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    CSSF Amends Circular on Management of IRRBB, Issues Reporting Updates

    December 29, 2020

    CSSF published a Circular 20/762 that amends Circular 08/338 on the implementation of a stress test to assess the interest rate risk in the banking book or IRRBB, following the adoption of EBA guidelines on the management of IRRBB (EBA/GL/2018/02). The changes mainly concern the nature and specification of the stress test with reference to the EBA guidelines. In accordance with the guidelines, institutions measure exposure to the interest rate risk inherent in non-trading activities not only in terms of changes in the economic value of equity but also in terms of the evolution of interest income. The new requirements apply with immediate effect. CSSF has also published reporting instructions on IRRBB, pursuant to amendments to Circular 08/338. In addition, CSSF has published a technical document on resolution reporting requirements applicable to Luxembourg-based entities.

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    Keywords: Europe, Luxembourg, Banking, Stress Testing, IRRBB, Interest Rate Risk, Reporting, Resolution Framework, CSSF

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