Regulatory Alerts2021-06-29
Added · Updated
2020 Guidelines on MMF stress tests
The document establishes common reference parameters for stress test scenarios that money market funds and their managers must include in their stress tests under Article 28 of the MMF Regulation. It specifies requirements for testing hypothetical changes in liquidity, credit risk, interest and exchange rates, redemption levels, spreads, and macro-systemic shocks, applying to both portfolio net asset value and liquidity buckets. The guidelines become applicable two months after publication on ESMA’s website in all EU official languages, with competent authorities required to notify ESMA of their compliance status within that same two-month period.
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