CSSF communication on GBP Liability Driven Investment Funds consultation

The CSSF is consulting on a proposal to introduce macroprudential measures by imposing a minimum yield buffer to GBP denominated Liability Driven Investment (LDI) funds, via the use of Article 25 of the Alternative Investment Fund Managers’ Directive on the use of information by competent authorities, supervisory cooperation and limits to leverage, as implemented into Luxembourg legislation by Article 23 of the Law of 12 July 2013 on Alternative Investment Fund Managers.

The proposed policy, prepared in coordination with the Central Bank of Ireland, aims to codify the existing minimum yield buffer measure from the industry letter in November 2022 and strengthen the steady-state resilience of GBP denominated LDI funds managed by Luxembourg Alternative Investment Fund Managers. In the document published today, the CSSF is seeking input on the yield buffer proposal which comprises the following aspects:

• the level of the yield buffer and its calculation;
• the scope of measures, including a definition of LDI funds;
• third party assets;
• the buffer usability and
• the reporting requirements.

The consultation is open to everyone, and we are seeking views and feedback from all relevant stakeholders on the proposed measures. Where possible we would welcome evidence to support the views submitted in response to this consultation. The public consultation process will be open for submissions using the CSSF’s response form that can be sent to the following address: opc_prud_risk@cssf.lu until Thursday, 18 January 2024.