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

    APRA Reviews Repayment Deferral Plans, Identifies Best Practices

    APRA has concluded its review of the comprehensive plans of authorized deposit-taking institutions for the assessment and management of loans with repayment deferrals.

    September 22, 2020 WebPage Regulatory News
    News

    ESAs Assess Risks to Financial Sector After COVID-19 Outbreak

    ESAs (EBA, EIOPA, and ESMA) published the first joint report that assesses risks in the financial sector since the outbreak of the COVID-19 pandemic.

    September 22, 2020 WebPage Regulatory News
    News

    BoE Confirms Withdrawal of COVID Corporate Financing Facility

    BoE and HM Treasury confirmed that the COVID Corporate Financing Facility (CCFF) will close for new purchases of commercial paper, with effect from March 23, 2021.

    September 22, 2020 WebPage Regulatory News
    News

    ECB Allows Temporary Relief in Leverage Ratio Amid COVID-19 Pandemic

    ECB published a decision allowing the euro area banks under its direct supervision to exclude certain central bank exposures from the leverage ratio.

    September 21, 2020 WebPage Regulatory News
    News

    ESAs Launch Survey on Templates for Product Disclosures Under SFDR

    ESAs launched a survey seeking feedback on the presentational aspects of product templates under the Sustainable Finance Disclosure Regulation (SFDR or Regulation 2019/2088).

    September 21, 2020 WebPage Regulatory News
    News

    ECB Proposes Integrated Reporting Framework to Reduce Burden for Banks

    ECB published input of the European System of Central Banks (ESCB) into the EBA feasibility report on reducing the reporting burden for banks in EU.

    September 21, 2020 WebPage Regulatory News
    News

    EC Deems UK Framework for CCPs Temporarily Equivalent to EMIR Rules

    EC adopted a decision determining, for a limited period of time, that the regulatory framework applicable to central counterparties, or CCPs, in the UK and Northern Ireland is equivalent to the requirements laid down in the European Market Infrastructure Regulation (EMIR or Regulation 648/2012).

    September 21, 2020 WebPage Regulatory News
    News

    EBA to Phase Out Guidelines on Loan Repayment Moratoria

    EBA has decided to phase out the guidelines on legislative and non-legislative moratoria of loan repayments, in accordance with the earlier specified end of September deadline.

    September 21, 2020 WebPage Regulatory News
    News

    EBA Provides Opinion on Definition of Credit Institution in CRR

    EBA published an Opinion addressed to EC to raise awareness about the opportunity to clarify certain issues related to the definition of credit institution in the upcoming review of the Capital Requirements Directive and Regulation (CRD and CRR).

    September 18, 2020 WebPage Regulatory News
    News

    ECB Finalizes Methodology to Assess CCR and A-CVA Risk of Banks

    ECB finalized the guide on assessment methodology for the internal model method for calculating exposure to counterparty credit risk (CCR) and the advanced method for own funds requirements for credit valuation adjustment (A-CVA) risk.

    September 18, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5820