{"id":"circulars/cssf-20-762","title":"Circular CSSF 20/762","type":"circular","date":"2020-12-11","kind":"circular","html":"<p>Circular CSSF 20/762 is a CSSF circular, published 11 December 2020 and updated 6 August 2025. Subject: Update of Circular CSSF 08/338, as amended by Circular CSSF 16/642, on the implementation of a stress test in order to assess the interest rate risk arising from non-trading book activities following the adoption of the European Banking Authority (EBA) guidelines on the management of interest rate risk arising from non-trading book activities (EBA/GL/2018/02). The CSSF marks it as outdated.</p>\n<p>Relevant for: Credit institutions, Investment firms.</p>\n<p>Keywords: Stress test.</p>\n<h2>Text</h2>\n<p>In case of discrepancies between the French and the English text, the French text shall prevail.</p>\n<p>Update of Circular CSSF 08/338 as amended by Circular CSSF 16/642 on the implementation of a stress test in order to assess the interest rate risk arising from non-trading book</p>\n<p>activities</p>\n<p>following</p>\n<p>the</p>\n<p>adoption of the European Banking Authority (EBA) guidelines on the management of interest rate risk arising</p>\n<p>from</p>\n<p>non-trading</p>\n<p>book</p>\n<p>activities (EBA/GL/2018/02)</p>\n<p>In case of discrepancies between the French and the English text, the French text shall prevail.</p>\n<p>Circular CSSF 20/762 Re: Update of Circular CSSF 08/338 as amended by Circular CSSF 16/642 on the implementation of a stress test in order to assess the interest rate risk arising from non-trading book activities following the adoption of the European Banking Authority (EBA) guidelines on the management of interest rate risk arising from non-trading book activities (EBA/GL/2018/02)</p>\n<p>Luxembourg, 11 December 2020</p>\n<p>Ladies and Gentlemen,</p>\n<p>To all credit institutions and</p>\n<p>This circular amends Circular CSSF 08/338 on the implementation of a stress</p>\n<p>CRR</p>\n<p>investment</p>\n<p>firms</p>\n<p>test in order to assess the interest rate risk arising from non-trading book</p>\n<p>under</p>\n<p>activities by incorporating the European Banking Authority (EBA) guidelines on</p>\n<p>Luxembourg law and to the</p>\n<p>the management of interest rate risk arising from non-trading book activities</p>\n<p>Luxembourg branches of credit</p>\n<p>(EBA/GL/2018/02) 1 with which the CSSF has committed to comply in its capacity</p>\n<p>incorporated</p>\n<p>institutions</p>\n<p>and</p>\n<p>investment</p>\n<p>firms having their registered office in a third country</p>\n<p>as national competent authority. This circular implements said guidelines into Luxembourg legislation. Circular CSSF 08/338 is amended in accordance with the annex to this circular. The amendments to Circular CSSF 08/338 are presented in track changes mode for ease of reading and understanding. The changes concern mainly the nature and specification of the stress test as referred to in guidelines EBA/GL/2018/02. In accordance with these guidelines, institutions shall measure the exposure to interest rate risk arising from non-trading book activities in terms of both change in economic value of equity (“EVE”) and change in future earnings. The new requirements shall apply with immediate effect. For the first submission, relating to the financial situation as at 31 December 2020, by way of derogation from point 14 of Circular CSSF 08/338, as amended, the reporting deadline has been set at 15 March 2021. Yours faithfully,</p>\n<p>These guidelines are available on the EBA's website: <a href=\"https://eba.europa.eu/documents/10180/2282655/Guidelines+on+the+management+of+interest+rate+r\" target=\"_blank\" rel=\"noreferrer\">https://eba.europa.eu/documents/10180/2282655/Guidelines+on+the+management+of+interest+rate+r</a> isk+arising+from+non-trading+activities+%28EBA-GL-2018-02%29.pdf</p>\n<p>Françoise KAUTHEN</p>\n<p>Claude MARX</p>\n<p>Annex: Circular CSSF 08/338 as amended by Circulars CSSF 16/642 and CSSF 20/762</p>\n<p>Circular CSSF 08/338 as amended by Circulars CSSF 16/642 and CSSF 20/762 Re: Implementation of stress tests in order to assess the interest rate risk arising from non-trading book activities</p>\n<p>Luxembourg, 19 February 2008</p>\n<p>Ladies and Gentlemen,</p>\n<p>To all credit institutions and CRR investment firms incorporated under Luxembourg law and to the branches of credit institutions and investment firms having their registered office in a third country</p>\n<p>In accordance with Articles 25 and 30(4) of CSSF Regulation N° 15-02 (hereinafter “RCSSF 15-02”) relating to the supervisory review and evaluation process that applies to CRR institutions 1 (hereinafter “RCSSF 15-02”), (as defined in Article 1(1) of RCSSF 15-02 and hereinafter designated as “institutions”), CRR institutions must submit their non-trading book activities to a stress tests on interest rate risk.</p>\n<p>The text above is the opening of the document; the PDF carries the whole.</p>\n<p><a href=\"https://www.cssf.lu/en/Document/circular-cssf-20-762/\" target=\"_blank\" rel=\"noreferrer\">Document page</a>, <a href=\"https://www.cssf.lu/wp-content/uploads/cssf20_762eng.pdf\" target=\"_blank\" rel=\"noreferrer\">PDF</a>. Source: Commission de Surveillance du Secteur Financier (CSSF), reproduced with the CSSF's consent. The French text prevails.</p>"}