Circulaire CSSF – Circulaire CSSF 23/831 (uniquement en anglais)

The CSSF published Circulair CSSF 23/831, thereby integrating the latest version of the ESMA Guidelines on stress test scenarios under the MMF Regulation (ESMA/34-49-495) in its administrative practices.
The 2022 Guidelines provide guidance on the stress test scenarios for MMFs and require all MMFs under the supervision of the CSSF and Luxembourg managers of MMFs to comply with them. The ESMA Guidelines are updated every year in relation to the common reference parameters of the stress test scenarios. The update was motivated by a recalibration of the stress scenarios to reflect the assessment of systemic risk by ESMA, the ESRB and the ECB at the time.
The 2022 Guidelines have updated common reference parameters for the common reference stress test scenarios, with shocks that are severe, plausible and consistent with market developments, including the Russian invasion of Ukraine, geopolitical tensions, resurgence of COVID-19 pandemic, and supply-chain disruptions. The guidelines have also been updated with a calibration of the risk parameters in collaboration with the ESRB and the ECB.
The key characteristics of the 2022 Guidelines include the impact of degraded prospects on corporate sector profitability expectations, government debt sustainability concerns leading to sovereign debt risks, and general tightening in financial conditions, triggering abrupt adjustments in asset prices.
The 2022 Guidelines maintain the same hypothetical levels of redemption and the principle-based guidelines on stress testing, with the factors set out therein being minimum requirements. MMFs or managers of MMFs have to tailor the approach to the specificities of the MMFs and add any factors or requirements deemed useful to the stress test exercise.
The present circular, with the updated Guidelines, enters into force on 27 March 2023. The CSSF expects all entities falling under the scope of this circular to apply the 2022 Guidelines for the preparation of the required MMF reporting as from the reporting date 31 March 2023 onwards.
Annex: ESMA Guidelines on stress test scenarios under the MMF Regulation (ESMA/34-49-495) of 27 January 2023 starting on page 6 of the PDF.