Regulatory Alerts2024-01-05
Added · Updated
CSSF Circular 24/848 on Application of EBA Guidelines on Interest Rate and Credit Spread Risk in Non-Trading Book Activities
The CSSF integrates the EBA Guidelines on interest rate and credit spread risk in non-trading book activities (EBA/GL/2022/14) into its administrative practice and regulatory approach, requiring Less Significant Institutions under the Single Supervisory Mechanism, CRR investment firms incorporated under Luxembourg law, and Luxembourg branches of third-country credit institutions and CRR investment firms to comply with these standards. The new guidelines repeal the previous EBA/GL/2018/02 guidelines and introduce changes such as requiring the consideration of interest income, expenses, and market value changes for measuring risk, imposing a five-year cap on weighted average repricing maturity for certain non-maturity deposits, and establishing minimum criteria for assessing the satisfaction of internal systems. If an institution's internal systems are deemed non-satisfactory, the CSSF may require the use of the standardised approach under Article 53-20(3) of the Law of 5 April 1993 on the financial sector. This circular applies from 31 December 2023.
More like this from CSSF
We email you every new CSSF publication the day it's published.