Circular CSSF 24/849 is a CSSF circular, published 15 January 2024 and updated 6 August 2025. Subject: Update of Circular CSSF 08/338, as amended by Circulars CSSF 16/642 and 20/762, on the implementation of a stress test in order to assess the interest rate risk arising from non-trading book activities pursuant to Article 53-7(4) of the Law of 5 April 1993 on the financial sector. The CSSF marks it as outdated.
\nLegal basis: Law of 5 April 1993 on the financial sector.
\nRelevant for: Credit institutions, Investment firms.
\nKeywords: Market risk, Risk management, Stress test.
\nIn case of discrepancies between the French and the English texts, the French text shall prevail.
\nUpdate of Circular CSSF 08/338 as amended by Circulars CSSF 16/642 and
\nCSSF
\nthe
\nimplementation of a stress test in order to assess the interest rate risk arising
\nfrom
\nnon-trading
\nbook
\nactivities pursuant to Article 53-7(4) of the Law of 5 April 1993 on the financial sector
\nIn case of discrepancies between the French and the English texts, the French text shall prevail.
\nCircular CSSF 24/849 Re: Update of Circular CSSF 08/338 as amended by Circulars CSSF 16/642 and CSSF 20/762 on the implementation of a stress test in order to assess the interest rate risk arising from non-trading book activities pursuant to Article 53-7(4) of the Law of 5 April 1993 on the financial sector
\nLuxembourg, 15 January 2024
\nLadies and Gentlemen,
\nTo all credit institutions and
\nThe purpose of this circular is to draw your attention to the amendments to
\nCRR
\ninvestment
\nfirms
\nunder
\nthe interest rate risk arising from non-trading book activities, taking into account
\nLuxembourg law and to the
\nthe changes to the national and European legislation, as well as the European
\nLuxembourg branches of credit
\nBanking Authority (EBA) guidelines specifying criteria for the identification,
\nincorporated
\ninstitutions and CRR investment firms having their registered office in a third country
\nevaluation, 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) 1, as adopted by the CSSF through Circular CSSF 24/848. Circular CSSF 08/338 is amended in accordance with the annex to this circular. The amendments to Circular CSSF 08/338 are presented in tracked changes mode for ease of reading and understanding. The changes mainly cover: •
\nupdates of the legal references of the supervisory outlier test on interest rate risk in the banking book (IRRBB);
\nthe inclusion of provisions that were previously contained in the EBA Guidelines 2018/02, in particular section 4.5 and Annex III of said guidelines;
\nmodifications of the principles for the calculation of the change in the economic value of equity (EVE);
\nadditional requirements regarding the principles for the calculation of the net interest income (NII).
\nThe data collected by the CSSF remains unchanged compared to the previous version of the reporting template.
\nThese guidelines are available on the EBA's website: https://www.eba.europa.eu/regulation-andpolicy/supervisory-review-and-evaluation-process-srep-and-pillar-2/guidelines-irrbb-and-csrbb
\nFinally, it should be noted that the provisions of Circular CSSF 08/338 will cease to take effect when the Regulatory Technical Standards specifying supervisory shock scenarios, common modelling and parametric assumptions and what constitutes a large decline for the calculation of the economic value of equity and of the net interest income in accordance with Article 98(5a) of Directive 2013/36/EU and the Implementing Technical Standards amending Commission Implementing Regulation (EU) 2021/451 with regard to IRRBB reporting shall enter into force. This notably also includes any methodological exemptions provided to subsidiaries of groups whose parent company is located in a third country or branches having their registered office is in a third country pursuant to paragraph 7 of Circular CSSF 08/338.
\nThe text above is the opening of the document; the PDF carries the whole.
\nDocument page, PDF. Source: Commission de Surveillance du Secteur Financier (CSSF), reproduced with the CSSF's consent. The French text prevails.
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