On May 6, 2025, FR AMF updated its position DOC-2018-05 due to the updated ESMA guidelines re crisis simulation scenarios under art 28 of the EU Reg on monetary funds.
The updated parameters reflect the market conditions prevailing at the time of their calibration at the end of 2024, and include a decrease in parameters related to credit spreads for corporate bonds, as well as liquidity shocks for sovereign bonds.
As MMF reporting is on a quarterly basis for money market funds with assets over €100 mn, managers must use updated crisis scenario parameters from Jun. 30, 2025.
FR AMF draws the attention of managers to the importance of updating parameters;
Players who anticipated the updated parameters in transmissions required before Jun. 30 must correct and return them with the old parameters to their national authority.
On Apr. 19, FR AMF complied with the updated ESMA MMF guidelines.
FR AMF confirmed compliance with the ESMA guidelines on the update of the stress scenarios provided for in art 28 of the reg on money market funds (MMF) for 2023.
FR AMF updated position DOC-2018-05 to reference ESMA’s guidance on updating stress test scenarios under art 28 of the money market fund regulation (MMFR).
2019 ESMA guidelines defined the common reference parameters for different stress test scenarios; they must be updated at least once a year under art 28(7) MMFR.
In Jan. 2023, ESMA issued official translations of its new guidelines on updating stress test parameters after a calibration based on market conditions at the end of 2022.
Those included an increase of the stress parameters re corporate bonds' credit spread.
This was the third annual update since implementing MMF reg reporting in 2020.
Effectiveness
Under the comply or explain procedure, these guidelines apply on Mar. 27, 2023.
MMF managers must use updated stress test parameters from Mar. 31, 2023 onwards.
MMF managers who have updated parameters in reporting due before that date of Mar. 31, 2023, must correct them, resubmit their reporting with the previous parameters.
Jun. 2024 Updated Guidelines
On Jun. 4, 2024, FR AMF complied with the ESMA guidelines on updating crisis scenario parameters, provided for in art 28 of the reg on monetary funds, for 2024.
Follows ESMA Mar. 2024 issued translated guidelines on stress test scenarios #161828.
Under art 37 of the MMFR, the results of stress testing for a money market fund are sent to its competent authority in a quarterly report if the assets exceed €100 million.
Other money market funds report annually, their report will be forwarded to ESMA.
In Mar. 2024, ESMA published the official translations of its new guidelines on updating stress testing parameters to reflect the market conditions at the time of calibration.
Main change re asset liquidity stress test scenario by requiring the application of a discount factor reflecting the cost of asset liquidity in the event of redemption.
And by taking into account the divestment of all portfolio lines on a pro rata basis.
FR AMF has aligned its position DOC-2018-05 with the updated ESMA guidance.
The guidelines are applicable from May 6, 2024, money market fund managers must use the updated stress scenario parameters from Jun. 30, 2024 for quarterly reports.
Market participants who have anticipated the parameter update for submissions due before this date must correct these and resubmit them using the old parameters.
May 2025 Updated Guidelines
On May 6, 2025, FR AMF updated its position DOC-2018-05 due to the updated ESMA guidelines re crisis simulation scenarios under art 28 of the EU Reg on monetary funds.
The updated parameters reflect the market conditions prevailing at the time of their calibration at the end of 2024, and include a decrease in parameters related to credit spreads for corporate bonds, as well as liquidity shocks for sovereign bonds.
As MMF reporting is on a quarterly basis for money market funds with assets over €100 mn, managers must use updated crisis scenario parameters from Jun. 30, 2025.
FR AMF draws the attention of managers to the importance of updating parameters;
Players who anticipated the updated parameters in transmissions required before Jun. 30 must correct and return them with the old parameters to their national authority.
