The European Securities Market Authority (ESMA) has published translation to the guidelines on stress test scenarios under the MMF Regulations. The guidelines apply to competent authorities, money market funds and managers of money market funds as defined in the MMF Regulation.

The guidelines apply in relation to Article 28 of the MMF Regulation and establish common reference parameters for the stress test scenarios to be included in the stress tests conducted by MMFs or managers of MMFs in accordance with that Article.

The guidelines apply from two months after the date of publication of the guidelines on ESMA’s website in all EU official languages (with respect to parts in red – the other parts of the Guidelines already apply from the dates specified in Articles 44 and 47 of the MMF Regulation).

The purpose of these guidelines is to ensure common, uniform and consistent application of the provisions in Article 28 of the MMF Regulation. In particular, and as specified in Article 28(7) of the MMF Regulation, they establish common reference parameters of the stress test scenarios to be included in the stress tests taking into account the following factors specified in Article 28(1) of the MMF Regulation:

  • hypothetical changes in the level of liquidity of the assets held in the portfolio of the MMF;
  • hypothetical changes in the level of credit risk of the assets held in the portfolio of the MMF, including credit events and rating events;
  • hypothetical movements of the interest rates and exchange rates;
  • hypothetical levels of redemption;
  • hypothetical widening or narrowing of spreads among indexes to which interest rates of portfolio securities are tied;
  • hypothetical macro systemic shocks affecting the economy as a whole.

In accordance with Article 28(7) MMF Regulation, the guidelines will be updated at least every year taking into account the latest market developments. In 2019, the section 4.8 of the guidelines is in particular updated so that managers of MMFs have the information needed to fill in the corresponding fields in the reporting template referred to mentioned in Article 37 of the MMF Regulation, as specified by Commission Implementing Regulation (EU) 2018/7082 . This information includes specifications on the types of the stress tests mentioned in this section 4.8 and their calibration.