Europejski Urząd Nadzoru Giełd i Papierów Wartościowych (European Securities and Markets Authority - ESMA), Raport końcowy - wytyczne dot. testów warunków skrajnych zgodnie z rozporządzeniem 2017/1131 w sprawie funduszy rynku pieniężnego

14 February 2022

ESMA50-1664-5224

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 16 December 2021 and their translation on 29 June 2021 (“the 2020 Guidelines” also referred to as ESMA34-49-261 ).

This 2021 final report includes updated guidelines on specifications on the type of the stress tests and their calibration, so that managers of MMFs have the information needed to fill in the corresponding fields in the reporting template mentioned in article 37of the MMF Regulation (section 5 of the Guidelines – updates in...