On 30 November 2022, the European Securities and Markets Authority (ESMA)published a final report on guidelines on stress test scenarios under the Money Market Funds Regulation (MMF Regulation).

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.

This final report includes updated guidelines on specifications on the type of 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 37 of the MMF Regulation.

MMFs and managers of MMFs are expected to measure the impact of the common reference stress test scenarios specified in the guidelines. On the basis of these measurements, they are expected to fill in the reporting template referred to in Article 37 of the MMF Regulation and set out in Commission Implementing Regulation (EU) 2018/708 and send the results to Member State competent authorities with their quarterly reports as required by Article 37.

The new 2022 parameters set out in the updated guidelines included in the final report will have to be used for the purpose of the first period to be reported following the start of the application of the updated guidelines (i.e. two months after the publication of their translations). Until then, managers should use the parameters set in the 2021 guidelines and report the results accordingly. ESMA may consult on the revision of section 4.8 of the guidelines in the first half of 2023.