L’AMF se conforme aux orientations de l’ESMA relatives à la mise à jour des scénarios de crise prévus à l’article 28 du règlement sur les fonds monétaires pour 2023

The AMF has updated its Requirements under the european money fund regulation (DOC-2018-05) (only available in French) in order to comply with the ESMA Guidelines on updating stress test scenarios (ESMA50-164-6583), in accordance with Article 28 of the MMFR.
As a reminder, under the MMFR, a money market fund manager must assess the impact of stress test scenarios on the fund, and report the results of stress tests to the competent authority on a quarterly or annual basis, depending on the size of the fund’s assets. The competent authority then forwards this reporting to ESMA.
ESMA’s guidelines provide the common reference parameters for different stress test scenarios, and these are updated at least once a year, taking into account the latest market developments. The latest guidelines (ESMA34-49-495) were published on 27 January 2023 and must be used by money market fund managers from 31 March 2023 onwards. The new parameters have been based on market conditions prevailing at the end of 2022, and include an increase of the stress parameters related to the credit spread of corporate bonds. Money market fund managers who have updated parameters in reporting due before 31 March 2023 should correct them and resubmit their reporting with the previous parameters.
In addition, the AMF declares its compliance with the ESMA Guidelines (ESMA34-49-173) on reports to competent authorities under Article 37 of the MMFR. These guidelines aim to establish surveillance practices, and to ensure transparency and comparability between different reports, with a focus on quantitative data such as the fund’s assets, liabilities, and income. The guidelines also provide information on the content, timing, and frequency of reports to be sent to competent authorities.