30 November 2022
The European Securities and Markets Authority (ESMA), the EU’s financial markets regulator and supervisor, is publishing the Final Report on the 2022 update of guidelines on MMF stress tests under the Money Market Funds Regulation (MMFR).
The 2022 update of the Guidelines on MMFs stress tests is published in the context of the resurgence of the COVID-19 pandemic, compounded with zero-COVID policies in some regions, uncertainty about the economic consequences of the Russian invasion of Ukraine and geopolitical tensions.
It also reflects the very high risks to ESMA’s remit identified in ESMA Report on Trends, Risks and Vulnerabilities, including risks to MMFs, which experienced a stress episode on the GBP money market in 2022. The calibration takes into account the systemic risks identified in the Warning issued by the ESRB on vulnerabilities in the Union’s financial system.
In calibrating the new risk parameters ESMA has worked closely with the European Systemic Risk Board and the European Central Bank.
Next steps
The new 2022 parameters set out in the updated Guidelines will have to be used for the purpose of the first reporting period following the start of the application of the updated Guidelines. These Guidelines shall be updated at least every year considering the latest market developments.