Circular CSSF 22/818 is a CSSF circular, published 29 June 2022 and updated 27 March 2023. Subject: ESMA Guidelines on stress test scenarios under Article 28 of the Money Market Fund Regulation. It was repealed by Circular CSSF 23/831.
\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 21/780.
\nCircular CSSF 22/818 ESMA Guidelines on stress test scenarios under Article 28 of the Money Market Fund Regulation – Update 2021 (ESMA/34-49-446)
\nCircular CSSF 22/818 Re: ESMA Guidelines on stress test scenarios under Article 28 of the Money Market Fund Regulation – Update 2021 (ESMA/34-49-446) Luxembourg, 29 June 2022 To 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.
\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 2020 version of the Guidelines (Ref. ESMA/34-49-289), introduced by means of Circular CSSF 21/780, 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/34-49-446), as published on 4 May 2022 (the “2021 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 2021 Guidelines. The 2021 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 2021 Guidelines, when compared to the 2020 version, notably include updated common reference parameters for the common reference stress test scenarios. The 2021 Guidelines notably concern the topics summarised in Section I below.
\nSummarised Guidelines
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\n2021
\nSection 2 of the Final Report (ESMA/50-1664-5224, dated 14 February 2022) on the 2021 Guidelines provides some background on the rationale behind the 2021 update of the Guidelines, which have only been changed in its section 5 on the calibration. All the other sections of the 2020 Guidelines continue to apply unchanged. The update was motivated by a recalibration of the stress scenario.
\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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