Regulatory Alerts2024-04-29
Macroprudential Measures for GBP Liability Driven Investment Funds Managed by Luxembourg AIFMs
The Commission de Surveillance du Secteur Financier (CSSF) codifies macroprudential measures for GBP Liability Driven Investment (LDI) funds managed by Luxembourg Alternative Investment Fund Managers to mitigate systemic risks highlighted by the 2022 gilt market crisis. The framework mandates that in-scope funds maintain a minimum yield buffer of 300 basis points to withstand increases in UK interest rates before their net asset value turns negative, with specific requirements for buffer composition and liquidity. Existing funds have a three-month implementation period to comply with these resilience standards and reporting obligations, after which the previous supervisory expectations are repealed.
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