LUXEMBOURG: CSSF Circular 21/780 on ESMA Guidelines on stress test scenarios under Article 28 of the Money Market Fund Regulation

Friday August 27 2021

The CSSF have published a circular on Regulation (EU) 2017/1131 of the European Parliament and of the Council of 14 June 2017 on money market funds.

The purpose of this Circular is to inform relevant entities that the CSSF, as competent authority, has integrated the latest version of the ESMA Guidelines on stress test scenarios under the MMF Regulation (Ref. ESMA/34-49-289 EN), as published on 16 December 2020 (the “2020 Guidelines”), in its administrative practices. All money market funds (MMFs) under the supervision of the CSSF and Luxembourg managers of MMFs shall duly comply with the 2020 Guidelines.

In accordance with Article 28 of the MMF Regulation, the Guidelines issued by ESMA are updated at least every year in relation to the common reference parameters of the stress test scenarios taking into account the latest market developments. On that basis, the 2020 Guidelines, when compared to the 2019 version, notably include updated common reference parameters for the common reference stress test scenarios.

The Circular, with the updated Guidelines, enters into force on 30 August 2021.

The CSSF expects all entities falling under the scope of this Circular to apply the 2020 Guidelines for the preparation of the required MMF reporting as from the reporting date 30 September 2021 onwards.

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