Regulatory Alerts2020-11-09
CSSF Circular 20/756 on Application of EBA Guidelines on Determination of Weighted Average Maturity
The Commission de Surveillance du Secteur Financier (CSSF) issued Circular 20/756 to implement the European Banking Authority's Guidelines on determining the weighted average maturity of contractual payments under securitization tranches. This circular addresses the application of EBA/GL/2020/04 in accordance with point (a) of Article 257(1) of Regulation (EU) No 575/2013. It establishes the regulatory framework for calculating weighted average maturity to ensure consistent compliance with European Union capital requirements for securitization positions.
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