RegAlert2018-07-20
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CSSF Circular 18/696 implementing ESMA Guidelines on stress test scenarios for Money Market Funds
The CSSF implements the ESMA Guidelines on stress test scenarios under Article 28 of the MMF Regulation into Luxembourg law for money market funds and their managers. Managers must tailor stress tests to specific fund characteristics, incorporating minimum requirements for liquidity, credit risk, interest rates, exchange rates, redemptions, spreads, and macro systemic shocks, while also building multivariate scenarios. The circular enters into force on 21 July 2018, subject to transitional arrangements for existing UCITS and AIFs under Article 44 of the MMF Regulation.
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Circular CSSF 18/696 page 1/3
In case of discrepancies between the French and the English text, the French text shall prevail. Luxembourg, 20 July 2018 To all money market funds under the supervision of the CSSF and Luxembourg managers of money market funds as well as to those that take part in the functioning and control of these undertakings CIRCULAR CSSF 18/696 Re: ESMA Guidelines on stress tests scenarios under Article 28 of the Money Market Fund Regulation Ladies and Gentlemen, We refer to Regulation 2017/1131 of the European Parliament and of the Council of 14 June 2017 on money market funds (“MMF Regulation”). The purpose of this circular is to implement into the Luxembourg regulation applicable to the money market funds under the supervision of the CSSF and to the Luxembourg managers of money market funds the “Guidelines on stress tests scenarios under Article 28 of the MMF Regulation (Ref. ESMA/34-49-115)” published on 21 March 2018 by the European Securities and Markets Authority (ESMA)(“the Guidelines”). The Guidelines are appended to this circular. The English version, as well as the French and German translations, are available on the ESMA website http://www.esma.europa.eu/. The Guidelines aim at establishing common reference parameters of the stress test scenarios of an MMF in accordance with Article 28 of the MMF Regulation. They notably concern the topics summarised in Section I.
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Lineage: In force
Source: Commission de Surveillance du Secteur Financier — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works
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CSSF published 2 documents in the last 30 days. We email you each new one the day it's published.