiFID reporting (Transactions sur Actifs Financiers, transactions on financial assets): for the purpose of supervising markets in financial instruments, credit institutions and investment firms are required to report to the CSSF all transactions in financial instruments admitted to trading on a regulated market of the European Economic Area whether or not these transactions have been made on a regulated market.
The page File transport and data protection provides additional technical details regarding the transmission channels for periodic reporting.
Common European reporting
The European Commission published on 28 June 2014 the Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 (commonly known as “ITS on reporting”) laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms (Capital Requirements Regulation, CRR). This implementing regulation harmonises the content and format of data to be reported by European banks to their supervisors in order to comply with the CRR and Directive 2013/36/EU of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms (Capital Requirements Directive, CRD).
On 7 June 2019, the revised rules on Capital Requirements (CRR2 (2019/876) and CRD V (2019/878)) were published in the Official Journal of the EU and came into force on 27 June 2019 (20 days following the publication in the OJ). Most of these rules will be applicable as of June 2021.
Commission Implementing Regulation (EU) No 680/2014, as amended, gives legal effect to the draft standard prepared by the European Banking Authority (EBA) regarding the form and content of the reporting templates needed by European bank supervisors.
Circular CSSF 14/593, as amended, sets out the supervisory reporting requirements applicable to credit institutions.
Summary of the information to be submitted to the CSSF and additional guidance for credit institutions related to specific reporting aspects
In order to provide an overview of the bank’s periodical reporting requirements (national and harmonised reporting requirements) to the credit institutions, the CSSF has published a Reporting Handbook “Reporting requirements for credit institutions”, which constitutes an additional aid to ensure that the first level of the sequential approach (European harmonised prudential and financial information data flow from the CSSF to the ECB and, when applicable, to the EBA) works smoothly.
For the CSSF, this Reporting Handbook represents a means of communication with credit institutions; it contains all the necessary information that reporting entities need for the correct and timely submission of required reports. The document includes the technical specifications (e.g file naming conventions, requirements regarding XBRL instances) to be applied with regard to the abovementioned reporting obligations.
In addition to the Reporting Handbook, the CSSF provides reporting entities with a guidance by giving concrete examples (with illustrative figures) on how to properly fill in different reporting templates. The information disclosed by the CSSF in the Word document “Additional guidance for credit institutions related to specific reporting aspects” takes into consideration the guidance provided by the EBA Q&As so far. Nonetheless, the EBA could adopt a different position in future answers to Q&As that may result in the need to amend the checks and this note accordingly.
EBA Validation rules and additional CSSF and ECB plausibility checks
The list of deactivated EBA validation rules is downloadable in the Documentation section of this chapter (under “Guidance”).
In order to provide credit institutions and investment firms with information on validation rules that might be problematic for the reporters, the CSSF has published an Excel file “Status of problematic EBA Validation Rules” containing a sublist of validation rules laid down in Commission Implementing Regulation (EU) No 680/2014 that have been subject to questioning either by reporting entities or by the CSSF itself. In addition to this Excel file, the CSSF shares a complementary “Read me” Word document explaining inter alia the different severity status.
In addition to the validation rules laid down in Commission Implementing Regulation (EU) No 680/2014, the CSSF and the ECB carry out plausibility checks. In order to guide credit institutions, the CSSF published a document “CSSF and ECB – Plausibility checks – Final version” presenting these additional checks. CSSF plausibility checks are applicable to both credit institutions and investment firms as long as they are subject to the reporting of the modules on which the check is applied. The ECB EGDQ Checks are also applicable to both credit institutions and investments firms as long as their reporting modules are transmitted to the ECB. For those institutions that are not subject to ECB reporting transmission, those EGDQ checks should be considered as best practices.
The use of Filing Indicators
Filing indicators are elements indicating reporting templates to be used by banks to signal which templates of reporting modules they intend to report/not to report (more information are available in PDF document “The correct use of filing indicators”). Templates to be declared by reporting entities depend on the structure of the banks, their characteristics (signaletic data : reporting on Solo or Conso basis, method for credit risk, etc.), the activities they are providing or the thresholds they are exceeding. In this regard, the CSSF and the ECB are applying a set of rules to the banks’ signaletic data to obtain the precise list of filing indicators Significant Institutions and Less Significant Institutions have to report to CSSF/ECB/EBA. These rules are precisely described in Excel document “Identification of Reporting Requirements”.
Laws, regulations and directives
Reporting according to Article 96(6) Payment Services Directive (Fraud reporting)
Reporting instructions for Guidelines of the European Banking Authority on reporting requirements for fraud data under Article 96(6) of the Directive (EU) 2015/2366 (PSD2)
Article 96(6) of the PSD2 transposed in Luxembourg under Article 105-2 (3) of the Law of 10 November 2009 on payment services requires payment services providers to provide the CSSF with statistical data on fraud relating to the different means of payment. This requirement also concerns branches established in Luxembourg of EEA payment services providers.
The European Banking Authority issued guidelines providing details on these reporting requirements for fraud data. In Luxembourg, these reporting obligations were adopted via the Circular CSSF 19/712 addressed to all payment service providers and all established branches of EEA payment service providers in Luxembourg.
Based on the operational collaboration implemented between the Banque centrale du Luxembourg and the CSSF providing for a Single Data Flow, this reporting is to be sent to the Banque centrale du Luxembourg. Based on this Single Data Flow, the Banque centrale du Luxembourg is the single point of entry in charge of gathering all the fraud reporting from all payment services providers and all established branches of EEA payment service providers in Luxembourg.
The instructions and the template to be filled in by payment service providers in the reporting process can be directly found on the web site of the Banque centrale du Luxembourg (see link in the “Documents” section below).
For any question on this data collection, please contact the Banque centrale du Luxembourg by sending an email to firstname.lastname@example.org.
Besides the standardised EU regulatory reporting, there are reporting areas which are however covered by national provisions. These reports ask information on participating interest and subordinated loans (B2.4), information on staff expenses (B 2.5 B), details on taxes (B 2.5 E), a list of head offices, agencies, branches and representative offices (B4.4), an analysis of shareholdings (B4.5), information on persons responsible for certain functions and activities (B4.6).
Information on participating interests and subordinated loans (B2.4)
The table, the instructions and schedule of conditions, including the technical instructions for the transmission of the table on information on participating interest and subordinated loans, as described in Circular CSSF 18/686 (only in French), are available for download in the Documentation section below (under “Forms” and “Guidance”).
As this reporting must be submitted to the CSSF in XBRL (eXtensible Business Reporting Language) format since 1 January 2008, the luxembourgish XBRL taxonomy of table B2.4 is being presented below and is downloadable (zip file) in the Documentation section as well (under “Guidance”).
|Name||Luxembourg taxonomies for the other prudential reporting tables|
|Description||This taxonomy is the XBRL definition of table B2.4 to submit to the CSSF starting on 1 January 2008.|
|Owner||Commission de Surveillance du Secteur Financier, Luxembourg|
|Status||Final version of table B2.4|
|Date issued||7 April 2008|
|XBRL version||XBRL Specification 2.1 dated 2003-12-31 and XBRL Dimensions 1.0 dated 2006-09-18|
|Base XBRL taxonomies||Based on monolithic version 1.2 of the FINREP taxonomy published by CEBS|
|CSSF Circulars||CSSF 18/685
|Documentation||– Recueil des instructions
– Technical documents relating to the transmission
– “README FINREP CSSF 1.03” and mapping files
|Taxonomy zip file||CSSF_FINREP_1.04.zip for B2.4|
|Changes since last version||See “README FINREP CSSF 1.03”|
Survey on staff expenses and taxes (B2.5B and B2.5E)
Tables B 2.5 B on staff expenses and B 2.5 E on the details on taxes, Circular CSSF 17/664 relating to the survey on staff expenses and taxes (only in French), the technical document relating to the transmission as well as the luxembourgish XBRL taxonomy (zip file) of table B2.5 are available for download under the Documentaition section below (respectively under “Forms”, “Circulars” and “Guidance”).
List of head offices, agencies, branches and representative offices (B4.4)
The table, the instructions and the schedule of conditions, including the technical instructions for the transmission of the table on the list of head offices, agencies, branches and representative offices, are available for download. Table B4.4 shall be sent in EDIFACT format explained in the Documentation section (under “Guidance”) in a specific PDF file.
Analysis of shareholdings (B4.5)
The table and instructions on the analysis of shareholdings are available for download. Circular CSSF 12/553 introduced an update of the table and of the related instructions. The changes introduced in the table and instructions are indicated in the marked-up versions.
Table B4.5 shall be sent in paper form.
Persons responsible for certain functions and activities (B4.6)
The table on persons responsible for certain functions and activities must be drawn up for the situation as at 31 December of each year and must arrive at the CSSF on the following 20 January at the latest. The table and instructions on the persons responsible for certain functions and activities are available for download. The changes introduced in the table and instructions are indicated in the marked-up versions. Table B 4.6 shall be sent in paper form.
Ad hoc reports
Quarterly reporting on the financial health of the branches' parent entities
The quarterly reporting on the financial health of the branches’ parent entities is only requested for branches established in Luxembourg by credit institutions established in a third country. The scope of the survey is the one of the direct parent which would be required to intervene in the event of a problem at the branch level. These branches have 60 working days after each quarter end to send the file. The definitions of the data points requested are those of Basel III or EBA mapping.
IRRBB Stress Test Report
IRRBB is one of the specific risks attracting attention from CSSF. CSSF expects institutions to have a risk management framework for IRRBB that complies with the general principles of soundness and prudence. These qualitative provisions are completed by a set of quantitative requirements that put at work the soft stress test limit under Article 124(5) of Directive 2006/48/CE of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (Circular CSSF 08/338 relating to the implementation of a stress test in order to assess the interest rate risk arising from non-trading book activities).
Rulesbook under Circular CSSF 08/338:
- Comprehensive assessment;
- Internal computation method;
- Adequate documentation;
- +/-200bps parallel move in interest rates (or equivalent).
The standardized interest rate scenario required under Circular CSSF 08/338 is a supervisory measure for IRRBB. It is not to be taken as an appropriate, let alone, the unique measure for IRRBB for the purpose of internal risk management inside the institutions. Stated differently, Circular CSSF 08/338 is no substitute for an adequate internal management framework for IRRBB.
Quarterly survey of covered deposits (FGDL) and specifications
For the purpose of recording the amount of guaranteed deposits, credit institutions governed by Luxembourg law, as well as Post Luxembourg (in respect of its provision of postal financial services) and branches of credit institutions having their registered office in a third country, are required to report on a quarterly basis to the Council for the Protection of Depositors and Investors (CPDI) data relating to guaranteed deposits, at the level of the legal entity, including deposits at the level of branches located in other Member States. Data as at 31 December must also be provided separately for each branch located in another Member State.
Real estate (RE) sector data collection
The objective of the survey is to get an overview of local market practices in financing the real estate market. The data collection will contribute to a better understanding of systemic risks emanating from RE financing. Details regarding the definitions of the indicators as well as the required scope is specified in the CSSF Circular 18/703 on the introduction of a semi-annual reporting of borrower-related residential real estate indicators.
Reporting template for originator institutions relating to Circular CSSF 15/600
Articles 243 (“Traditional securitisation”) and 244 (“Synthetic securitisation”) of the CRR allow a credit institution initiating a securitisation to reflect in its solvency position the mitigating effects of a “significant risk transfer” (SRT) in relation to that securitisation. This recourse must be authorised by the competent authority. To this end, the credit institution shall notify the competent authority of any classical or synthetic securitisation in respect of which it intends to demonstrate a significant risk transfer that is not similar in its structure and in its portfolio composition to transactions previously notified by the institution. This notification is governed by CSSF Circular 15/600 adopted pursuant to EBA Guidelines on Significant Credit Risk Transfer relating to Articles 243 and Article 244 of Regulation 575/2013 (GL/2014/05).
Documents to be submitted on an annual basis
Circular CSSF 19/731 relating to the documents to be submitted to the CSSF and to the European Central Bank on an annual basis lists all the documents that credit institutions must submit on an annual basis. The relevant documents must be addressed either directly to the ECB, or directly to the CSSF, depending on the category to which credit institutions belong:
- Significant institutions;
- Less significant institutions;
- Branches of EU credit institutions;
- Branches of non-EEA credit institutions.
Legal publication of accounts
The legal publication of accounts of credit institutions is governed by the Law of 17 June 1992 relating to the accounts of credit institutions, as amended by the Law of 16 March 2006 relating to the introduction of the IAS/IFRS international accounting standards for credit institutions.
The Law of 16 March 2006 introduces into the Law of 17 June 1992 major amendments in relation to the accounting regime of accounts published by credit institutions. On the one hand, the Law of 16 March 2006 transposes, for the banking sector, the optional regime of the IAS Regulation (Article 5) allowing to extend the scope of application of the IAS standards to unlisted companies and to annual accounts. On the other hand, the Law of 16 March 2006 transposes the Fair Value and Accounts Modernisation Directives, and introduces, among other things, the option to use certain provisions of the IAS/IFRS standards (“IAS options”).
With the exception of listed credit institutions which have to publish their consolidated accounts according to the IAS/IFRS standards pursuant to the mandatory regime of the IAS Regulation (Article 4), the Law of 17 June 1992, as amended, thus permits credit institutions to publish their annual accounts or, where applicable, their consolidated accounts, according to one of the following three accounting regimes:
- Current accounting regime (LUX GAAP);
- Mixed accounting regime (LUX GAAP with “IAS options”);
- IAS/IFRS accounting regime.
By virtue of Circular CSSF 08/340, all credit institutions are authorised to apply the IAS/IFRS standards, on individual and consolidated level. The prior agreement of the CSSF is no longer required.
In order to promote a prudent and harmonised application of the “IAS options”, the latter has to be submitted to the prior approval of the CSSF, at individual and consolidated level.
Circular CSSF 08/340
The purpose of Circular CSSF 08/340 is to provide further details on the legal publication of accounts, i.e.:
- explain the changes introduced by the Law of 16 March 2006 relating to the introduction of the international accounting standards for credit institutions;
- clarify certain issues related to the legal publication of accounts; and
- deal with the interaction between the accounting regime for the legal publication of accounts and the prudential financial reporting under IAS/IFRS.
The circular also provides details in relation to the first application of IAS/IFRS standards to the prudential financial reporting.
Moreover, the circular amends two points of Circular CSSF 01/27 relating to the practical rules on the role of external auditors.
Information to be published under LUX GAAP or LUX GAAP with “IAS options”
Credit institutions publishing their accounts under LUX GAAP and institutions publishing their accounts under LUX GAAP and applying one or several provisions of the IAS/IFRS standards (LUX GAAP with “IAS options”) must apply the document “Information to be published under LUX GAAP or LUX GAAP with “IAS options””. This document provides details relating to the information to be published, the documents to be submitted to the CSSF in the context of the legal publication of accounts and to the publication regime for the institutions concerned.
In order to identify the changes introduced in the amended Law of 17 June 1992 by the Law of 16 March 2006, a marked-up version of the document “Information to be published under LUX GAAP or LUX GAAP with “IAS options” is available below.
Information to be published under IAS/IFRS
Credit institutions publishing their accounts under IAS/IFRS must apply the document “Information to be published under IAS/IFRS”. This document provides details relating to the information to be published, the documents to be submitted to the CSSF in the context of the legal publication of accounts and to the publication regime for the institutions concerned.
Banks may be required to publish non-financial information in accordance with the article 68bis of the Law of 19 December 2002.