The European Securities and Markets Authority (ESMA) released guidelines that aim to ensure common, uniform and consistent application of the Money Market Fund (MMF) Regulation. In particular, they establish common reference parameters of the stress test scenarios to be included in the stress tests taking into account the following hypothetical factors:
- changes in the level of liquidity of the assets held in the portfolio of the MMF;
- changes in the level of credit risk of the assets held in the portfolio of the MMF, including credit events and rating events;
- movements of the interest rates and exchange rates;
- levels of redemption;
- widening or narrowing of spreads among indexes to which interest rates of portfolio securities are tied;
- macro systemic shocks affecting the economy as a whole.