Circular CSSF 20/752 is a CSSF circular, published 29 September 2020. Subject: ESMA Guidelines on Liquidity Stress Testing in UCITS and AIFs.
\nLegal basis: Law of 17 December 2010 on undertakings for collective investment.
\nRelevant for: AIFMs, Investment fund managers, Management companies - Chapter 15, Management companies - Chapter 16, Other specific authorisations, registrations and information, Part II UCIs, SICARs, SIFs, UCITS.
\nKeywords: Depositary, Internal governance, Liquidity, Money Market Fund (MMF), Risk management, Stress test.
\nCircular CSSF 20/752 Re: ESMA Guidelines on Liquidity Stress Testing in UCITS and AIFs
\nLuxembourg, 29 September 2020
\nLadies and Gentlemen,
\nTo all Luxembourg investment
\nThe purpose of this Circular is to inform you that the CSSF, as competent
\nfund
\nmanagers,
\nall
\nauthority, applies the Guidelines of the European Securities and Market
\nLuxembourg undertakings for
\nAuthority (ESMA) on Liquidity Stress Testing in UCITS and AIFs (Ref. ESMA/34-
\ncollective investment, to their
\n39-897 EN)”, initially published on 2 September 2019 (hereafter the
\ndepositaries,
\nthose
\n“Guidelines”), and integrates those Guidelines into its administrative practice
\ninvolved in the operation and
\nand regulatory approach with a view to promote supervisory convergence in this
\nsupervision
\nfield at the European level.
\nundertakings.
\nand of
\nsuch
\nThe Guidelines aim in particular at increasing the standard, consistency and, in some cases, the frequency of Liquidity Stress Testing (“LST”) already undertaken and promote convergent supervision of LST by national competent authorities (hereafter the “NCA”) within the EU. The Guidelines are attached to this Circular. The English version and the related French and German translations dated 16 July 2020 are available on ESMA’s website http://www.esma.europa.eu.
\nI. Scope The present Circular applies to the following investment fund managers (“IFMs”) in respect of the undertakings for collective investment in transferable securities (“UCITS”) and the alternative investment funds (“AIFs”) they manage, including exchange traded funds (“ETFs”), whether these ETFs operate as UCITS or AIFs, as well as leveraged closed-ended AIFs: •
\nmanagement companies incorporated under Luxembourg law and subject to Chapter 15 of the Law of 17 December 2010, as amended, relating to undertakings for collective investment (hereinafter “2010 Law”);
\nmanagement companies incorporated under Luxembourg law and subject to article 125-2 of Chapter 16 of the 2010 Law;
\nLuxembourg branches of IFMs subject to Chapter 17 of the 2010 Law authorized under the provisions of article 125-2 of the 2010 Law;
\nUCITS investment companies which have not designated a management company within the meaning of article 27 of the 2010 Law;
\nalternative investment fund managers authorised under Chapter 2 of the Law of 12 July 2013 on alternative investment fund managers (hereinafter “2013 Law”); as well as
\ninternally managed alternative investment funds within the meaning of point (b) of article 4(1) of the 2013 Law.
\nFor Money Market Funds governed by the Money Market Fund Regulation 2017/1131 of 14 June 2017 (hereafter the “MMFR”), the Guidelines apply in part as further specified in point 6 of section I (“Scope”) of the Guidelines in addition to the separate ESMA guidelines on stress test scenarios under article 28 of the MMFR as implemented initially into Luxembourg regulation by means of Circular CSSF 18/696 and updated subsequently by means of Circular CSSF 20/735. In addition, this Circular applies to open-ended and leveraged closed-ended Specialised Investment Funds (“SIFs”) not governed by Part II of the Law of 13 February 2007 (hereafter “2007 Law”) and which are subject to the provisions of the CSSF Regulation N° 15-07 laying down detailed rules for the application of article 42a of the 2007 Law as regards the requirements in relation to risk management and conflicts of interest. The CSSF also recommends that the following undertakings for collective investment consider the provisions of this Circular: •
\nopen-ended and leveraged closed-ended UCIs subject to Part II of the 2010 Law which are managed by a registered alternative investment fund manager as defined in the 2013 Law;
\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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