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.
Published on 9 November 2020
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CSSF circular
Application of the Guidelines of the European Banking Authority on the determination of the weighted average maturity (WAM) of the contractual payments due under the tranche in accordance with point (a) of Article 257(1) of Regulation (EU) No 575/2013 (EBA/GL/2020/04)
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