EU final report on updated guidelines on stress test scenarios under Money Market Funds Regulation

The European Securities and Markets Authority has published its final report on guidelines on stress test scenarios under the Money Market Funds Regulation. The MMF Regulation requires ESMA to annually update the guidelines, taking into account the latest market developments. The final report includes:

• An additional explanation on the way to report the results of the macro systemic shocks.
• Updated guidelines and risk parameters, so that managers of MMFs have the information needed to fill in the relevant reporting template.

The guidelines will be translated into the official EU languages and published on the ESMA website. The updated guidelines, including the new 2024 parameters, will apply two months after the publication of the translations. Once the guidelines apply, managers will have to report the results of the new parameters to NCAs with their quarterly reports, for the purpose of the reporting and set out in Commission Implementing Regulation (EU) 2018/7083. Until then, ESMA explains that managers should continue to use the parameters set in the 2023 guidelines and report the results accordingly.

In addition to the report, the European Systemic Risk Board published the adverse scenario for the 2024 ESMA's MMF stress-testing guidelines (dated December 3, 2024). The document sets out the adverse financial market scenario for the stress-testing exercise carried out by ESMA. The ESRB, in collaboration with the ECB and ESMA, has updated the calibration of stress parameters for the 2024 ESMA MMF guidelines. The updated parameters were approved by the ESRB General Board in November. All assumptions about redemptions and the additional guidance on applying the scenario are provided by ESMA as part of its MMF stress-testing guidelines.

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