Amendment of Circular CSSF 18/703 on Semi-Annual Reporting of Borrower-Related Residential Real Estate Indicators

Luxembourg, 19 February 2020
To all lenders in residential real estate
CIRCULAR CSSF 20/737
Re: Amendment of Circular CSSF 18/703 on the introduction of a semi-annual reporting of borrower related residential real estate indicators Ladies and Gentlemen, The objective of this circular is to modify Circular CSSF 18/703 and to inform on an update the data collection template. Circular CSSF 18/703 introduced a semi-annual reporting of borrower related residential real estate indicators as well as definitions of these indicators and a template used for the collection of these indicators. Circular CSSF 20/737 introduces a change in the template for the data collection. Specifically, the new data collection template is not an annex to Circular CSSF 18/703 anymore but can be found at the CSSF website. In case of further changes in the data collection template in the future which do not have an impact on the definitions of Circular CSSF 18/703, the template available on the CSSF website will be added and reporting institutions will be duly informed of the new template. To facilitate reading, changes are presented in Annex under a ‘track changes’ format. Yours faithfully, COMMISSION DE SURVEILLANCE DU SECTEUR FINANCIER Claude WAMPACH Marco ZWICK Françoise KAUTHEN Directeur

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Annex
Luxembourg, 17 December 2018
To all lenders in residential real estate
CIRCULAR CSSF 18/703 as amended by Circular CSSF 20/737 Re: Introduction of a semi-annual reporting of borrower related residential real estate indicators Ladies and Gentlemen, The objective of this circular is to introduce a macroprudential risk monitoring framework for the residential real estate sector in Luxembourg which is based on a recommendation by the European Systemic Risk Board (ESRB/2016/14 Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps – hereinafter “the ESRB recommendation”). The reporting aims at collecting indicators on lending standards in the residential real estate (RRE) market1 . The circular introduces definitions of these indicators as well asthat are collected via thea dedicated template used for the collection of these indicatorsavailable on the CSSF website.

1 Please note that the recommendation ESRB 2016/14 also covers data gaps regarding commercial real estate (CRE) lending. CRE data is not covered by this circular.

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1. Scope
   The scope of the data collection refers to loans taken for the purpose of purchasing residential real estate in Luxembourg, and that are secured by real estate collateral located in Luxembourg2 . Residential real estate includes existing dwellings, dwellings to be built (as per contract) or land that can be used for the construction of residential real estate dwellings. Loans that are granted to a legal entity should not be included in the reporting. This implies that loans granted indirectly to natural persons for investment purposes through ‘Société civile immobilières’ or SOPARFIs are excluded from the reporting. It should be noted that real estate credit provided to such entities falls under the scope of commercial real estate (CRE), and related indicators are part of a dedicated reporting, and in the AnaCredit reporting.
2. Process
   This circular specifies the residential real estate data that will be collected through a dedicated RRE data template. The data will be collected by the CSSF semi-annually in the months of April and October each year. The reference date for the data collection will be the 31st of December and the 30th of June respectively. A template specifying the data to be reported can be found in the annexThe template specifying the data to be reported can be found on the CSSF website. Lenders that are active in the residential real estate sector are expected to be able to produce the requested data at a semi-annual frequency. This expectation pre-supposes the ability of lenders to store and process the relevant information in their information systems so that adequate reports can be extracted regularly.

2 The scope includes loans for owner-occupied or buy-to-let housing. Any loan contracted via a real estate savings’ plan (BSH, BHW, etc.) is part of the scope. Loans granted for the renovation of a property and that are secured by a real estate property are also included in the scope. Loans for renovation works that are not secured by a real estate property should not be included.

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3. Definitions of the indicators for borrower based measures
LTV- Loan to Value
At origination
𝐋𝐋𝐋𝐋𝐋𝐋 − 𝐎𝐎 =
𝐋𝐋
𝐋𝐋 𝐚𝐚𝐚𝐚 𝐨𝐨𝐨𝐨𝐨𝐨𝐨𝐨𝐨𝐨𝐨𝐨𝐚𝐚𝐚𝐚𝐨𝐨𝐨𝐨𝐨𝐨 Current 𝐋𝐋𝐋𝐋𝐋𝐋 − 𝐂𝐂 = 𝐋𝐋 𝐋𝐋 𝐜𝐜𝐜𝐜𝐨𝐨𝐨𝐨𝐜𝐜𝐨𝐨𝐚𝐚 LSTI- Loan service to income At origination 𝐋𝐋𝐋𝐋𝐋𝐋𝐋𝐋 = 𝐋𝐋𝐋𝐋 𝐋𝐋 DSTI- Debt service to income At origination 𝐃𝐃𝐋𝐋𝐋𝐋𝐋𝐋 = 𝐃𝐃𝐋𝐋 𝐋𝐋 LTI- Loan to income At origination 𝐋𝐋𝐋𝐋𝐋𝐋 = 𝐋𝐋 𝐋𝐋 DTI- Debt to income At origination 𝐃𝐃𝐋𝐋𝐋𝐋 = 𝐃𝐃 𝐋𝐋 The LTV indicator can be ‘at origination’ or ‘current’. These concepts, taken from the ESRB recommendation correspond to, respectively, new credit exposures (flows) and outstanding credit exposures (stock). Therefore, LTV ‘at origination’ is to be computed for new loans, i.e. loans granted in the reference period of the reporting. Loans that have been granted before but were modified loans should not be included with the new loans.3 LTV ‘Current’ is to be computed for the complete stock of outstanding loans. Any loan modification such as a change in the interest rate type should be reported as

3 Loans being restructured due to considerations of unlikeliness to pays shall be considered as modified existing loans and thus be excluded from the new credit exposures (flows) but included in the outstanding credit exposures (stock).

Circular CSSF 18/703 Page 4/15 an outstanding loan, except if the loan took over an existing loan from another lender. In such a case the loan can be considered as a new exposure.
4. Guidance on variables contained in the indicators
L - Loan
The variable L should contain all loans and loan tranches granted to the borrower, for the purpose of purchasing a residential real estate property, which can be existing or to be built. This loan must be secured by one or several real estate properties. The L should be aggregated by borrower and by financed property. This implies that:
(i) If the borrower is a couple (i.e. if the loan contract runs in two names) it is considered as a single borrower. (ii) If two or more properties are used as collateral, but the loan relates to a single property, one single indicator should be calculated. (iii) In case a bridge loan is granted along with another loan to finance a new property, the loans should be separated according to the property they finance. No reduction of L by credit risk mitigants is allowed in the context of the reporting. L is not to be reduced by the amount of, for example, state and/or personal guarantees the debtor receives, cash reserves, or similar. L is measured by the granted amount of each loan or tranche. The granted amount is the loan amount offered by the lender to the borrower as per contractual provisions and signed by the stakeholders concerned. Borrowers may have received one or more loan offers from different lenders but a contract becomes binding only upon signature by the borrower. The amount referred to in the signed contract should be reported by the lender as the granted loan amount.

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V – Value
The variable V should be computed on the basis of the value of the property (or properties) given as collateral. If several properties are securing a given loan, the values of these properties can be summed. It is not possible to use the mortgage value registered in a mortgage collateral register (“inscription hypothécaire”) nor the mortgage promise value (“mandat hypothécaire”) to obtain the value. V should be adjusted by the total amount of the outstanding RRE loan, disbursed or not, that is secured through ‘prior’ liens on the property. In cases where one or several higher ranked mortgages exist on the property given as collateral, V is lowered by the mortgage value or the outstanding amount of a loan secured in first lien by this same property. V should not be adjusted for the presence of other credit risk mitigants. Other credit risk mitigants can generally be understood as additional pledges to secure the loan but which are not RRE collateral (such as a financial collateral pledge). At origination The V at origination should be obtained at the loan origination and be measured as the lower of:
(i) the transaction value of the immovable property in case the property given as collateral is subject to a transaction, or; (ii) the value as assessed by an independent external or internal appraiser at loan origination. If only one value is available, this value may be used. In the case of renovation associated with the purchase of an existing property, the V at origination should be augmented by a fraction of the renovation costs with a range of 0% to 80% of their value as stated in the offer documents (“devis”). The lender should request this information from the borrower and document the provided evidence that allow for an estimation of the renovation costs. The lender should define internal policies to guide decisions on the fraction of renovation costs that will augment the value and follow them systematically. In the case of land purchase (“terrain”) with the purpose to build, the value of the land is augmented by an estimation of the construction costs based on the offer document/construction contract from the constructor. If, for some reason, the buyer/borrower cannot provide evidence on the estimation of future construction costs, the property value should be the price of the land. In the case of purchase of a property under development (“vente en l'état futur d'achèvement”, “VEFA”), the property value is the price registered in the purchase contract (“contrat de vente”). The VAT rate for VEFA is 17%.

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V at origination should not be computed as the ‘long-term value’ because the value at origination aims at capturing credit standards at origination. Current The variable V current should be monitored and reviewed in accordance with Article 208(3) CRR. Therefore it should be assessed by an independent external or internal appraiser. The assessment can be made using either a valuation model or a RRE value index. (i) Using a valuation model: Such an approach requires lenders to collect and use information on each property on a regular basis in order to update their valuations when needed as well as follow the developments of economic fundamentals. (ii) Using a RRE value index: Such an index should be sufficiently granular with respect to geographical location (i.e. municipality) and type (i.e. new, old, apartment, house) of property; if such real estate value index is not available, a RRE value index sufficiently granular with respect to geographical location and type of property can be used after application of a suitably chosen mark￾down to account for the depreciation of the property. Whatever the choice, the independence of the appraiser should be guaranteed. Independence in this context is to be understood in the spirit of Article 208(3)(b) CRR, i.e. independence from the credit granting decision process. For example, if the current value calculation is performed in-house, it should not be performed by the commercial agents but by a dedicated unit such as the Risk Management unit. Further elaborating on the independence requirement, the following cases can be differentiated:
(i) Valuation developed and applied in house: Employees of the lender can develop and perform such a valuation and the valuation will be considered independent as long as these employees are not commercial agents. (ii) Valuation developed by a third party and applied in house: In general, it can be assumed that a third party provider can be considered independent from the credit decision process. The independence criterion is satisfied when a third party provider develops the valuation method and a dedicated in house function other than the commercial function applies this method and performs the valuation. (iii) Valuation developed and applied by a third party: In general, it can be assumed that in cases the lender has overall outsourced the valuation to a third party, the independence criterion is satisfied. Finally, when a third party is involved, the requirements of Circular CSSF 12/552 (section 7.4) on outsourcing apply (i.e. final responsibility always lies with the lender).

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The computation of V current should be documented by the lender in a clear and transparent manner. Its valuation methodology is reported in the lender’s internal procedure documents and the lender is in a position to report details of its approach to the CSSF. I – Income The variable I should be obtained as the sum of all sources of recurring income of the borrower, minus taxes (net of tax rebates) and premiums, such as for health care, social security or medical insurance. If a couple borrows to buy a house, the sum of the couple’s income should be considered. No other income (parents, etc.) should be considered. Lenders should document all sources of income. The income should be computed on an annual basis. Therefore, in general, I should be computed as follows:
Disposable income = regular employee income (excluding bonuses, including contractually agreed payments like e.g. 13th month salary) + self-employment income￾taxes- social security contributions In cases where the borrower’s income contains a significant share of investment income, it is possible to deviate from this formula. The lender should apply appropriate haircuts to account for the irregularity of certain types of income. Lenders calculating income in accordance with EBA guidelines on creditworthiness assessment (EBA/GL/2015/11) points 4.1-4.4 and with Art. L. 226-12 of the Luxembourg law of 23 December 2016 transposing Directive 2014/17/EU of the European Parliament and the Council of 4 February 2014 (“The Mortgage Credit Directive”), can follow this practice for the calculation of the variable I. D – Debt The variable D should be obtained as the total debt amount of the borrower at the moment of origination. D should include all the loans contracted by the borrower, including loans contracted in other credit institutions and for other purposes than the purchase of real estate. For instance, consumer loans should be attached to D, even if they are not secured by real estate collateral. Lenders are required to ask the borrower for any existing debt contracted and to document it. DS and LS – Debt service and loan service The variable LS contains the annual amount of loan servicing costs of the RRE loan at the moment of origination. LS should include the borrower’s effective annual payments made to service the loan. Therefore, it includes both the interest and the principal repayment of all loan tranches associated with one real estate property. Loan servicing

Circular CSSF 18/703 Page 8/15 costs should be calculated by borrower and by financed property. For bridge loans only interest payments are included in LS. The variable DS should be obtained as the annual amount of debt servicing costs of the total debt of the borrower at the moment of origination. DS should include both the interest and the principal repayment of all types of loans of the borrower, including loans granted by the real estate lender and others, whether secured by real estate or not. In specific cases, the following considerations apply for the calculation of DS and LS:
(i) Non-amortizing loans where only interests are paid during the lifetime of the loan, while the principal is paid at maturity should be treated exactly as such. At origination the DS/LS variables would therefore contain interest payments only. (ii) Where part of the debt reimbursement is deferred for a certain period at the beginning of the loan contract (e.g. a “moratoire”), the total servicing cost of the loan is the amount that will fall due once the loan repayment starts. (iii) Bullet loans, where no interest nor principal payments are paid during the lifetime of the loan should not give rise to the calculation of a LS nor DS. (iv) If contracted for the purpose of a real estate purchase or renovation, saving plans payments (i.e. BHW, BSH, etc.) should be included in the LS or DS. A savings plan (contrat d'épargne logement) is contracted for the purchase, the construction or renovation of real estate properties and implies the regular payment of capital into a fund or to the lender. Moreover, these payments contribute to the repayment of the loan and should be considered as loan service costs. LS (or DS) can thus be computed by considering the total amount of annual contributions to the saving plan. Maturity at origination Maturity at origination means the term of the RRE loan contract expressed in years at the moment of loan origination. The maturity to be reported should be one referred to in the signed contract by the concerned stakeholders. Bridge loans Bridge loans are non-amortizing real estate loans that are used to facilitate a transaction. They can be used to finance the sale of an existing property for a limited period of time or to bridge the gap between the moment of granting a mortgage and the receipt of some amount of cash by the borrower that would be paid into the real estate purchase at a later date. In general, bridge loans should not exceed a maturity of 2 years and be non￾renewable.

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Amount and number
For each of the indicators illustrated above, lenders are expected to report the amount of exposures they have with a given indicator. When a number is required, it refers to the number of contracts with a given indicator. Standards for transmission The filled-in templates have to be submitted to the CSSF at the defined reporting date through one of the currently accepted transmission channels E-file or SOFiE. Reports referring to end-December data are to be submitted by the 15th of April each year (or the preceding business day if this date falls on a holiday). Reports referring to end-June data are to be submitted by 15th of October each year (or the preceding business day if this date falls on a holiday). The template can be found The template is attached as an annex to this circular and is available on the CSSF website. Reporting institutions should always be sure to submit the latest version of the template. In case of changes to the template the CSSF will duly inform reporting institutions. Templates should be named as follows:
ESPREP-ENNNN-YYYY-MM-RES
Where

• ESP is the reporting type standing for special enquiries
• REP is the direction standing for Report
• E is the entity type, e.g. B for Banks
• NNNN is the identification number of the bank, i.e. 0001...9999
• YYYY is the cut-off year of the data (reporting reference period)
• MM is the cut-off month of the data (reporting reference period)
• RES is the table reference.
  For further specification on the CSSF’s naming conventions, please refer to information published on the CSSF website. Contact For any questions regarding this circular, please contact the macroprudential policy division of the CSSF’s SSM coordination department (email: macropru@cssf.lu).

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This circular enters into force with immediate effect.
Luxembourg, 17 December 2018
Yours faithfully.
COMMISSION DE SURVEILLANCE DU SECTEUR FINANCIER Marco ZWICK Jean-Pierre FABER Françoise KAUTHEN Director Claude SIMON Claude MARX Director Director general

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Annex – Template for the CSSF Survey: Real estate sector data collection
CSSF Survey: Real estate sector data collection Bank Information Bank Name [Bank Name] LEI code Reporting date 31/12/2017 Level of consolidation "C", "N" or "L" (Please report in the highest level available) Officer responsible for data completion and follow-up questions Phone Number Email CSSF contact details:
Macroprudential Policy division macropru@cssf.lu For technical questions also contact Vania Tinoco Pereira (vania.tinoco￾pereira@cssf.lu), Louay Kheder (louay.kheder@cssf.lu) and Stephanie Heck (stephanie.heck@cssf.lu). Description of the tables
Table A.
This table requires information on the total RRE loan portfolio starting from the largest scope (i.e loans granted to finance a RRE property in Luxembourg, regardless of the collateral existence and/or type) to the most precise (i.e. loans granted to finance a RRE property in Luxembourg with a RE collateral located in Luxembourg). Please note that the other tables have to be filled in with this latest scope (i.e. RE collateral located in Luxembourg).
Table B.1.
The first part of the table requires information on the share of the loan portfolio associated with the listed characteristics for new exposures. The second part of the table consists in providing information on the weighted average lending standards indicators for new exposures.
Table B.2.
The first part of the table requires information on the share of the loan portfolio associated with the listed characteristics for outstanding exposures. The second part of the table consists in providing information on the weighted average lending standard indicator for outstanding exposures.
Table C. This table requires information on the amount of new exposures as well as
the number of contracts for the listed maturities.
Table D.1.
This table requires information on the amount of new exposures as well as the number of contracts for the listed combination of income and LTV-O buckets.
Table D.2.
This table requires information on the amount of outstanding exposures as well as the number of contracts for the listed combination of income and LTV￾C buckets.
Table D.3. This table requires information on the risk weighted amount for new
exposures for the listed LTV-O buckets.
Table D.4. This table requires information on the risk weighted amount for outstanding
exposures for the listed LTV-C buckets.
Table E.
This table requires information on the amount of new exposures as well as the number of contracts for the listed combination of income and LTI-O buckets.
Table F.
This table requires information on the amount of new exposures as well as the number of contracts for the listed combination of income and DTI-O buckets.
Table G.
This table requires information on the amount of new exposures as well as the number of contracts for the listed combination of income and LSTI-O buckets.
Table H.
This table requires information on the amount of new exposures as well as the number of contracts for the listed combination of income and DSTI-O buckets.
Table I.
This table requires information on the amount of new exposures as well as the number of contracts for the listed combination of lending standards buckets. Purpose:
The objective of the survey is to get an overview of local market practices in financing the real estate market. Details regarding the definition of the indicators as well as the required scope is specified in the circular. The data collection will contribute to a better understanding of systemic risks emanating from RE financing. Furthermore, increasing requests from the European level target this type of data. It also responds to work carried out in the context of the warning issued by the European Systemic Risk Board on residential real estate in November 2016 and the follow up of the Comité du Risque Systémique. Lastly, the data request also refers to the work undertaken in the context of the working group on borrower based data. The data collection shall be executed on the highest level of consolidation available. The data input shall be based on a debtor level (i.e. group of connected debtors) and not on a facility level (i.e. individual exposure for a single debtor). Moreover, the data collection shall be exhaustive. The CSSF might request some further information with respect to this survey. Please note that we did not protect the present template in order to facilitate working with it. However, we ask you to please not change the template structure nor the limitation of characters nor the formatting.

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Table A. Overview of the total RRE loan portfolio
New exposures Exposure Number
Total RRE exposure (loan granted to purchase RRE in Luxembourg) Amount Number Property value of total exposure Amount Collateral value of total exposure Amount of which RRE exposure with RE collateral Amount Number Property value for exposure with RE collateral Amount Collateral value for exposure with RE collateral Amount of which Exposure with RE collateral located in LU Amount Number Property value for exposure with RE collateral located in LU Amount Collateral value for exposure with RE collateral located in LU Amount of which of which Exposure with RE collateral located outside LU Amount Number Property value for exposure with RE collateral located outside LU Amount Collateral value for exposure with RE collateral located outside LU Amount Collateral shortfall Amount Number
Table B.1. Overview of loan portfolio with RE collateral Table B.2. Overview of loan portfolio with RE collateral
New exposures Outstanding exposures
Fully amortizing % Fully amortizing %
Non-amortizing % Non-amortizing %
Partially-amortizing % Partially-amortizing %
Bridge loans % Bridge loans %
Owner occupied % Owner occupied %
Buy-to-let % Buy-to-let %
Variable interest rate % Variable interest rate % Fixed interest rate % Fixed interest rate % LTV-O % LTV-C % LTI-O % LSTI-O % DTI-O % DSTI-O % Maturity years Maturity years
Table C. Maturities at origination
New exposures Exposure Number
M ≤ 5years Amount Number
5years < M ≤ 10years Amount Number
10years < M ≤ 15years Amount Number
15years < M ≤ 20years Amount Number
20years < M ≤ 25years Amount Number
25years < M ≤ 30years Amount Number
30years < M ≤ 35years Amount Number
M > 35 years Amount Number
M not available Amount Number
This is the scope for the reporting of the indicators below

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Table D.1. Loan-to-value at origination (LTV-O) Table D.2. Current loan-to-value (LTV-C)
New exposures Outstanding exposures
0 < I ≤ 25K LTV-O ≤ 50% Amount Number 0 < I ≤ 25K LTV-C ≤ 50% Amount Number 0 < I ≤ 25K 50% < LTV-O ≤ 60% Amount Number 0 < I ≤ 25K 50% < LTV-C ≤ 60% Amount Number 0 < I ≤ 25K 60% < LTV-O ≤ 70% Amount Number 0 < I ≤ 25K 60% < LTV-C ≤ 70% Amount Number 0 < I ≤ 25K 70% < LTV-O ≤ 80% Amount Number 0 < I ≤ 25K 70% < LTV-C ≤ 80% Amount Number 0 < I ≤ 25K 80% < LTV-O ≤ 90% Amount Number 0 < I ≤ 25K 80% < LTV-C ≤ 90% Amount Number 0 < I ≤ 25K 90% < LTV-O ≤ 100% Amount Number 0 < I ≤ 25K 90% < LTV-C ≤ 100% Amount Number 0 < I ≤ 25K 100% < LTV-O ≤ 110% Amount Number 0 < I ≤ 25K 100% < LTV-C ≤ 110% Amount Number 0 < I ≤ 25K LTV-O > 110% Amount Number 0 < I ≤ 25K LTV-C > 110% Amount Number 0 < I ≤ 25K all LTV-O (sum of above) Amount Number 0 < I ≤ 25K all LTV-C (sum of above) Amount Number 0 < I ≤ 25K average LTV-O % 0 < I ≤ 25K average LTV-C % 25K < I ≤ 50K LTV-O ≤ 50% Amount Number 25K < I ≤ 50K LTV-C ≤ 50% Amount Number 25K < I ≤ 50K 50% < LTV-O ≤ 60% Amount Number 25K < I ≤ 50K 50% < LTV-C ≤ 60% Amount Number 25K < I ≤ 50K 60% < LTV-O ≤ 70% Amount Number 25K < I ≤ 50K 60% < LTV-C ≤ 70% Amount Number 25K < I ≤ 50K 70% < LTV-O ≤ 80% Amount Number 25K < I ≤ 50K 70% < LTV-C ≤ 80% Amount Number 25K < I ≤ 50K 80% < LTV-O ≤ 90% Amount Number 25K < I ≤ 50K 80% < LTV-C ≤ 90% Amount Number 25K < I ≤ 50K 90% < LTV-O ≤ 100% Amount Number 25K < I ≤ 50K 90% < LTV-C ≤ 100% Amount Number 25K < I ≤ 50K 100% < LTV-O ≤ 110% Amount Number 25K < I ≤ 50K 100% < LTV-C ≤ 110% Amount Number 25K < I ≤ 50K LTV-O > 110% Amount Number 25K < I ≤ 50K LTV-C > 110% Amount Number 25K < I ≤ 50K all LTV-O (sum of above) Amount Number 25K < I ≤ 50K all LTV-C (sum of above) Amount Number 25K < I ≤ 50K average LTV-O % 25K < I ≤ 50K average LTV-C % 50K < I ≤ 75K LTV-O ≤ 50% Amount Number 50K < I ≤ 75K LTV-C ≤ 50% Amount Number 50K < I ≤ 75K 50% < LTV-O ≤ 60% Amount Number 50K < I ≤ 75K 50% < LTV-C ≤ 60% Amount Number 50K < I ≤ 75K 60% < LTV-O ≤ 70% Amount Number 50K < I ≤ 75K 60% < LTV-C ≤ 70% Amount Number 50K < I ≤ 75K 70% < LTV-O ≤ 80% Amount Number 50K < I ≤ 75K 70% < LTV-C ≤ 80% Amount Number 50K < I ≤ 75K 80% < LTV-O ≤ 90% Amount Number 50K < I ≤ 75K 80% < LTV-C ≤ 90% Amount Number 50K < I ≤ 75K 90% < LTV-O ≤ 100% Amount Number 50K < I ≤ 75K 90% < LTV-C ≤ 100% Amount Number 50K < I ≤ 75K 100% < LTV-O ≤ 110% Amount Number 50K < I ≤ 75K 100% < LTV-C ≤ 110% Amount Number 50K < I ≤ 75K LTV-O > 110% Amount Number 50K < I ≤ 75K LTV-C > 110% Amount Number 50K < I ≤ 75K all LTV-O (sum of above) Amount Number 50K < I ≤ 75K all LTV-C (sum of above) Amount Number 50K < I ≤ 75K average LTV-O % 50K < I ≤ 75K average LTV-C % 75K < I ≤ 100K LTV-O ≤ 50% Amount Number 75K < I ≤ 100K LTV-C ≤ 50% Amount Number 75K < I ≤ 100K 50% < LTV-O ≤ 60% Amount Number 75K < I ≤ 100K 50% < LTV-C ≤ 60% Amount Number 75K < I ≤ 100K 60% < LTV-O ≤ 70% Amount Number 75K < I ≤ 100K 60% < LTV-C ≤ 70% Amount Number 75K < I ≤ 100K 70% < LTV-O ≤ 80% Amount Number 75K < I ≤ 100K 70% < LTV-C ≤ 80% Amount Number 75K < I ≤ 100K 80%
< LTV-O ≤ 90% Amount Number 75K < I ≤ 100K 80% < LTV-C ≤ 90% Amount Number 75K < I ≤ 100K 90% < LTV-O ≤ 100% Amount Number 75K < I ≤ 100K 90% < LTV-C ≤ 100% Amount Number 75K < I ≤ 100K 100% < LTV-O ≤ 110% Amount Number 75K < I ≤ 100K 100% < LTV-C ≤ 110% Amount Number 75K < I ≤ 100K LTV-O > 110% Amount Number 75K < I ≤ 100K LTV-C > 110% Amount Number 75K < I ≤ 100K all LTV-O (sum of above) Amount Number 75K < I ≤ 100K all LTV-C (sum of above) Amount Number 75K < I ≤ 100K average LTV-O % 75K < I ≤ 100K average LTV-C % 100K < I ≤ 200K LTV-O ≤ 50% Amount Number 100K < I ≤ 200K LTV-C ≤ 50% Amount Number 100K < I ≤ 200K 50% < LTV-O ≤ 60% Amount Number 100K < I ≤ 200K 50% < LTV-C ≤ 60% Amount Number 100K < I ≤ 200K 60% < LTV-O ≤ 70% Amount Number 100K < I ≤ 200K 60% < LTV-C ≤ 70% Amount Number 100K < I ≤ 200K 70% < LTV-O ≤ 80% Amount Number 100K < I ≤ 200K 70% < LTV-C ≤ 80% Amount Number 100K < I ≤ 200K 80% < LTV-O ≤ 90% Amount Number 100K < I ≤ 200K 80% < LTV-C ≤ 90% Amount Number 100K < I ≤ 200K 90% < LTV-O ≤ 100% Amount Number 100K < I ≤ 200K 90% < LTV-C ≤ 100% Amount Number 100K < I ≤ 200K 100% < LTV-O ≤ 110% Amount Number 100K < I ≤ 200K 100% < LTV-C ≤ 110% Amount Number 100K < I ≤ 200K LTV-O > 110% Amount Number 100K < I ≤ 200K LTV-C > 110% Amount Number 100K < I ≤ 200K all LTV-O (sum of above) Amount Number 100K < I ≤ 200K all LTV-C (sum of above) Amount Number 100K < I ≤ 200K average LTV-O % 100K < I ≤ 200K average LTV-C % I > 200K LTV-O ≤ 50% Amount Number I > 200K LTV-C ≤ 50% Amount Number I > 200K 50% < LTV-O ≤ 60% Amount Number I > 200K 50% < LTV-C ≤ 60% Amount Number I > 200K 60% < LTV-O ≤ 70% Amount Number I > 200K 60% < LTV-C ≤ 70% Amount Number I > 200K 70% < LTV-O ≤ 80% Amount Number I > 200K 70% < LTV-C ≤ 80% Amount Number I > 200K 80% < LTV-O ≤ 90% Amount Number I > 200K 80% < LTV-C ≤ 90% Amount Number I > 200K 90% < LTV-O ≤ 100% Amount Number I > 200K 90% < LTV-C ≤ 100% Amount Number I > 200K 100% < LTV-O ≤ 110% Amount Number I > 200K 100% < LTV-C ≤ 110% Amount Number I > 200K LTV-O > 110% Amount Number I > 200K LTV-C > 110% Amount Number I > 200K all LTV-O (sum of above) Amount Number I > 200K all LTV-C (sum of above) Amount Number I > 200K average LTV-O % I > 200K average LTV-C % I not available LTV-O ≤ 50% Amount Number I not available LTV-C ≤ 50% Amount Number I not available 50% < LTV-O ≤ 60% Amount Number I not available 50% < LTV-C ≤ 60% Amount Number I not available 60% < LTV-O ≤ 70% Amount Number I not available 60% < LTV-C ≤ 70% Amount Number I not available 70% < LTV-O ≤ 80% Amount Number I not available 70% < LTV-C ≤ 80% Amount Number I not available 80% < LTV-O ≤ 90% Amount Number I not available 80% < LTV-C ≤ 90% Amount Number I not available 90% < LTV-O ≤ 100% Amount Number I not available 90% < LTV-C ≤ 100% Amount Number I not available 100% < LTV-O ≤ 110% Amount Number I not available 100% < LTV-C ≤ 110% Amount Number I not available LTV-O > 110% Amount Number I not available LTV-C > 110% Amount Number I not
available all LTV-O (sum of above) Amount Number I not available all LTV-C (sum of above) Amount Number I not available average LTV-O % I not available average LTV-C %
Table D.3. Loan-to-value at origination (LTV-O) Table D.4. Current loan-to-value (LTV-C)
New exposures Outstanding exposures
Risk weighted asset LTV-O ≤ 50% RWA amount Risk weighted asset LTV-C ≤ 50% RWA amount Risk weighted asset 50% < LTV-O ≤ 60% RWA amount Risk weighted asset 50% < LTV-C ≤ 60% RWA amount Risk weighted asset 60% < LTV-O ≤ 70% RWA amount Risk weighted asset 60% < LTV-C ≤ 70% RWA amount Risk weighted asset 70% < LTV-O ≤ 80% RWA amount Risk weighted asset 70% < LTV-C ≤ 80% RWA amount Risk weighted asset 80% < LTV-O ≤ 90% RWA amount Risk weighted asset 80% < LTV-C ≤ 90% RWA amount Risk weighted asset 90% < LTV-O ≤ 100% RWA amount Risk weighted asset 90% < LTV-C ≤ 100% RWA amount Risk weighted asset 100% < LTV-O ≤ 110% RWA amount Risk weighted asset 100% < LTV-C ≤ 110% RWA amount Risk weighted asset LTV-O > 110% RWA amount Risk weighted asset LTV-C > 110% RWA amount Risk weighted asset all LTV-O (sum of above) RWA amount Risk weighted asset all LTV-C (sum of above) RWA amount

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Table E. Loan-to-income at origination (LTI-O) Table F. Debt-to-income at origination (DTI-O)
New exposures New exposures
0 < I ≤ 25K LTI ≤ 400% Amount Number 0 < I ≤ 25K DTI ≤ 400% Amount Number 0 < I ≤ 25K 400% < LTI ≤ 500% Amount Number 0 < I ≤ 25K 400% < DTI ≤ 500% Amount Number 0 < I ≤ 25K 500% < LTI ≤ 600% Amount Number 0 < I ≤ 25K 500% < DTI ≤ 600% Amount Number 0 < I ≤ 25K 600% < LTI ≤ 700% Amount Number 0 < I ≤ 25K 600% < DTI ≤ 700% Amount Number 0 < I ≤ 25K 700% < LTI ≤ 800% Amount Number 0 < I ≤ 25K 700% < DTI ≤ 800% Amount Number 0 < I ≤ 25K 800% < LTI ≤ 900% Amount Number 0 < I ≤ 25K 800% < DTI ≤ 900% Amount Number 0 < I ≤ 25K LTI > 900% Amount Number 0 < I ≤ 25K DTI > 900% Amount Number 0 < I ≤ 25K all LTI (sum of above) Amount Number 0 < I ≤ 25K all DTI (sum of above) Amount Number 0 < I ≤ 25K average LTI % 0 < I ≤ 25K average DTI % 25K < I ≤ 50K LTI ≤ 400% Amount Number 25K < I ≤ 50K DTI ≤ 400% Amount Number 25K < I ≤ 50K 400% < LTI ≤ 500% Amount Number 25K < I ≤ 50K 400% < DTI ≤ 500% Amount Number 25K < I ≤ 50K 500% < LTI ≤ 600% Amount Number 25K < I ≤ 50K 500% < DTI ≤ 600% Amount Number 25K < I ≤ 50K 600% < LTI ≤ 700% Amount Number 25K < I ≤ 50K 600% < DTI ≤ 700% Amount Number 25K < I ≤ 50K 700% < LTI ≤ 800% Amount Number 25K < I ≤ 50K 700% < DTI ≤ 800% Amount Number 25K < I ≤ 50K 800% < LTI ≤ 900% Amount Number 25K < I ≤ 50K 800% < DTI ≤ 900% Amount Number 25K < I ≤ 50K LTI > 900% Amount Number 25K < I ≤ 50K DTI > 900% Amount Number 25K < I ≤ 50K all LTI (sum of above) Amount Number 25K < I ≤ 50K all DTI (sum of above) Amount Number 25K < I ≤ 50K average LTI % 25K < I ≤ 50K average DTI % 50K < I ≤ 75K LTI ≤ 400% Amount Number 50K < I ≤ 75K DTI ≤ 400% Amount Number 50K < I ≤ 75K 400% < LTI ≤ 500% Amount Number 50K < I ≤ 75K 400% < DTI ≤ 500% Amount Number 50K < I ≤ 75K 500% < LTI ≤ 600% Amount Number 50K < I ≤ 75K 500% < DTI ≤ 600% Amount Number 50K < I ≤ 75K 600% < LTI ≤ 700% Amount Number 50K < I ≤ 75K 600% < DTI ≤ 700% Amount Number 50K < I ≤ 75K 700% < LTI ≤ 800% Amount Number 50K < I ≤ 75K 700% < DTI ≤ 800% Amount Number 50K < I ≤ 75K 800% < LTI ≤ 900% Amount Number 50K < I ≤ 75K 800% < DTI ≤ 900% Amount Number 50K < I ≤ 75K LTI > 900% Amount Number 50K < I ≤ 75K DTI > 900% Amount Number 50K < I ≤ 75K all LTI (sum of above) Amount Number 50K < I ≤ 75K all DTI (sum of above) Amount Number 50K < I ≤ 75K average LTI % 50K < I ≤ 75K average DTI % 75K < I ≤ 100K LTI ≤ 400% Amount Number 75K < I ≤ 100K DTI ≤ 400% Amount Number 75K < I ≤ 100K 400% < LTI ≤ 500% Amount Number 75K < I ≤ 100K 400% < DTI ≤ 500% Amount Number 75K < I ≤ 100K 500% < LTI ≤ 600% Amount Number 75K < I ≤ 100K 500% < DTI ≤ 600% Amount Number 75K < I ≤ 100K 600% < LTI ≤ 700% Amount Number 75K < I ≤ 100K 600% < DTI ≤ 700% Amount Number 75K < I ≤ 100K 700% < LTI ≤ 800% Amount Number 75K < I ≤ 100K 700% < DTI ≤ 800% Amount Number 75K < I ≤ 100K 800% < LTI ≤ 900% Amount Number 75K < I ≤ 100K 800% < DTI ≤ 900% Amount Number 75K < I ≤ 100K LTI > 900% Amount Number 75K < I ≤ 100K DTI > 900% Amount Number 75K < I ≤ 100K all LTI (sum of above) Amount Number 75K < I ≤ 100K all DTI (sum of
above) Amount Number 75K < I ≤ 100K average LTI % 75K < I ≤ 100K average DTI % 100K < I ≤ 200K LTI ≤ 400% Amount Number 100K < I ≤ 200K DTI ≤ 400% Amount Number 100K < I ≤ 200K 400% < LTI ≤ 500% Amount Number 100K < I ≤ 200K 400% < DTI ≤ 500% Amount Number 100K < I ≤ 200K 500% < LTI ≤ 600% Amount Number 100K < I ≤ 200K 500% < DTI ≤ 600% Amount Number 100K < I ≤ 200K 600% < LTI ≤ 700% Amount Number 100K < I ≤ 200K 600% < DTI ≤ 700% Amount Number 100K < I ≤ 200K 700% < LTI ≤ 800% Amount Number 100K < I ≤ 200K 700% < DTI ≤ 800% Amount Number 100K < I ≤ 200K 800% < LTI ≤ 900% Amount Number 100K < I ≤ 200K 800% < DTI ≤ 900% Amount Number 100K < I ≤ 200K LTI > 900% Amount Number 100K < I ≤ 200K DTI > 900% Amount Number 100K < I ≤ 200K all LTI (sum of above) Amount Number 100K < I ≤ 200K all DTI (sum of above) Amount Number 100K < I ≤ 200K average LTI % 100K < I ≤ 200K average DTI % I > 200K LTI ≤ 400% Amount Number I > 200K DTI ≤ 400% Amount Number I > 200K 400% < LTI ≤ 500% Amount Number I > 200K 400% < DTI ≤ 500% Amount Number I > 200K 500% < LTI ≤ 600% Amount Number I > 200K 500% < DTI ≤ 600% Amount Number I > 200K 600% < LTI ≤ 700% Amount Number I > 200K 600% < DTI ≤ 700% Amount Number I > 200K 700% < LTI ≤ 800% Amount Number I > 200K 700% < DTI ≤ 800% Amount Number I > 200K 800% < LTI ≤ 900% Amount Number I > 200K 800% < DTI ≤ 900% Amount Number I > 200K LTI > 900% Amount Number I > 200K DTI > 900% Amount Number I > 200K all LTI (sum of above) Amount Number I > 200K all DTI (sum of above) Amount Number I > 200K average LTI % I > 200K average DTI % I not available Amount Number I not available Amount Number

Circular CSSF 18/703 Page 15/15
Table G. Loan-service-to-income at origination (LSTI-O) Table H. Debt-service-to-income at origination (DSTI-O)
New exposures New exposures
0 < I ≤ 25K LSTI ≤ 30% Amount Number 0 < I ≤ 25K DSTI ≤ 30% Amount Number 0 < I ≤ 25K 30% < LSTI ≤ 35% Amount Number 0 < I ≤ 25K 30% < DSTI ≤ 35% Amount Number 0 < I ≤ 25K 35% < LSTI ≤ 40% Amount Number 0 < I ≤ 25K 35% < DSTI ≤ 40% Amount Number 0 < I ≤ 25K 40% < LSTI ≤ 45% Amount Number 0 < I ≤ 25K 40% < DSTI ≤ 45% Amount Number 0 < I ≤ 25K 45% < LSTI ≤ 50% Amount Number 0 < I ≤ 25K 45% < DSTI ≤ 50% Amount Number 0 < I ≤ 25K 50% < LSTI ≤ 60% Amount Number 0 < I ≤ 25K 50% < DSTI ≤ 60% Amount Number 0 < I ≤ 25K LSTI > 60% Amount Number 0 < I ≤ 25K DSTI > 60% Amount Number 0 < I ≤ 25K all LSTI (sum of above) Amount Number 0 < I ≤ 25K all DSTI (sum of above) Amount Number 0 < I ≤ 25K average LSTI % 0 < I ≤ 25K average DSTI % 25K < I ≤ 50K LSTI ≤ 30% Amount Number 25K < I ≤ 50K DSTI ≤ 30% Amount Number 25K < I ≤ 50K 30% < LSTI ≤ 35% Amount Number 25K < I ≤ 50K 30% < DSTI ≤ 35% Amount Number 25K < I ≤ 50K 35% < LSTI ≤ 40% Amount Number 25K < I ≤ 50K 35% < DSTI ≤ 40% Amount Number 25K < I ≤ 50K 40% < LSTI ≤ 45% Amount Number 25K < I ≤ 50K 40% < DSTI ≤ 45% Amount Number 25K < I ≤ 50K 45% < LSTI ≤ 50% Amount Number 25K < I ≤ 50K 45% < DSTI ≤ 50% Amount Number 25K < I ≤ 50K 50% < LSTI ≤ 60% Amount Number 25K < I ≤ 50K 50% < DSTI ≤ 60% Amount Number 25K < I ≤ 50K LSTI > 60% Amount Number 25K < I ≤ 50K DSTI > 60% Amount Number 25K < I ≤ 50K all LSTI (sum of above) Amount Number 25K < I ≤ 50K all DSTI (sum of above) Amount Number 25K < I ≤ 50K average LSTI % 25K < I ≤ 50K average DSTI % 50K < I ≤ 75K LSTI ≤ 30% Amount Number 50K < I ≤ 75K DSTI ≤ 30% Amount Number 50K < I ≤ 75K 30% < LSTI ≤ 35% Amount Number 50K < I ≤ 75K 30% < DSTI ≤ 35% Amount Number 50K < I ≤ 75K 35% < LSTI ≤ 40% Amount Number 50K < I ≤ 75K 35% < DSTI ≤ 40% Amount Number 50K < I ≤ 75K 40% < LSTI ≤ 45% Amount Number 50K < I ≤ 75K 40% < DSTI ≤ 45% Amount Number 50K < I ≤ 75K 45% < LSTI ≤ 50% Amount Number 50K < I ≤ 75K 45% < DSTI ≤ 50% Amount Number 50K < I ≤ 75K 50% < LSTI ≤ 60% Amount Number 50K < I ≤ 75K 50% < DSTI ≤ 60% Amount Number 50K < I ≤ 75K LSTI > 60% Amount Number 50K < I ≤ 75K DSTI > 60% Amount Number 50K < I ≤ 75K all LSTI (sum of above) Amount Number 50K < I ≤ 75K all DSTI (sum of above) Amount Number 50K < I ≤ 75K average LSTI % 50K < I ≤ 75K average DSTI % 75K < I ≤ 100K LSTI ≤ 30% Amount Number 75K < I ≤ 100K DSTI ≤ 30% Amount Number 75K < I ≤ 100K 30% < LSTI ≤ 35% Amount Number 75K < I ≤ 100K 30% < DSTI ≤ 35% Amount Number 75K < I ≤ 100K 35% < LSTI ≤ 40% Amount Number 75K < I ≤ 100K 35% < DSTI ≤ 40% Amount Number 75K < I ≤ 100K 40% < LSTI ≤ 45% Amount Number 75K < I ≤ 100K 40% < DSTI ≤ 45% Amount Number 75K < I ≤ 100K 45% < LSTI ≤ 50% Amount Number 75K < I ≤ 100K 45% < DSTI ≤ 50% Amount Number 75K < I ≤ 100K 50% < LSTI ≤ 60% Amount Number 75K < I ≤ 100K 50% < DSTI ≤ 60% Amount Number 75K < I ≤ 100K LSTI > 60% Amount Number 75K < I ≤ 100K DSTI > 60% Amount Number 75K < I ≤ 100K all LSTI (sum of above) Amount Number 75K < I ≤ 100K all DSTI (sum of above) Amount Number 75K <
I ≤ 100K average LSTI % 75K < I ≤ 100K average DSTI % 100K < I ≤ 200K LSTI ≤ 30% Amount Number 100K < I ≤ 200K DSTI ≤ 30% Amount Number 100K < I ≤ 200K 30% < LSTI ≤ 35% Amount Number 100K < I ≤ 200K 30% < DSTI ≤ 35% Amount Number 100K < I ≤ 200K 35% < LSTI ≤ 40% Amount Number 100K < I ≤ 200K 35% < DSTI ≤ 40% Amount Number 100K < I ≤ 200K 40% < LSTI ≤ 45% Amount Number 100K < I ≤ 200K 40% < DSTI ≤ 45% Amount Number 100K < I ≤ 200K 45% < LSTI ≤ 50% Amount Number 100K < I ≤ 200K 45% < DSTI ≤ 50% Amount Number 100K < I ≤ 200K 50% < LSTI ≤ 60% Amount Number 100K < I ≤ 200K 50% < DSTI ≤ 60% Amount Number 100K < I ≤ 200K LSTI > 60% Amount Number 100K < I ≤ 200K DSTI > 60% Amount Number 100K < I ≤ 200K all LSTI (sum of above) Amount Number 100K < I ≤ 200K all DSTI (sum of above) Amount Number 100K < I ≤ 200K average LSTI % 100K < I ≤ 200K average DSTI % I > 200K LSTI ≤ 30% Amount Number I > 200K DSTI ≤ 30% Amount Number I > 200K 30% < LSTI ≤ 35% Amount Number I > 200K 30% < DSTI ≤ 35% Amount Number I > 200K 35% < LSTI ≤ 40% Amount Number I > 200K 35% < DSTI ≤ 40% Amount Number I > 200K 40% < LSTI ≤ 45% Amount Number I > 200K 40% < DSTI ≤ 45% Amount Number I > 200K 45% < LSTI ≤ 50% Amount Number I > 200K 45% < DSTI ≤ 50% Amount Number I > 200K 50% < LSTI ≤ 60% Amount Number I > 200K 50% < DSTI ≤ 60% Amount Number I > 200K LSTI > 60% Amount Number I > 200K DSTI > 60% Amount Number I > 200K all LSTI (sum of above) Amount Number I > 200K all DSTI (sum of above) Amount Number I > 200K average LSTI % I > 200K average DSTI % I not available Amount Number I not available Amount Number
Table I. Joint distribution
New exposures
LTV ≤ 90% M ≤ 25 years Amount Number
LTV ≤ 90% 25 years < M ≤ 30 years Amount Number LTV ≤ 90% M > 30 years Amount Number 90% < LTV ≤ 100% M ≤ 25 years Amount Number 90% < LTV ≤ 100% 25 years < M ≤ 30 years Amount Number 90% < LTV ≤ 100% M > 30 years Amount Number LTV > 100% M ≤ 25 years Amount Number LTV > 100% 25 years < M ≤ 30 years Amount Number LTV > 100% M > 30 years Amount Number DSTI ≤ 40% M ≤ 25 years Amount Number DSTI ≤ 40% 25 years < M ≤ 30 years Amount Number DSTI ≤ 40% M > 30 years Amount Number 40% < DSTI ≤ 45% M ≤ 25 years Amount Number 40% < DSTI ≤ 45% 25 years < M ≤ 30 years Amount Number 40% < DSTI ≤ 45% M > 30 years Amount Number 45% < DSTI ≤ 50% M ≤ 25 years Amount Number 45% < DSTI ≤ 50% 25 years < M ≤ 30 years Amount Number 45% < DSTI ≤ 50% M > 30 years Amount Number DSTI > 50% M ≤ 25 years Amount Number DSTI > 50% 25 years < M ≤ 30 years Amount Number DSTI > 50% M > 30 years Amount Number DSTI ≤ 40% LTV ≤ 90% Amount Number DSTI ≤ 40% 90% < LTV ≤ 100% Amount Number DSTI ≤ 40% LTV > 100% Amount Number 40% < DSTI ≤ 45% LTV ≤ 90% Amount Number 40% < DSTI ≤ 45% 90% < LTV ≤ 100% Amount Number 40% < DSTI ≤ 45% LTV > 100% Amount Number 45% < DSTI ≤ 50% LTV ≤ 90% Amount Number 45% < DSTI ≤ 50% 90% < LTV ≤ 100% Amount Number 45% < DSTI ≤ 50% LTV > 100% Amount Number DSTI > 50% LTV ≤ 90% Amount Number DSTI > 50% 90% < LTV ≤ 100% Amount Number DSTI > 50% LTV > 100% Amount Number