Circular CSSF 20/735 is a CSSF circular, published 28 January 2020 and updated 30 August 2021. Subject: ESMA Guidelines on stress test scenarios under Article 28 of the Money Market Fund Regulation – Update 2019. It was repealed by Circular CSSF 21/780.
\nRelevant for: Other specific authorisations, registrations and information, Part II UCIs, SIFs, UCITS.
\nKeywords: Money Market Fund (MMF).
\nLuxembourg, 28 January 2020
\nTo all money market funds under the supervision of the CSSF and Luxembourg managers of money market funds as well as to those that take part in the functioning and control of these undertakings.
\nRe :
\nESMA Guidelines on stress test scenarios under Article 28 of the Money Market Fund Regulation – Update 2019
\nLadies and Gentlemen, We refer to Regulation (EU) 2017/1131 of the European Parliament and of the Council of 14 June 2017 on money market funds (“MMF Regulation”) as well as the 2018 version of the ESMA Guidelines on stress test scenarios under Article 28 of the Money Market Fund Regulation (Ref. ESMA/34-49-115) implemented into Luxembourg regulation by means of Circular CSSF 18/696. The purpose of this circular is to implement the “Guidelines on stress test scenarios under the MMF Regulation (Ref. ESMA/34-49-164)” as published on 19 July 2019 by the European Securities and Markets Authority (ESMA) (“the 2019 Guidelines”) into Luxembourg regulation applicable to the money market funds (MMFs) under the supervision of the CSSF and to the Luxembourg managers of MMFs. The 2019 Guidelines are appended to this circular. The English version is available on the ESMA website http://www.esma.europa.eu/. French and German translations are going to be available only at a later stage. In accordance with Article 28 of the MMF Regulation, the Guidelines issued by ESMA, that are to be updated at least every year by ESMA taking into account the latest market developments, aim at 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.
\nThe 2019 Guidelines, when compared to the 2018 version, now also include common reference stress test scenarios as well as common reference parameters for those scenarios. This provides MMFs and their managers with the necessary information to calculate and fill in the corresponding fields on the results of the stress tests of the MMF in the reporting template as set out in the Annex of the Commission Implementing Regulation (EU) 2018/708 of 17 April 2018 laying down implementing technical standards with regard to the template to be used by managers of money market funds when reporting to competent authorities as stipulated by Article 37 of the MMF Regulation (“Commission Implementing Regulation”). The “Guidelines on the reporting to competent authorities under Article 37 of the MMF Regulation (Ref. ESMA/34-49-168)” published on 19 July 2019 by the European Securities and Markets Authority (ESMA), as implemented into Luxembourg regulation via Circular CSSF 20/736, provide guidance on the contents of the fields of the reporting template laid down in the Annex of the Commission Implementing Regulation, including for the fields on the stress tests. The Guidelines notably concern the topics summarised in Section I below. I.
\nSummarised presentation of the 2019 Guidelines
\nThe first section of the 2019 Guidelines which specifies certain general features of the stress test scenarios of MMFs, explaining, among others, the scope of the effects of the stress test scenarios as well as the historical and hypothetical scenarios, has been kept unchanged compared to 2018. Likewise, there have been no changes to sections 4.2 to 4.7 which establish common reference parameters of the stress test scenarios taking into account the factors as set out in Article 28(1) of the MMF Regulation. Examples of stress tests are provided in the Appendix of the 2019 Guidelines and have also remained unchanged. The 2019 Guidelines therefore still specify that the factors set out therein are minimum requirements. On that basis, MMFs or managers of MMFs have to tailor the approach to the specificities of the MMFs and add any factors or requirements that are deemed useful to the stress test exercise.
\nThe text above is the opening of the document; the PDF carries the whole.
\nDocument page, PDF. Source: Commission de Surveillance du Secteur Financier (CSSF), reproduced with the CSSF's consent. The French text prevails.
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