Circular CSSF 21/780 is a CSSF circular, published 26 August 2021 and updated 29 June 2022. Subject: ESMA Guidelines on stress test scenarios under Article 28 of the Money Market Fund Regulation – Update 2020 (ESMA/34-49-289). It was repealed by Circular CSSF 22/818.
\nRelevant for: AIFMs, Investment firms, 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.
\nRepeals Circular CSSF 20/735.
\nCircular CSSF 21/780 ESMA Guidelines on stress test scenarios under Article 28 of the Money Market Fund Regulation – Update 2020 (ESMA/34-49-289)
\nCircular CSSF 21/780 Re: ESMA Guidelines on stress test scenarios under Article 28 of the Money Market Fund Regulation – Update 2020 (ESMA/34-49-289) Luxembourg, 26 August 2021 To all money market funds under the supervision of the CSSF
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\nfunctioning and control of these undertakings.
\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) as integrated by the CSSF in its administrative practices and introduced by means of Circular CSSF 18/696 with a view to promote supervisory convergence at a European level, thereby becoming applicable in the context of the Luxembourg legal and regulatory framework. Further, we refer to the 2019 version of the Guidelines (Ref. ESMA/34-49-164), introduced by means of Circular CSSF 20/735, which included common reference stress test scenarios as well as common reference parameters for those scenarios. On that basis, MMFs and their managers were provided 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 ESMA 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 ESMA, as introduced by means of 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 purpose of this Circular is to inform you that the CSSF, as competent authority, integrates 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. The 2020 Guidelines are appended to this Circular. The English version as well as the French and German translations are available on the ESMA website http://www.esma.europa.eu/.
\nIn accordance with Article 28 of the MMF Regulation, the Guidelines issued by ESMA are to be 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 2020 Guidelines notably concern the topics summarised in Section I below.
\nSummarised presentation of the 2020 Guidelines Section 2 of the 2020 Guidelines provides some background on the rationale behind the 2020 update of the Guidelines, which was motivated by the crisis events faced by some MMFs in March 2020. The COVID-19 crisis was challenging for MMFs and a number of EU MMFs faced significant liquidity issues during the period of acute stress in March 2020.
\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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