Featured Product

    ESMA Consults on Stress Testing Guidance for Money Market Funds in EU

    September 28, 2018

    ESMA launched a consultation on the draft guidelines on stress test scenarios under the Regulation on Money Market Funds (MMFs). Stakeholder views are sought, especially on the draft methodology, risks factors, data, and the impact calculation. The consultation is open for comments until December 01, 2018. ESMA will use the feedback received to finalize its guidelines in the first quarter of 2019.

    The MMF Regulation requires managers of MMFs to conduct regular stress tests as part of their risk management and regulatory disclosure. Funds must put in place sound stress testing processes, including identifying stress events, or future changes in economic conditions, and assess the impact these different scenarios may have on (the net-asset-value and/or liquidity of) the MMF. To coherently capture the risks of MMFs, ESMA has developed these draft guidelines for stress testing. This consultation paper is the first step in developing detailed specifications for these stress tests by proposing common parameters and scenarios that take into account the following hypothetical risk factors:

    • Liquidity changes of the assets held in the portfolio of the MMF
    • Credit risk, including credit events and rating events
    • Changes in interest and exchange rates
    • Redemptions and spread changes of indexes to which interest rates of portfolio securities are tied
    • Macro-economic shocks

    The final guidelines will include the calibration of the stress testing scenario for implementation. The guidelines are to be updated annually, based on the latest market developments. In March 2018, ESMA had published its 2017 guidelines on stress tests for MMFs, which will be updated following this consultation so that managers of MMFs have the information needed to fill-in the required fields in the reporting template. .

     

    Related Links

    Comment Due Date: December 01, 2018

     

    Keywords: Europe, EU, Banking, Asset Management, MMF Regulation, Money Market Funds, Stress Testing, Guidelines, ESMA 

    Featured Experts
    Related Articles
    News

    OSFI Outlines Prudential Policy Priorities for Coming Months

    OSFI has set out the near-term priorities for federally regulated financial institutions and federally regulated private pension plans for the coming months until March 31, 2022.

    May 06, 2021 WebPage Regulatory News
    News

    BIS Announces TechSprint on Innovative Green Finance Solutions

    Under the Italian G20 Presidency, BIS Innovation Hub and the Italian central bank BDI launched the second edition of the G20 TechSprint on the lookout for innovative solutions to resolve operational problems in green and sustainable finance.

    May 06, 2021 WebPage Regulatory News
    News

    EBA Proposed Regulatory Standards for Central Database on AML/CFT

    EBA proposed the regulatory technical standards on a central database on anti-money laundering and countering the financing of terrorism (AML/CFT) in EU.

    May 06, 2021 WebPage Regulatory News
    News

    ECB Responds to EC Consultation on Crisis Management Framework

    ECB published its response to the targeted EC consultation on the review of the bank crisis management and deposit insurance framework in EU.

    May 06, 2021 WebPage Regulatory News
    News

    ACPR Publishes Version 1.0.0 of RUBA Taxonomy

    ACPR published Version 1.0.0 of the RUBA taxonomy, which will come into force from the decree of January 31, 2022.

    May 06, 2021 WebPage Regulatory News
    News

    BCBS, CPMI, and IOSCO to Survey Market Participants on Margin Calls

    BCBS, CPMI, and IOSCO (the Committees) are inviting entities that participate in market infrastructures and securities markets through an intermediary as well as non-bank intermediaries to complete voluntary surveys on the use of margin calls.

    May 05, 2021 WebPage Regulatory News
    News

    ECB Amends Decision on TLTRO III

    ECB published Decision 2021/752 to amend Decision 2019/1311 on the third series of targeted longer-term refinancing operations or TLTRO III.

    May 05, 2021 WebPage Regulatory News
    News

    Central Bank of Ireland Issues Draft Template for AnaCredit Reporting

    The Central Bank of Ireland published Version 2.7 of the draft credit data template and rules for monthly AnaCredit reporting by banks.

    May 05, 2021 WebPage Regulatory News
    News

    OSFI Consults on Revisions to BCAR and Leverage Requirements Returns

    OSFI proposed revisions to the Basel Capital Adequacy Reporting (BCAR) and leverage requirements returns for the 2023 reporting, with the comment period ending on July 09, 2021.

    May 04, 2021 WebPage Regulatory News
    News

    EBA Seeks Views on Revisions to Nonperforming Loan Data Templates

    EBA published a discussion paper on review of the standardized nonperforming loans (NPL) transaction data templates, along with the proposed revised NPL data templates.

    May 04, 2021 WebPage Regulatory News
    RESULTS 1 - 10 OF 6936