In light of recent market developments and the COVID-19 related stress of March 2020, the proposed revision of the scenarios relates to the hypothetical changes in the level of liquidity of the assets held in the portfolio of the MMF and the hypothetical macro systemic shocks affecting the economy as a whole.

This Consultation Paper (CP) focuses on the following changes to the current methodology:

• the proposed revision of the liquidity scenario aims to better take into account the interaction between liquidity and redemption pressures, in light of the stress event experienced in March 2020; and
• the proposed revision of the macro scenario intends to better capture the macroprudential impact of the scenario, by including assumptions on the underlying markets and other market participants.

Finally, the CP also presents ESMA’s considerations on a potential climate risk scenario, seeking stakeholders’ feedback on this point. 

This document will be of particular interest to:

• MMF managers and their trade associations;
• alternative investment funds and UCITS managers and their trade associations; and
• institutional and retail investors (and associations of such investors) investing in MMF.

Next steps

Interested parties are invited to send their feedback by 28 April 2023. ESMA will then assess responses with the aim of finalising the Final Report by Q4 2023. The final guidelines on MMF stress tests will also include the calibration of the 2023 stress testing scenario for implementation.