Regulatory Alerts2018-03-21
Added · Updated
Guidelines on stress tests scenarios under Article 28 of the MMF Regulation
These guidelines establish common reference parameters for stress test scenarios that money market funds and their managers must include in stress tests conducted under Article 28 of the MMF Regulation. The parameters cover hypothetical changes in asset liquidity, credit risk, interest and exchange rates, redemption levels, spread movements, and macro systemic shocks, requiring tests against both portfolio net asset value and liquidity buckets. Managers must report results for specific risk factors, including liquidity, credit, FX, interest rates, redemptions, spreads, macro shocks, and multivariate scenarios, in the template specified in Article 37(4) of the MMF Regulation. The guidelines apply from the dates specified in Articles 44 and 47 of the MMF Regulation and require national competent authorities to notify ESMA of compliance within two months of publication.
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