Circular CSSF 24/857 is a CSSF circular, published 23 April 2024 and updated 1 April 2025. Subject: ESMA Guidelines on stress test scenarios under Article 28 of the Money Market Fund Regulation – 2023 update (ESMA50-43599798-9011). It was repealed by Circular CSSF 25/877.
\nRelevant for: Part II UCIs, SIFs, UCITS.
\nKeywords: Money Market Fund (MMF), Stress test.
\nRepeals Circular CSSF 23/831.
\nCircular CSSF 24/857 ESMA Guidelines on stress test scenarios under Article 28 of the Money Market Fund Regulation – update 2023 (ESMA50-43599798-9011)
\nCircular CSSF 24/857 ESMA Guidelines on stress test scenarios under Article 28 of the Money Market Fund Regulation – update 2023 (ESMA50-435997989011) 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.
\nLuxembourg, 23 April 2024 Ladies 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. ESMA34-49115) as integrated by the CSSF in its administrative practices and introduced by means of Circular CSSF 18/696 with a view to promoting supervisory convergence at a European level, thereby becoming applicable in the context of the Luxembourg legal and regulatory framework. Further, we refer to the 2022 version of the Guidelines (Ref. ESMA/34-49-495), introduced by means of Circular CSSF 23/831, 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 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. ESMA34-49-168), 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. ESMA50-43599798-9011), as published on 19 December 2023 (“2023 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 2023 Guidelines. The 2023 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/. In 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 considering the latest market developments. In addition, ESMA published, on 31 January 2023, a Consultation Paper on the review of the methodology set out in section 4.8 of the Guidelines.
\nOn that basis, the 2023 Guidelines, when compared to the 2022 version, notably combine an update of the methodology to implement the scenario related to the hypothetical changes in the level of liquidity of the assets held in the portfolio of the MMF following the ESMA consultation, with the annual update of the common reference parameters for the stress test scenarios. The 2023 Guidelines notably concern the topics summarised in Section 1 below.
\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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