cssf08_338.pdf

Here are the key points:

• The circular is an update to Circular CSSF 08/338 as amended by CSSF 16/642, CSSF 20/762, and CSSF 24/849.
• The purpose of this circular is to provide guidelines for reporting interest rate risk in the banking book (IRRBB) pursuant to Article 433a of the EU's Capital Requirements Regulation (CRR).
• The report must be submitted annually, with a deadline of three months after the end of the reference period.
• The report should include information on the institution's IRRBB exposure and how it is managed.
• Institutions are required to provide additional information if their IRRBB exposure exceeds 1% of their tier 1 capital.
• The report must be submitted in an Excel file format (ESPREP-XXX-YYYY-MM-STT.xlsx) and encrypted.
• The report should include information on the institution's individual situation, consolidated situation, and outlier questions.

Please note that this is a summary of the circular, and you may want to refer to the original document for more detailed information.