Adoption of EBA Guidelines on liquidity coverage ratio disclosure

On 18 January 2018, the Commission de Surveillance du Secteur Financier ("CSSF") released CSSF Circular 18/676 in relation to the adoption of the EBA Guidelines on Liquidity Coverage Ratio (“LCR”) disclosure to complement the disclosure of liquidity risk management under Article 435 of the CRR¹ , which the CSSF intends to follow in its capacity as competent authority under the Single Supervisory Mechanism.

The main purpose of the EBA Guidelines is to specify the general disclosure framework of risk management under Article 435 of the CRR in relation to liquidity risk by providing a harmonised structure for the disclosure of information required under Article 435, paragraph 1 of the CRR.

The EBA Guidelines are addressed to those credit institutions that are subject to the disclosure requirements of Part Eight of the CRR in accordance with Articles 6, 10 and 13 of this Regulation and which fall under the scope of the Commission Delegated Regulation (EU) 2015/61, i.e.:

• credit institutions identified as ‘Other Significant Institutions’ (“O-SIIs”² ) or ‘Globally Significant Institutions’ (“G-SIIs”³ ) which must disclose all the information specified in Annexes I and II of the EBA Guidelines; and
• credit institutions other than those identified as O-SIIs or G-SIIs which must disclose all the information specified in Annex I of the EBA Guidelines but benefit from the possibility of disclosing a simplified version of the information specified in Annex II of the EBA Guidelines (lines 21 to 23).

In particular, it should be noted that the CSSF does not make use of the option granted to the competent authority under Article 13(1) second subparagraph of the CRR to extend, in all or in part, the disclosure requirements of Part Eight of the CRR to certain institutions, other than those identified as O-SIIs or G-SIIs, which are under its direct supervision.

CSSF Circular 18/676 became applicable from 18 January 2018 and the first application of the EBA Guidelines on the disclosure of the information required under Part Eight of the CRR shall be done with respect to the relevant credit institutions’ situation as of 31 December 2017.