Risk parameters in ESMA’s guidelines on stress test scenarios under the Money Markets Fund Regulation to be updated

Aug 27, 2020

Risk parameters in ESMA’s guidelines on stress test scenarios under the Money Markets Fund Regulation to be updated

Thursday 27 August 2020 11:28

The European Securities and Markets Authority (ESMA), the EU securities markets regulator, today confirms that the 2019 Guidelines on stress test scenarios under the Money Market Funds Regulation (MMFR) will be updated in 2020 to include a modification of the risk parameters to reflect recent market developments related to the COVID-19 crisis.

ESMA has assessed whether the scenarios envisaged in the 2019 Guidelines are still appropriate and finds that applying the 2019 scenarios in the current market environment generally leads to absolute levels of stress similar to the levels observed in March 2020.

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