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Article 28 of the MMF Regulation provides that ESMA shall develop guidelines with a view to establishing common reference parameters of the stress test scenarios to be included in the stress tests that MMFs or managers of MMFs are required to conduct. These guidelines are updated at least every year taking into account the latest market developments. ESMA published the latest update of these guidelines on 14 February 20221 and their translation on 04 May 2022 (“the 2021 Guidelines” also referred to as ESMA34-49-4462).
This 2022 final report includes:
- Updated guidelines on specifications on the type of the stress tests and their calibration, so that managers of MMFs have the information needed to fill in the corresponding fields in the reporting template mentioned in article 37 of the MMF Regulation (section 5 of the Guidelines – updates in red in the Annex).
The Annex contains the full text of the updated guidelines and the calibration of the scenarios for 2022 (updates in red).
MMFs and managers of MMFs are expected to measure the impact of the common reference stress test scenarios specified in the Guidelines. On the basis of these measurements, they are expected to fill in the reporting template referred to in Article 37 of the MMF Regulation and set out in Commission Implementing Regulation (EU) 2018/7083 and send the results to NCAs with their quarterly reports required by Article 37. The new 2022 parameters set out in the updated guidelines included in this final report will have to be used for the purpose of the first period to be reported following the start of the application of the updated guidelines (i.e. 2 months after the publication of their translations). Until then, managers should use the parameters set in the 2021 Guidelines and report the results accordingly. ESMA may consult on the revision of section 4.8 of the guidelines in the first half of 2023.