Luxembourg Countercyclical Capital Buffer Q4 2026: Year-End COREP

On 1 October 2026 the CSSF published Regulation No 26-03, which keeps the Luxembourg countercyclical capital buffer at 0.50% for the fourth quarter of 2026. Dated 30 September and printed in Memorial A No 482, the regulation entered into force on its publication day, so the rate for relevant credit exposures located in Luxembourg through 31 December 2026 is set.

That reference date does more work than an ordinary quarter-end. It drives the Q4 COREP own funds return due on 11 February 2027 and, for institutions that publish them, the annual Pillar 3 templates EU CCyB1 and EU CCyB2. It is also the last quarter-end before the CRR3 output floor factor steps up on 1 January 2027. The year-end effort sits in everything around the Luxembourg input: foreign rates and their application dates, the own funds requirement weights, the total risk exposure amount the rate multiplies, and the tie-out from C 09.04 to C 04.00 and on to the public disclosure.

Related reading: Luxembourg Countercyclical Capital Buffer Q3 2026: What CSSF Regulation 26-02 Means for Bank Capital and COREP Reporting

The Luxembourg countercyclical capital buffer calendar for Q4 2026

The dates below come from the regulation, its annexed recommendation, the supervisory reporting ITS and the CRR3 transitional schedule.

• 7 September 2026: the Systemic Risk Committee (CdRS) adopts recommendation CRS/2026/005, advising the CSSF to keep the rate at 0.5% of risk-weighted assets on Luxembourg exposures.
• 30 September 2026: the CSSF adopts Regulation No 26-03.
• 1 October 2026: publication in Memorial A No 482 and entry into force; the CSSF lists the regulation on its website the same day.
• 1 October to 31 December 2026: the quarter for which Article 1 keeps the rate at 0.50%.
• 11 November 2026: quarterly COREP remittance date for the 30 September 2026 reference date.
• 31 December 2026: Q4 reference date for C 09.04 and C 04.00, and the year-end point for annual Pillar 3 disclosures.
• 1 January 2027: the transitional output floor factor in Article 465(1) CRR moves from 55% to 60%.
• 11 February 2027: quarterly COREP remittance date for the 31 December 2026 reference date.

The remittance dates come from Article 3(1) of Commission Implementing Regulation (EU) 2024/3117. Article 3(2) moves a remittance date that falls on a Saturday, a Sunday or a public holiday in the competent authority’s Member State to the following working day. Both dates in this window fall midweek: 11 November 2026 is a Wednesday and 11 February 2027 a Thursday.

Inside Regulation 26-03: three articles and an annexed recommendation

The operative text is short. Article 1 says the countercyclical buffer rate applicable to relevant exposures located in Luxembourg remains set at 0.50% for the fourth quarter of 2026. Article 2 brings the regulation into force on the day of its publication in the Journal officiel of the Grand Duchy. Article 3 orders publication there and on the CSSF website, where the regulation is available in French only and tagged as relevant for credit institutions and investment firms.

The recitals lay out the legal chain. The CSSF acts as designated authority under Article 59-7 of the Law of 5 April 1993 on the financial sector, after consulting the Banque centrale du Luxembourg (BCL) and taking into account the CdRS recommendations. The ECB decided, under Article 5 of the SSM Regulation (Council Regulation (EU) No 1024/2013), not to object to the measure, and the regulation also cites the opinion of the Consultative Committee for Prudential Regulation. Article 59-7(1) specifies that in setting the rate the CSSF acts in its capacity as designated authority, a role the law keeps separate from its role as competent authority under Article 42.

The Q4 recommendation is CRS/2026/005 of 7 September 2026. The recitals of Regulation 26-03 still cite the third-quarter recommendation CRS/2026/003 of 8 June 2026, as the recitals of Regulation 26-02 do; the recommendation annexed to Regulation 26-03 is CRS/2026/005. For a capital planning file or an ICAAP appendix that records the basis of the Q4 rate, cite Regulation 26-03 together with the annexed CRS/2026/005, the document that addresses the fourth quarter.

Why a 0% buffer guide sits beside a 0.50% rate

The annex to CRS/2026/005 publishes the numbers behind the decision. The credit-to-GDP ratio, built on bank loans to households and non-financial corporations in Luxembourg, is estimated at 78.1% for the second quarter of 2026. Its deviation from the long-term trend is negative, estimated at -17.2%, below the 2% activation threshold, so the buffer guide calculated under ESRB Recommendation ESRB/2014/1 is set at 0%. The third-quarter recommendation, CRS/2026/003, had reported a ratio of 79.31% for the first quarter of 2026 and a gap of -16.99%.

Reading the guide as the rate leads to the wrong forecast. Article 59-7(2) of the Law of 5 April 1993 has the CSSF compute the guide each quarter as a reference for judgment, and Article 59-7(3) has the CdRS assess cyclical systemic risk quarterly, weighing the guide, ESRB guidance and recommendations, and any other variables it considers relevant. The annex calls this guided discretion. For Q4 2026, the additional cyclical-risk analyses run by the BCL and the CSSF, drawing on the early-warning indicators in ESRB/2014/1, pointed to keeping the rate unchanged. The Committee cites an uncertain economic and geopolitical context and the risk of shocks being amplified if they hit household disposable income or borrowers’ repayment capacity.

Recommendation A of CRS/2026/005 records that the 0.5% rate has applied since 1 January 2021, in line with an earlier recommendation, CRS/2019/008. Since the Law of 5 May 2026, the last sentence of Article 59-7(3) has the CSSF set or adjust the rate, if necessary, taking into account the factors in points (a) to (c) of its first subparagraph, and the CSSF has kept adopting a regulation every quarter: Regulation 26-02 in June and Regulation 26-03 in September.

Which Luxembourg entities hold the buffer

Article 59-6 of the Law of 5 April 1993 requires CRR institutions to hold an institution-specific countercyclical buffer made up of Common Equity Tier 1 capital, equal to their total risk exposure amount multiplied by the weighted average of countercyclical buffer rates, on an individual and a consolidated basis as Part One, Title II CRR provides. CSSF Regulation No 15-01, which sets the calculation method and transposes Article 140 CRD, applies to the institutions in point (3) of Article 4(1) CRR and to the Luxembourg branches of such institutions incorporated in a third country, which it treats as CRR institutions for this purpose.

Investment firms divide by prudential regime. The Law of 5 April 1993 defines a CRR investment firm as one falling under Article 1(2) or (5) of the Investment Firms Regulation (EU) 2019/2033, and separately defines IFR investment firms as the remainder. The Q4 recommendation also cites CSSF Regulation No 15-05, which exempts investment firms qualifying as small and medium-sized enterprises from both the countercyclical buffer and the capital conservation buffer. The scope answer is entity-specific, so a group holding a Luxembourg bank and a Luxembourg investment firm can find the buffer at one entity and absent at the other.

The buffer also has to be met with CET1 that is free of other work. Article 141a CRD treats an institution as failing the combined buffer requirement where its own funds cannot cover that requirement at the same time as each of the CET1, Tier 1 and total capital requirements in Article 92(1)(a) to (c) CRR, each together with the Pillar 2 requirement. CET1 that already covers those Pillar 1 and Pillar 2 requirements therefore cannot count a second time toward the countercyclical buffer.

Building the institution-specific rate for 31 December 2026

The Luxembourg 0.50% is one input to a weighted average. Under Article 140(1) CRD and Article 2 of CSSF Regulation 15-01, each applicable rate is weighted by the institution’s own funds requirements for credit risk on relevant credit exposures in that territory, divided by its own funds requirements for credit risk on all relevant credit exposures, with those requirements computed under Part Three, Titles II and IV CRR. Relevant credit exposures cover the exposure classes subject to credit risk own funds requirements, trading book exposures subject to specific risk or incremental default and migration risk requirements, and securitisation positions. The classes in points (a) to (f) of Article 112 CRR, running from central governments and central banks through to institutions, stay outside the count.

A hypothetical example shows the scale. Take a Luxembourg bank whose own funds requirements on relevant credit exposures sit 80% in Luxembourg and 20% in jurisdictions with a 0% rate. Its institution-specific rate is 0.80 times 0.50%, or 0.40%. On a total risk exposure amount of EUR 2 billion, the buffer is EUR 8 million of CET1. Move the mix to 70% Luxembourg and the rate drops to 0.35% with no regulatory change at all.

The CSSF has published its own worked example. Version 17.0 (4 December 2025) of its additional guidance for credit institutions on specific reporting aspects walks through a hypothetical bank with exposures in six countries, in which Luxembourg carries a 53.19% weight and the result is 0.34%. The same guidance points out that C 09.04 carries exposure values, own funds requirements at 8% of the risk-weighted exposure amounts, and the weights derived from them, with the risk-weighted assets themselves left out of the template.

Geographical allocation follows Commission Delegated Regulation (EU) No 1152/2014 on an immediate obligor basis, and the C 09.04 instructions state that credit risk mitigation does not move an exposure to another country. Two derogations allow allocation to the home Member State: foreign general credit exposures whose aggregate does not exceed 2% of the institution’s general credit, trading book and securitisation exposures (Article 2(5)(b)), and trading book exposures that stay within the equivalent 2% test (Article 3(3)). An institution using either derogation flags it with a y in the C 09.04 rows for use of the 2% threshold, on its home-country sheet and on the total sheet. With the Luxembourg rate flat, a change in the institution-specific rate traces to the weights first, so the weight row is the place to start a year-end review.

Foreign rates enter C 09.04 on their application date

Article 140(6) CRD, mirrored in Article 7 of CSSF Regulation 15-01, applies an increase in a Member State’s rate from the date given in that designated authority’s announcement and applies a decrease immediately. For the 31 December 2026 return, apply the C 09.04 instructions in the reporting framework under Implementing Regulation (EU) 2024/3117 and include the countercyclical buffer rate applicable at the reporting reference date. Pulling a pre-announced increase into the 31 December 2026 figure overstates the institution-specific rate, and missing a cut that took effect during the quarter overstates it as well.

Two rows carry country rates. Row 0120 holds the rate set by the designated authority of the country in question. Row 0130 is filled only where the reporting institution’s country of residence applies a different rate for that country than the one in row 0120, which is how the CSSF guidance reads the row. Both stay empty on the total sheet, and row 0140, the institution-specific rate, is reported on the total sheet only.

The CSSF names this area as a source of errors. Its guidance states that reporting entities sometimes use the wrong CCyB country rates and recommends opening the downloadable rate worksheets on the ESRB and BIS countercyclical buffer pages, which carry the application dates. The ESRB page lists current and pending rates announced by designated authorities and showed an update of 28 September 2026 at the time of writing.

Rates above 2.5% need one more check. Article 137 CRD and Article 59-7(8) of the Law of 5 April 1993 allow the CSSF to recognise a rate above 2.5% set by another designated authority or by a third-country authority. Absent that recognition, Articles 3 and 4 of CSSF Regulation 15-01 have Luxembourg-authorised institutions apply 2.5% to the exposures concerned.

Where the 0.50% shows up in the year-end COREP return

Commission Implementing Regulation (EU) 2024/3117 is the supervisory reporting ITS behind the 31 December 2026 return, with templates and instructions maintained by the EBA in its IT solutions under Article 430(7) CRR. Its C 09.04 template is reported once per country sheet and once for the total. The CSSF’s additional guidance version 17.0 of 4 December 2025 refers to rows 0010 to 0055 for relevant exposure values, rows 0070 to 0100 for own funds requirements, row 0110 for the weights and rows 0120 to 0140 for the rates. Luxembourg appears as a country sheet with 0.50% in row 0120, column 0020. Our COREP reporting guide places C 09.04 within the wider own funds framework.

The amount also feeds C 04.00, the memorandum items template. The institution-specific countercyclical capital buffer is reported in C 04.00 row 0770, with row 0740 carrying the combined buffer requirement and row 0750 the capital conservation buffer, as the C 04.00 template in Annex I to Implementing Regulation (EU) 2024/3117 sets out. That amount should reconcile to the C 09.04 institution-specific rate on the total sheet applied to the total risk exposure amount.

A higher floor factor can lift the buffer amount in January

The rate multiplies the total risk exposure amount in Article 92(3) CRR, which CRR3 rewrote as the higher of the un-floored amount and a factor x times the standardised total risk exposure amount, with x at 72.5% once fully phased in. Article 465(1) lets institutions apply 55% for 2026 and 60% for 2027, and Article 465(2) offers an alternative transitional calculation until 31 December 2029 that also uses the applicable factor. For an institution whose output floor binds, the countercyclical buffer amount for 31 March 2027 can rise with every rate in its book unchanged, because the base it multiplies grows. Where the floor does not bind, the step-up leaves the amount where it was.

Article 92(3) also contains a Member State option under which certain institutions in a group with a parent institution in the same Member State use the un-floored amount. Whether it reaches a given entity depends on two points to settle before the buffer is computed: whether the Member State has decided to use the option, and whether the group structure and the parent’s consolidated floor calculation meet its conditions. Our CRR3 output floor phase-in guide covers the floor mechanics in detail.

Year-end Pillar 3: EU CCyB1, EU CCyB2 and the institutions outside them

Article 440 CRR requires disclosure of the geographical distribution of the exposures used to calculate the buffer and of the amount of the institution-specific buffer, and Article 5 of Commission Implementing Regulation (EU) 2024/3172 assigns those items to templates EU CCyB1 and EU CCyB2. How often an institution publishes them depends on its category under the current CRR:

• Large institutions within Article 433a(1) disclose Article 440 information semi-annually as well as annually.
• Large institutions other than G-SIIs that are non-listed disclose all Part Eight information annually under Article 433a(2), with key metrics semi-annually.
• Other institutions disclose all Part Eight information annually under Article 433c(1); non-listed institutions in this group follow the shorter annual list in Article 433c(2), which does not include Article 440.
• Small and non-complex institutions follow Article 433b, whose list also leaves out Article 440, so they publish no EU CCyB1 or EU CCyB2; their key metrics under Article 447 still include the combined buffer requirement.

EU CCyB1 shows the country rates and the own funds requirement weights; EU CCyB2 shows the total risk exposure amount, the institution-specific rate to two decimal places and the resulting requirement. For the year-end disclosure, use the EU CCyB1 and EU CCyB2 requirements in Implementing Regulation (EU) 2024/3172 together with the applicable CRD rules governing when country rates enter the institution-specific calculation. Under Article 434 CRR as amended, institutions other than small and non-complex ones submit their disclosures to the EBA in electronic format, and the EBA publishes the disclosures of small and non-complex institutions on the basis of their supervisory reporting. The publication side is covered in our Pillar 3 disclosure guide for Luxembourg banks.

What the 0.50% component does to distributions

The institution-specific countercyclical buffer is one layer of the combined buffer requirement defined in Article 128(6) CRD. That requirement starts from the 2.5% capital conservation buffer, which Article 59-5 of the Law of 5 April 1993 applies in Luxembourg, and adds the countercyclical, G-SII, O-SII and systemic risk buffers as applicable. Our macroprudential buffer stacking guide sets out how the layers combine.

Article 141 CRD requires an institution that fails the combined buffer requirement to calculate a maximum distributable amount (MDA) and notify its competent authority, and it may not make a CET1 distribution, create an obligation to pay variable remuneration or pay Additional Tier 1 coupons until the MDA is calculated. The MDA factor runs from 0 to 0.6, depending on the quartile of the combined buffer requirement in which the institution’s available CET1 sits. A 0.50% countercyclical component widens every quartile band, so the reported buffer figure feeds directly into where an institution would land if it ever fell below the requirement.

Frequently Asked Questions

Our Q3 2026 COREP return has a 30 September 2026 reference date but is filed in November. Which regulation supports the Luxembourg rate in it?

Regulation 26-02 of 30 June 2026, which set 0.50% for the third quarter. Regulation 26-03 entered into force on 1 October 2026 and covers the fourth quarter. The number is the same under both, but the legal reference attached to the 30 September figure is 26-02.

Does a bank authorised in another Member State apply the Luxembourg rate to its Luxembourg loans?

Yes, to its relevant credit exposures located in Luxembourg. Article 136(4) CRD expresses the rate as a percentage of the total risk exposure amount of institutions that have credit exposures in Luxembourg, and Article 140(1) builds each institution’s average from the rates where its exposures are located. The explanatory memorandum to CSSF Regulation 15-01 describes rates up to 2.5% as automatically recognised.

A third-country authority has told its own banks to apply an increase within six months. When does it enter our weighted average?

For Luxembourg CRR institutions, Article 7(b) of CSSF Regulation 15-01 applies a third-country increase 12 months after the third-country authority announced it, whatever shorter period that authority imposes on its own banks. The exception is a rate the CSSF itself sets or recognises for that country under Article 59-7(8) to (10) of the Law of 5 April 1993, which applies from the date given in the CSSF’s publication.

Could the Luxembourg rate be higher for the 31 March 2027 reference date?

Under Article 136(5) CRD, the date from which an increase applies must be no later than 12 months after the announcement, and a date less than 12 months after it has to be justified by exceptional circumstances. A decrease would apply immediately under Article 7(d) of CSSF Regulation 15-01, and Article 59-7(6) would then have the CSSF indicate a period during which no increase is expected.

Our Luxembourg bank lends through a branch in a third country. Which country sheet carries those loans?

The location of the exposure follows Delegated Regulation 1152/2014, which places general credit exposures with the obligor, so loans the branch makes to local borrowers sit on that third country’s sheet with that country’s applicable rate, whichever entity books them. The 2% home-Member-State derogation for small foreign general credit exposures can still pull them onto the Luxembourg sheet if the bank’s total foreign general credit book stays within the threshold.

What goes into row 0120 of C 09.04 for a country whose authority has never set a rate?

Nothing is reported in the row for the rate set by that country’s designated authority (row 0120 in the CSSF guidance) when no such rate exists. Row 0130 is filled only where the bank’s country of residence applies a different rate for that country than the one in row 0120.

Related Articles

• Luxembourg Countercyclical Capital Buffer Q3 2026: the previous quarter’s hold under Regulation 26-02 and the CRS/2026/003 recommendation.
• COREP Reporting Explained: A Practical Guide to Prudential Reporting: how the own funds templates, including C 04.00 and C 09.04, fit together.
• Macroprudential Buffer Stacking: how the countercyclical, O-SII and systemic risk buffers build the combined buffer requirement.
• CRR3 Output Floor Phase-In 2026: the transitional factors behind the total risk exposure amount the buffer rate multiplies.
• Pillar 3 Disclosure Requirements for Luxembourg Banks: where EU CCyB1 and EU CCyB2 sit in the public disclosure set.
• Common COREP Reporting Errors: recurring own funds return mistakes worth checking before remittance.

Key Takeaways

• File the Q4 2026 Luxembourg rate against Regulation 26-03 and CRS/2026/005, the recommendation annexed to it.
• Freeze one dated country-rate table for 31 December 2026, with source and application date per row, and feed both C 09.04 and EU CCyB1 from it.
• Treat any move in the C 09.04 institution-specific rate between 30 September and 31 December 2026 as a weights question unless an applicable country rate changed.
• Run the C 09.04 tie-out to the corresponding institution-specific countercyclical buffer item in the applicable C 04.00 template, using the final total risk exposure amount.
• If the output floor binds, re-forecast the 31 March 2027 buffer amount at the 60% factor before the January capital plan is signed off.
• Confirm the Article 433a, 433b or 433c category before building year-end Pillar 3: non-listed other institutions and small and non-complex institutions publish no EU CCyB1 or EU CCyB2.

Sources and References

• CSSF, CSSF Regulation No 26-03 of 30 September 2026 on the setting of the countercyclical buffer rate for the fourth quarter of 2026 (published 1 October 2026): CSSF document page.
• Journal officiel du Grand-Duche de Luxembourg, Memorial A No 482 of 1 October 2026 (Regulation 26-03 and annexed CdRS recommendation CRS/2026/005 of 7 September 2026): Legilux PDF.
• Journal officiel du Grand-Duche de Luxembourg, Memorial A No 311 of 30 June 2026 (Regulation 26-02 and CdRS recommendation CRS/2026/003 of 8 June 2026): Legilux PDF.
• Law of 5 April 1993 on the financial sector, consolidated version (Articles 59-5, 59-6 and 59-7): CSSF.
• Law of 5 May 2026 amending the Law of 5 April 1993 (Memorial A No 227): Legilux.
• CSSF Regulation No 15-01 on the calculation of institution-specific countercyclical capital buffer rates, transposing Article 140 of Directive 2013/36/EU (English translation): CSSF PDF.
• CSSF, Additional guidance for credit institutions related to specific reporting aspects, version 17.0 of 4 December 2025 (section 1.3, COREP C 09.04): CSSF PDF.
• Directive 2013/36/EU (CRD), Articles 128, 130, 136, 137 and 140: EUR-Lex.
• Directive (EU) 2019/878 (CRD V), including Article 141 as replaced and Article 141a: EUR-Lex.
• Regulation (EU) No 575/2013 (CRR), consolidated version of 26 June 2026, Articles 4(1), 92(3), 112, 430(7), 433a to 434, 440, 447 and 465: EUR-Lex.
• Council Regulation (EU) No 1024/2013 (SSM Regulation), Article 5: EUR-Lex.
• Regulation (EU) 2019/2033 (Investment Firms Regulation), Article 1: EUR-Lex.
• Commission Delegated Regulation (EU) No 1152/2014 on the geographical location of relevant credit exposures: EUR-Lex.
• Commission Implementing Regulation (EU) 2024/3117 on supervisory reporting (Article 3 remittance dates; templates C 04.00 and C 09.04): EUR-Lex.
• Commission Implementing Regulation (EU) 2024/3172 on public disclosures (Article 5, EU CCyB1 and EU CCyB2): EUR-Lex.
• ESRB Recommendation ESRB/2014/1 of 18 June 2014 on guidance for setting countercyclical buffer rates: ESRB PDF.
• ESRB, countercyclical capital buffer rates (current and pending): ESRB.

Before the 11 February 2027 remittance

The Luxembourg row is the one fixed point in the year-end countercyclical buffer calculation: 0.50%, supported by Regulation 26-03 and CRS/2026/005. Everything else needs to be rebuilt for 31 December 2026: the country-rate table with application dates, the weights from year-end own funds requirements, the total risk exposure amount applicable under Article 92(3) CRR, and the tie-out from the C 09.04 institution-specific rate on the total sheet to the institution-specific countercyclical capital buffer reported in C 04.00 row 0770 and, for institutions subject to Article 440 disclosure, to EU CCyB2. For the 31 March 2027 reference date, take the Luxembourg input from the applicable rate that Article 59-7(7) of the Law of 5 April 1993 requires the CSSF to publish on its website each quarter.

Disclaimer: The information on RegReportingDesk.com is for educational and informational purposes only. It does not constitute legal, regulatory, tax, or compliance advice. Always consult your compliance officer, legal counsel, or the relevant supervisory authority for guidance specific to your institution.