Regulatory Alerts2020-03-31
Added · Updated
Guidelines on stress test scenarios under the MMF Regulation
These guidelines establish 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. The document 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. Competent authorities are required to notify ESMA of their compliance status within two months of publication, while financial market participants are not required to report the results of the stress tests described in sections 4.1 to 4.7. The guidelines apply from two months after publication on ESMA’s website.
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