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 Commission de Surveillance du Secteur Financier issued Circular 24/848 to implement the European Banking Authority Guidelines EBA/GL/2022/14 regarding non-trading book risks. This directive requires institutions to establish robust criteria for identifying, evaluating, managing, and mitigating risks arising from potential changes in interest rates. Furthermore, it mandates the assessment and monitoring of credit spread risk to ensure comprehensive risk management practices within the non-trading book.
Published on 5 January 2024
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CSSF circular
Application of the Guidelines of the European Banking Authority on the criteria for the identification, evaluation, management and mitigation of the risks arising from potential changes in interest rates and of the assessment and monitoring of credit spread risk, of institutions’ non-trading book activities (EBA/GL/2022/14)
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