Europejski Urząd Nadzoru Giełd i Papierów Wartościowych (European Securities and Markets Authority - ESMA), Raport końcowy w sprawie wytycznych dotyczących scenariuszy testów warunków skrajnych zgodnie z rozporządzeniem MMF

19 December 2023

ESMA50-43599798-9011

Final Report

Guidelines on stress test scenarios under the MMF Regulation

1 Executive Summary

Reasons for publication

Article 28 of the MMF Regulation provides that ESMA shall develop guidelines with a view to establishing common reference parameters of the stress test scenarios to be included in the stress tests that MMFs or managers of MMFs are required to conduct. These guidelines are updated at least every year taking into account the latest market developments. ESMA published the latest update of these guidelines on 30 November 2022 and their translation on 27 January 2023 („the 2022 Guidelines” also referred to as ESMA34-49-495 ).

On 31st January 2023, ESMA published a Consultation Paper (CP) on the review of the methodology set in section 4.8 of the guidelines. The consultation closed on 28 April 2023.

This 2023 final report includes:

Updated guidelines on the methodology to implement the scenario related to the hypothetical changes in the level...