Regulatory Alerts2020-11-09
Added · Updated
CSSF Circular 20/756 on Application of EBA Guidelines on Determination of Weighted Average Maturity
The CSSF integrates the European Banking Authority Guidelines on determining the weighted average maturity of contractual payments due under a tranche into its administrative practice and regulatory approach. All institutions measuring tranche maturity in accordance with point (a) of Article 257(1) of Regulation (EU) No 575/2013 must comply with these Guidelines. This requirement applies to credit institutions, CRR investment firms incorporated under Luxembourg law, and Luxembourg branches of such entities when they opt for the weighted average maturity approach for securitisation positions. The circular applies with immediate effect.
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