Regulatory Alerts2023-12-19
Final Report on Guidelines on stress test scenarios under the MMF Regulation
The European Securities and Markets Authority (ESMA) has published final guidelines updating the common reference parameters for stress test scenarios that Money Market Fund (MMF) managers must conduct under the MMF Regulation. The update introduces a revised methodology for liquidity stress tests that accounts for the interaction between liquidity and redemption pressures, alongside calibrated parameters reflecting severe macro-economic shocks such as prolonged low growth and elevated inflation. These updated guidelines will apply two months after the publication of translations, requiring managers to report results using the new parameters in their quarterly submissions to National Competent Authorities.
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