Circular CSSF-CPDI 25/48 (track changes)

What Changed

• - Risk Adjustment Updates (Annex 2): Increases weight of 'Return on assets' (ROA) risk indicator from 7.5% to 10%; decreases 'Deposit-size Risk' from 15% to 12.5%; adjusts sliding scale bounds for indicators like leverage ratio (3%-9%), capital cover
• Formula Component Floor (Annex 1): Introduces a zero floor for Component 1 (max(0, A_{j,k})), preventing negative values from offsetting Component 2; retains both components but ensures no cross-compensation.
• Contribution Calculation Refinements: Annual contributions per compartment use updated formulas (e.g., formula (1) with max operator); contribution rates are uniform per compartment but institution-specific via risk and deposit changes; handles merge
• Repeals Prior Circulars: Repeals CSSF-CPDI 23/34 (4 June 2020) and CSSF-CPDI 20/21 (as amended), replacing the 2020-reviewed method.

Suggested Considerations

• Review and update internal systems/models for contribution calculations to incorporate new risk weights, bounds (Table 2), zero floor for Component 1, and revised formulas in Annexes 1-2.
• Validate data reporting for risk indicators (e.g., ROA, LCR, NSFR, NPL) against adjusted sliding scales; ensure alignment with EBA Guidelines for simplicity and resource efficiency.
• Prepare for FGDL invoices reflecting compartment-specific rates; monitor covered deposits for surveys (e.g., per Circular 25/49).
• Conduct gap analysis against repealed circulars (20/21, 23/34); update policies for mergers, deposit changes, and gap fillings (Γ_λ).

Who is Affected