ESMA34-1240783630-648 Consultation paper on the Guidelines on stress test scenarios under the MMF Regulation

5 May 2026 ESMA34-1240783630-648 Consultation Paper Guidelines on stress test scenarios under the MMF Regulation Responding to this paper ESMA invites comments on all matters in this paper and in particular on the specific questions summarised in Annex 1. Comments are most helpful if they: 1. respond to the question stated; 2. indicate the specific question to which the comment relates; 3. contain a clear rationale; and 4. describe any alternatives ESMA should consider. ESMA will consider all comments received by 6 August 2026. All contributions should be submitted online under the related consultation page. Publication of responses All contributions received will be published following the close of the consultation, unless you request otherwise. Please clearly and prominently indicate in your submission any part you do not wish to be publicly disclosed. A standard confidentiality statement in an email message will not be treated as a request for non-disclosure. A confidential response may be requested from us in accordance with ESMA’s rules on access to documents. We may consult you if we receive such a request. Any decision we make not to disclose the response is reviewable by ESMA’s Board of Appeal and the European Ombudsman. Data protection Information on data protection can be found at www.esma.europa.eu under the heading ‘Legal Notice and Data protection’. Who should read this paper? This document will be of interest to (i) MMF managers and their trade associations, (ii) alternative investment funds and UCITS managers and their trade associations, as well as (iii) institutional and retail investors (and associations of such investors) investing in MMFs. ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 2 Table of Contents 1 Executive Summary .................................................................................................... 4 2 Background ................................................................................................................. 6 2.1 Scope of the proposed changes of the Guidelines ............................................... 7 3 Annex I: Summary of questions ................................................................................... 8 4 Annex II: Legislative basis ........................................................................................... 9 5 Annex III: Cost-benefit analysis ................................................................................. 10 Annex IV: Draft Guidelines ............................................................................................... 12 1.Scope ........................................................................................................................ 12 2.Purpose ..................................................................................................................... 12 5. Calibration................................................................................................................. 13 3. Annex V: Mock-up of the contents of the draft ESMA webpage on the update of the MMF stress tests parameters ........................................................................................... 15 Common reference parameters of the stress test scenarios in relation to hypothetical changes in the level of liquidity of the assets held in the portfolio of the MMF ............... 16 Common reference parameters of the stress test scenarios in relation to hypothetical changes in the level of credit risk of the assets held in the portfolio of the MMF, including credit events and rating events ..................................................................................... 19 Common reference parameters of the stress test scenarios in relation to hypothetical movements of the interest rates .................................................................................... 22 Common reference parameters of the stress test scenarios in relation to hypothetical movements of the exchange rates ................................................................................ 26 Common reference parameters of the stress test scenarios in relation to hypothetical widening or narrowing of spreads among indexes to which interest rates of portfolio securities are tied .......................................................................................................... 30 Common reference parameters of the stress test scenarios in relation to hypothetical levels of redemption ...................................................................................................... 31 Common reference parameters of the stress test scenarios in relation to hypothetical macro systemic shocks affecting the economy as a whole ............................................ 33 ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 3 1 Executive Summary Reasons for publication 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 (the “Guidelines”) and update them annually based on the input provided by the European Systemic Risk Board (ESRB). ESMA is proposing to replace the annual update of the parameters included in the Guidelines (section 5 of the Guidelines that includes the calibrations) with an annual update of a dedicated page on the ESMA website where the parameters would be made available. This new approach would streamline the update of the parameters, making them more easily accessible as they will be available on a single point of access on the ESMA website for all managers of MMFs in the EU. The new approach will also provide greater flexibility in terms of timing, as the new parameters will be immediately available on the dedicated ESMA webpage upon approval, and immediately applicable, without waiting for the translation of the Guidelines to be finalised. This Consultation Paper (CP) represents the first step in the development of the updated Guidelines and the establishment of a dedicated ESMA webpage. It sets out proposals on which ESMA is seeking the views of stakeholders. Contents Section 2 explains the background to our proposals and the interaction between the text of the Guidelines and the update of the parameters on the ESMA webpage, seeking stakeholders’ input through specific questions. Annex I sets out the list of questions contained in this CP. Annex II contains the legislative reference in the MMF Regulation in relation to the update of the Guidelines. Annex III details ESMA’s initial Cost-Benefit Analysis (CBA). ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 4 Annex IV contains the full text of the updated Guidelines (updates in red). Annex V contains a mock-up of the content of the draft ESMA webpage on the update of the MMF stress tests parameters. Next Steps ESMA will consider the feedback received to this consultation and expects to publish the corresponding final report in H2 2026, so that the new procedure for the update of the parameters described above applies from the next update of these parameters which is expected to happen at the end of 2026. ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 5 2 Background 1. Article 28(7) of the Money Market Funds Regulation (MMFR)1 provides that the European Securities and Markets Authority (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 Money Market Funds (MMFs) or managers of MMFs are required to conduct. These guidelines shall be updated at least every year taking into account the latest market developments. 2. The first iteration of the Guidelines was published in July 2019 and has resulted in the text of the Guidelines being updated every year with new parameters, and accordingly modified Guidelines, which need to be translated in all EU languages and are subject to the comply or explain mechanism associated with any set of guidelines published by ESMA. 3. Managers of MMFs are expected to include the results of the stress tests in the reports to be sent to National Competent Authorities (NCAs) through the reporting framework set in Article 37 of the MMF Regulation. The Guidelines include stress test scenarios in relation to hypothetical changes in the following: a) MMFs’ liquidity levels; b) MMFs’ credit and interest rate risks; c) MMFs’ redemptions levels; d) widening/ narrowing of spreads among indexes to which interest rates of MMF portfolio securities are tied; and e) macro-economic shocks. 4. ESMA published the last update of these Guidelines on 12 January 2026 (“the 2025 Guidelines”). 1 Regulation (EU) 2017/1131 of the European Parliament and of the Council of 14 June 2017 on money market funds (OJ L 169, 30.06.2017, p. 8). ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 6 2.1 Scope of the proposed changes of the Guidelines 5. ESMA proposes to replace the annual update of the parameters2 included in the Guidelines (section 5, Calibration) with an annual update published on a dedicated page on the ESMA website. 6. This change is intended to ease compliance obligations for market participants, as the frequency of the formal update might be reduced, and be more user-friendly by creating a single point of access to such updated parameters for all firms in the EU3. 7. From a supervisory perspective, it would allow market participants to use the new set of parameters closer to the publication of the related ESRB scenario4 and reduce the risk of discrepancies, whereby all market participants would not use the latest version of the scenario for the same reporting date. 8. This change is also intended to reduce burden and simplify the process for ESMA and NCAs, in line with the ESMA approach on Simplification and Burden Reduction (SBR)5. The proposal outlined in this CP meets ESMA’s holistic approach in identifying an area where the proposed changes will reduce complexity, lead to a lean supervisory approach while targeting efficiency, reduction of duplication and inconsistencies. 9. The Guidelines will continue to define the framework and methodology for MMF stress testing, including the categories of scenarios to be considered (liquidity levels, credit and interest rate risks, redemption shocks, spread movements, and macroeconomic shocks). 10. The ESMA webpage will serve exclusively to publish the updated annual calibration of the parameters. NCAs and market participants will continue to rely on the Guidelines for the methodology of stress testing, while consulting the ESMA webpage for the latest calibrations. 11. Annex V contains a preliminary mock-up of the contents of this draft ESMA webpage on the update of the MMF stress tests parameters. Q1: Do you agree with the proposal to publish the annual calibration parameters on the ESMA website instead of updating the Guidelines each year? If no, please explain why. 2 The parameters are based on the input provided by the European Systemic Risk Board (ESRB) 3 As opposed to Guidelines translated in all EU languages. 4 Given the new parameters would be immediately available on the ESMA webpage, after these have been approved by ESMA, without having to wait for translations in all EU languages, as it is currently the case. 5 Simplification & Burden Reduction (SBR) ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 7 3 Annex I: Summary of questions Q1: Do you agree with the proposal to publish the annual calibration parameters on the ESMA website instead of updating the Guidelines each year? If no, please explain why. Q2: Do you agree with the draft CBA on the proposal to publish the annual calibration parameters on the ESMA website instead of updating the Guidelines each year? ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 8 4 Annex II: Legislative basis Legislative reference to update the guidelines on stress scenarios under article 28 of the MMF Regulation According to the article 28(7) of the MMF Regulation “ESMA shall issue guidelines with a view to establishing common reference parameters of the stress test scenarios to be included in the stress tests taking into account the factors specified in paragraph 1. The guidelines shall be updated at least every year taking into account the latest market developments”. ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 9 5 Annex III: Cost-benefit analysis This consultation paper sets out proposals for the introduction of a new approach whereby the parameters of the MMF stress tests (ST) scenarios would be published on a dedicated page of the ESMA website. This draft cost-benefit analysis (CBA) is qualitative by nature. Should relevant data be received through the consultation process, ESMA will take it into account when finalising the guidelines and will include it in the CBA accompanying the final report. The following table summarises the potential costs and benefits resulting from the implementation of the proposed approach to publishing and updating the parameters on the ESMA website. Policy objective Streamline the update process by moving from a guideline update to a regularly maintained online resource. Baseline scenario The baseline scenario should be understood for this CBA as the update of parameters annually through a formal revision of section 5 of the Guidelines. Technical proposal To replace the annual update of the Guidelines with an annual update of a dedicated page on the ESMA website which would contain the latest parameters (calibrations) relevant to MMF ST. Benefit The proposed approach goes in the direction of simplification and cost saving. The main benefits of the proposal are therefore to ease compliance obligations for market participants by providing greater flexibility on the timing of the updates and to enhance user-friendliness by establishing a single-point of access to updated parameters for all firms in the EU. From a supervisory perspective, it would allow market participants to use the new set of parameters closer to the publication of the related ESRB scenario and reduce the risk of discrepancies, whereby all market participants would not use the latest version of the scenario for the same reporting date. ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 10 The proposal would also alleviate the burden on NCAs and ESMA by removing the translation cost which would represent significant savings in terms of resources. Compliance costs Compared with the current framework, the proposed approach would necessitate to set new steps and minor related implementation costs: • Potential adjustments to internal compliance processes • NCAs may need to update internal processes On the other hand, the implementation cost is expected to be minor and outweighed by the fact that stakeholders would have direct access to the parameters on a dedicated page, reducing the need to consult updated Guidelines, as information would be centralised. Q2: Do you agree with the draft CBA on the proposal to publish the annual calibration parameters on the ESMA website instead of updating the Guidelines each year? ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 11 Annex IV: Draft Guidelines Guidelines on MMF stress tests (updates in red indicate additional text added to the ESMA34-49-115 Guidelines) 1. Scope Who? 1. These guidelines apply to competent authorities, money market funds and managers of money market funds as defined in the MMF Regulation6. What? 2. These guidelines apply in relation to Article 28 of the MMF Regulation and establish common reference parameters for the stress test scenarios to be included in the stress tests conducted by MMFs or managers of MMFs in accordance with that Article. When? 3. These guidelines apply from two months after the date of publication of the guidelines on ESMA’s website in all EU official languages (with respect to parts in red – the other parts of the Guidelines already apply from the dates specified in Articles 44 and 47 of the MMF Regulation). 2. Purpose (…) SECTIONS 2 to 4.8, as well as the appendix, REMAIN UNCHANGED7 6 Regulation (EU) 2017/1131 of the European Parliament and of the Council of 14 June 2017 on money market funds (OJ L 169, 30.06.2017, p. 8). 7 The full text of the currently applicable Guidelines on MMF stress tests can be found here: https://www.esma.europa.eu/sites/default/files/2026-01/ESMA50-481369926-30585_Final_Report_- _Guidelines_on_stress_test_scenarios_under_the_MMF_Regulation.pdf ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 12 5. Calibration 75. This section of the Guidelines includes the current calibration for the MMF stress tests the results of which have to be reported in accordance with Article 37 of the MMF Regulation, and which are detailed in section 4.8 above. This calibration for the MMF stress tests is located on a dedicated ESMA webpage8. 76. ESMA works in collaboration with the ESRB and the ECB for the annual calibration of the risk parameters. The parameters included on the abovementioned ESMA webpage are transmitted by the ESRB and updated every year. If managers need a parameter that is not indicated in this section, they may consult the adverse scenario on the ESRB website9. 77. The tables in the ESMA webpage specifically include common reference parameters of the stress test scenarios in relation to: - common hypothetical changes in the level of liquidity of the assets held in the portfolio of the MMF - hypothetical changes in the level of credit risk of the assets held in the portfolio of the MMF, including credit events and rating events - hypothetical movements of the interest rates - hypothetical movements of the exchange rates 78. When ESMA supplements the above-mentioned tables (containing parameters transmitted by the ESRB) with additional parameters, the figures are underlined. Unless otherwise specified, underlined figures are simple extrapolations of the parameters provided by the ESRB, for example an average of other parameters. 79. Finally, some parameters of the tables are calibrated by ESMA. Such calibrations are based on historical data and literature. Specifically, ESMA’s work10 to assess the price impact of asset sales during a market stress is used as a reference for the development of a price impact function. In addition, certain specifications are aligned with other sectoral regulations for the sake of consistency. Those parameters are not updated on a regular basis and are not modified unless otherwise specified: - The price impact parameters 8 Reference to the ESMA webpage to be created 9 Stress testing 10 esma50-164-2458_stresi_report.pdf ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 13 - The loss given default - The asset classification - The net outflows ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 14 3. Annex V: Mock-up of the contents of the draft ESMA webpage on the update of the MMF stress tests parameters 11 Calibration for the MMF stress tests the results of which have to be reported in accordance with Article 37 of the MMF Regulation 11 Please consider this draft mock-up as a mere preliminary example of the ESMA webpage which would be developed. The numbers included in the tables are taken from the last (2025) version of the Guidelines on MMF stress tests published on the ESMA website: https://www.esma.europa.eu/sites/default/files/2026-01/ESMA50-481369926-30585_Final_Report_- _Guidelines_on_stress_test_scenarios_under_the_MMF_Regulation.pdf ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 15 Common reference parameters of the stress test scenarios in relation to hypothetical changes in the level of liquidity of the assets held in the portfolio of the MMF Scope of the scenario MMFR Liquidity Typical assets Eligible assets Stressed Parameters -Certificate of deposit (CD) Yes Table 3, 4 -Commercial Paper (CP) Yes Table 3, 4 (a) money market instruments -Government bonds, treasury and local authority bills Yes Table 1,2, 4 -Corporate bonds Yes Table 3, 4 -Eligible securitisations Yes Table 3, 4 (b) eligible securitisations and asset-backed commercial paper (ABCPs) -ABCPs Yes Table 3, 4 (c) deposits with credit institutions -Deposits, of which time deposits No -Financial derivative instruments dealt in on a regulated No (d) financial derivative instruments market -Financial derivative instruments dealt OTC No (e) repurchase agreements -Repos Yes 4 (f) reverse repurchase agreements -Reverse repos Yes 4 Extrapolation of the results to (g) units or shares of other MMFs -Shares issued by other MMFs Yes shares issued by other MMFs ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 16 Table 1 Table 2 Liquidity discount factor - Sovereign bonds by residual Liquidity discount factor - Sovereign bonds by rating and residual maturity - Reference countries (in %) maturity (in %) 3M 6M 1Y 1.5Y 2Y 3M 6M 1Y 1.5Y 2Y DE 0.08 0.10 0.12 0.16 0.20 AAA 0.08 0.11 0.14 0.17 0.20 ES 0.10 0.17 0.21 0.25 0.29 AA 0.08 0.11 0.12 0.17 0.21 FR 0.08 0.11 0.12 0.17 0.21 A 0.10 0.17 0.21 0.25 0.29 IT 0.09 0.15 0.17 0.22 0.26 BBB 0.10 0.17 0.21 0.25 0.29 Below BBB or 0.08 0.13 0.17 0.19 0.21 0.12 0.22 0.27 0.33 0.38 NL unrated Table 3 Liquidity discount factor - Corporate bonds by rating and residual maturity 3M 6M 1Y 1.5Y 2Y AAA 0.39 0.42 0.45 0.49 0.53 AA 0.41 0.43 0.45 0.49 0.53 A 0.41 0.44 0.48 0.52 0.56 BBB 0.41 0.47 0.50 0.53 0.56 Below BBB or unrated 0.54 0.62 0.64 0.69 0.73 ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 17 Table Option 4: Price impact parameter Price impact parameter (%) Cash and deposits - Sovereign bonds 1E-13 Corporate bonds (non-financial) 4.3E-13 Corporate bonds (financial) 8E-13 Securitisation and ABCPs 4E-13 Shares issued by other MMFs 2.7E-13 Other (incl. repos) 4.7E-13 ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 18 Common reference parameters of the stress test scenarios in relation to hypothetical changes in the level of credit risk of the assets held in the portfolio of the MMF, including credit events and rating events Scope of the scenario Credit Credit MMFR Typical assets (credit spreads) (2 main counterparties) Eligible assets Stressed Parameters Stressed Parameters -Certificate of deposit (CD) Yes Table 6 Yes Table 7 -Commercial Paper (CP) Yes Table 6 Yes Table 7 (a) money market instruments -Government bonds, treasury and local Yes Table 5 Yes Table 7 authority bills -Corporate bonds Yes Table 6 Yes Table 7 (b) eligible securitisations and asset- -Eligible securitisations Yes Table 6 Yes Table 7 backed commercial paper (ABCPs) -ABCPs Yes Table 6 Yes Table 7 (c) deposits with credit institutions -Deposits, of which time deposits No No -Financial derivative instruments dealt in on a No No (d) financial derivative instruments regulated market -Financial derivative instruments dealt OTC No No (e) repurchase agreements -Repos No No (f) reverse repurchase agreements -Reverse repos No No Extrapolation Extrapolation of the results of the results (g) units or shares of other MMFs -Shares issued by other MMFs Yes to shares Yes to shares issued by issued by other MMFs other MMFs ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 19 Table 5: Shocks to government bond credit spreads Credit Spread by residual maturity - Government bonds (absolute changes - basis points) Geographic Area Country 3M 6M 1Y 2Y EU Austria 28 32 41 50 EU Belgium 40 46 57 70 EU Bulgaria 37 42 54 68 EU Croatia 34 39 50 63 EU Cyprus 37 42 54 68 EU Czech Republic 28 32 41 51 EU Denmark 21 25 32 40 EU Finland 28 32 41 51 EU France 44 52 65 74 EU Germany 25 29 37 47 EU Greece 59 72 91 110 EU Hungary 56 69 87 105 EU Ireland 25 29 37 48 EU Italy 55 67 81 100 EU Latvia 37 42 54 68 EU Lithuania 28 32 41 51 EU Luxembourg 21 25 33 41 EU Malta 29 33 43 53 EU Netherlands 23 27 35 43 EU Poland 51 59 69 80 EU Portugal 50 57 67 77 EU Romania 56 68 85 102 EU Slovakia 34 39 50 63 EU Slovenia 32 36 47 59 EU Spain 51 60 69 81 EU Sweden 21 25 33 41 EA (weighted averages) EA (weighted averages) 38 45 55 67 EU (weighted averages) EU (weighted averages) 38 45 55 66 Advanced economies United Kingdom 32 40 52 66 Advanced economies Switzerland 25 31 33 37 Advanced economies Norway 30 37 39 47 Advanced economies United States 42 54 61 79 Advanced economies Japan 11 13 19 21 Advanced economies Advanced economies non EU and non US 25 30 36 43 Emerging markets 95 120 135 144 ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 20 Table 6: Shocks to corporate bond and ABS credit spreads (all maturities) Corporate credit spreads (absolute changes - basis points) Rating Non-financial Financial covered Financial ABS AAA 116 87 111 110 AA 128 104 129 126 A 154 116 156 187 BBB 196 157 194 254 BB 356 273 224 271 B 356 342 284 339 ≤CCC 356 385 322 382 Table 7: Loss given default Loss given default (%) Senior exposure 45 Subordinated exposure 75 ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 21 Common reference parameters of the stress test scenarios in relation to hypothetical movements of the interest rates Scope of the scenario IR MMFR Typical assets (Interest rate swap) Eligible assets Stressed Parameters -Certificate of deposit (CD) Yes Table 8, 9 -Commercial Paper (CP) Yes Table 8, 9 (a) money market instruments -Government bonds, treasury and local authority bills Yes Table 8, 9 -Corporate bonds Yes Table 8, 9 (b) eligible securitisations and asset- -Eligible securitisations Yes Table 8, 9 backed commercial paper (ABCPs) -ABCPs Yes Table 8, 9 (c) deposits with credit institutions -Deposits, of which time deposits Yes Table 8, 9 -Financial derivative instruments dealt in on a Yes Table 8, 9 (d) financial derivative instruments regulated market -Financial derivative instruments dealt OTC Yes Table 8, 9 (e) repurchase agreements -Repos No (f) reverse repurchase agreements -Reverse repos Yes Table 8, 9 Extrapolation of the results to shares (g) units or shares of other MMFs -Shares issued by other MMFs Yes issued by other MMFs ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 22 Table 8: Shocks to swap rates Interest rate yield shocks absolute changes (basis points) Geographic Area Country Description 1M 3M 6M 1Y 2Y Euro area EU Interest rate swap on the EUR (euro) 83 88 97 100 106 Bulgaria EU Interest rate swap on the BGN (Bulgarian lev) 143 154 166 174 180 Czech Republic EU Interest rate swap on the CZK (Czech koruna) 104 110 123 130 136 Denmark EU Interest rate swap on the DKK (Danish krone) 86 93 100 103 108 Hungary EU Interest rate swap on the HUF (Hungarian forint) 115 123 137 152 170 Poland EU Interest rate swap on the PLN (Polish zloty) 121 129 138 148 159 Romania EU Interest rate swap on the RON (Romanian leu) 143 154 166 174 180 Sweden EU Interest rate swap on the SEK (Swedish krona) 84 91 100 106 112 Rest of Europe United Kingdom Interest rate swap on the GBP (British pound) 95 100 109 127 137 Rest of Europe Norway Interest rate swap on the NOK (Norwegian krone) 95 98 102 106 110 Rest of Europe Russia Interest rate swap on the RUB (Russian ruble) 231 257 286 319 355 ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 23 Rest of Europe Switzerland Interest rate swap on the CHF (Swiss franc) 56 66 78 88 97 Rest of Europe Türkiye Interest rate swap on the TRY (Turkish lira) 114 122 132 141 152 North America Canada Interest rate swap on the CAD (Canadian dollar) 102 108 116 132 141 North America United States Interest rate swap on the USD (US dollar) 118 122 128 140 164 Australia and Pacific Australia Interest rate swap on the AUD (Australian dollar) 101 107 114 125 138 Australia and Pacific New Zealand Interest rate swap on the NZD (New Zealand dollar) 101 107 118 126 135 South and Central America Chile Interest rate swap on the CLP (Chilean peso) 164 180 198 206 213 South and Central America Colombia Interest rate swap on the COP (Colombian peso) 237 255 268 274 289 South and Central America Mexico Interest rate swap on the MXN (Mexican peso) 164 180 198 206 213 Asia China Interest rate swap on the CNY (Chinese yuan) 35 40 44 46 51 Asia Hong Kong Interest rate swap on the HKD (Hong Kong dollar) 114 122 131 140 144 Asia India Interest rate swap on the INR (Indian rupee) 114 130 143 150 168 Asia Japan Interest rate swap on the JPY (Japanese yen) 8 9 16 19 25 Asia Korea Interest rate swap on the KRW (South Korean won) 97 103 109 112 122 Asia Malaysia Interest rate swap on the MYR (Malaysian ringgit) 108 110 113 124 130 Asia Singapore Interest rate swap on the SGD (Singapore dollar) 101 103 107 116 129 Asia Thailand Interest rate swap on the THB (Thai baht) 102 103 107 117 125 ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 24 Africa South Africa Interest rate swap on the ZAR (South African rand) 147 160 171 189 219 Table 9 Shocks to swap rates (default values for countries not included in table 8) Interest rate yield shocks absolute changes (basis points) Geographic Area Description 1M 3M 6M 1Y 2Y EU Default value for countries not included in table 8 110 118 129 136 144 Other advanced economies Default value for countries not included in table 8 84 89 96 105 114 Other emerging markets Default value for countries not included in table 8 153 166 180 192 207 ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 25 Common reference parameters of the stress test scenarios in relation to hypothetical movements of the exchange rates Scope of the scenario FX FX MMFR Typical assets (Appreciation of the EUR) (Depreciation of the EUR) Eligible assets Stressed Parameters Stressed Parameters -Certificate of deposit (CD) Yes Table 10 Yes Table 11 -Commercial Paper (CP) Yes Table 10 Yes Table 11 (a) money market instruments -Government bonds, treasury and local Yes Table 10 Yes Table 11 authority bills -Corporate bonds Yes Table 10 Yes Table 11 -Eligible securitisations Yes Table 10 Yes Table 11 (b) eligible securitisations and asset- backed commercial paper (ABCPs) -ABCPs Yes Table 10 Yes Table 11 (c) deposits with credit institutions -Deposits, of which time deposits Yes Table 10 Yes Table 11 -Financial derivative instruments dealt in on a Yes Table 10 Yes Table 11 (d) financial derivative instruments regulated market -Financial derivative instruments dealt OTC Yes Table 10 Yes Table 11 (e) repurchase agreements -Repos No No (f) reverse repurchase agreements -Reverse repos Yes Table 10 Yes Table 11 Extrapolation of Extrapolation the results to of the results to (g) units or shares of other MMFs -Shares issued by other MMFs Yes Yes shares issued shares issued by other MMFs by other MMFs ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 26 Table 10 FX shocks (appreciation of the EUR against the USD) relative changes (%) Exchange rate Geographic Area Description Shock name EU EURCZK represents 1 EUR per x CZK (Czech koruna) EURCZK 6 EU EURHUF represents 1 EUR per x HUF (Hungarian forints) EURHUF 18 EU EURPLN represents 1 EUR per x PLN (Polish zloty) EURPLN 15 EU EURRON represents 1 EUR per x RON (Romanian leu ) EURRON 3 EU EURSEK represents 1 EUR per x SEK (Swedish krona) EURSEK 11 Rest of Europe EURRSD represents 1 EUR per x RSD (Serbian dinar ) EURRSD 2 Rest of Europe EURNOK represents 1 EUR per x NOK (Norwegian krone) EURNOK 9 Rest of Europe EURGBP represents 1 EUR per x GBP (British pound) EURGBP 10 Rest of Europe EURCHF represents 1 EUR per x CHF (Swiss franc) EURCHF 5 Rest of Europe EURRUB represents 1 EUR per x RUB (Russian ruble) EURRUB 45 Rest of Europe EURTRY represents 1 EUR per x TRY (Turkish lira) EURTRY 21 North America USDCAD represents 1 USD per x CAD (Canadian dollar) USDCAD -6 North America EURUSD represents 1 EUR per x USD (US dollar) EURUSD 9 Australia and Pacific AUDUSD represents 1 AUD per x USD (Australian dollar) AUDUSD 9 Australia and Pacific NZDUSD represents 1 NZD per x USD (New Zealand dollar) NZDUSD 8 South and Central America USDARS represents 1 USD per x ARS (Argentine peso) USDARS -17 South and Central America USDBRL represents 1 USD per x BRL (Brazilian real) USDBRL -18 ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 27 South and Central America USDMXN represents 1 USD per x MXN (Mexican peso) USDMXN -7 USDCNY represents 1 USD per x CNY (Chinese yuan Asia USDCNY -4 renminbi) Asia USDHKD represents 1 USD per x HKD (Hong Kong dollar) USDHKD -1 Asia USDINR represents 1 USD per x INR (Indian rupee) USDINR -2 Asia USDJPY represents 1 USD per x JPY (Japanese yen) USDJPY -8 Asia USDKRW represents 1 USD per x KRW (South korean won) USDKRW -10 Asia USDMYR represents 1 USD per x MYR (Malaysian ringgit) USDMYR -5 Asia USDSGD represents 1 USD per x SGD (Singapore dollar) USDSGD -5 Asia USDTHB represents 1 USD per x THB (Thai baht) USDTHB -6 USDTWD represents 1 USD per x TWD (New Taiwan -3 Asia dollar) USDTWD Africa USDZAR represents 1 USD per x ZAR (South African rand) USDZAR -11 Table 11 FX shocks (depreciation of the EUR against the USD) relative changes (%) Exchange rate Geographic Area Description Shock name EU EURCZK represents 1 EUR per x CZK (Czech koruna) EURCZK -5 EU EURHUF represents 1 EUR per x HUF (Hungarian forints) EURHUF -7 EU EURPLN represents 1 EUR per x PLN (Polish zloty) EURPLN -4 EU EURRON represents 1 EUR per x RON (Romanian leu ) EURRON -2 EU EURSEK represents 1 EUR per x SEK (Swedish krona) EURSEK -2 Rest of Europe EURRSD represents 1 EUR per x RSD (Serbian dinar ) EURRSD -1 Rest of Europe EURNOK represents 1 EUR per x NOK (Norwegian krone) EURNOK -8 ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 28 Rest of Europe EURGBP represents 1 EUR per x GBP (British pound) EURGBP -5 Rest of Europe EURCHF represents 1 EUR per x CHF (Swiss franc) EURCHF -9 Rest of Europe EURRUB represents 1 EUR per x RUB (Russian ruble) EURRUB -40 Rest of Europe EURTRY represents 1 EUR per x TRY (Turkish lira) EURTRY -4 North America USDCAD represents 1 USD per x CAD (Canadian dollar) USDCAD 9 North America EURUSD represents 1 EUR per x USD (US dollar) EURUSD -12 Australia and Pacific AUDUSD represents 1 AUD per x USD (Australian dollar) AUDUSD -13 Australia and Pacific NZDUSD represents 1 NZD per x USD (New Zealand dollar) NZDUSD -13 South and Central America USDARS represents 1 USD per x ARS (Argentine peso) USDARS 18 South and Central America USDBRL represents 1 USD per x BRL (Brazilian real) USDBRL 14 South and Central America USDMXN represents 1 USD per x MXN (Mexican peso) USDMXN 12 USDCNY represents 1 USD per x CNY (Chinese yuan Asia USDCNY 7 renminbi) Asia USDHKD represents 1 USD per x HKD (Hong Kong dollar) USDHKD 1 Asia USDINR represents 1 USD per x INR (Indian rupee) USDINR 8 Asia USDJPY represents 1 USD per x JPY (Japanese yen) USDJPY 14 Asia USDKRW represents 1 USD per x KRW (South korean won) USDKRW 11 Asia USDMYR represents 1 USD per x MYR (Malaysian ringgit) USDMYR 6 Asia USDSGD represents 1 USD per x SGD (Singapore dollar) USDSGD 5 Asia USDTHB represents 1 USD per x THB (Thai baht) USDTHB 9 USDTWD represents 1 USD per x TWD (New Taiwan 7 Asia dollar) USDTWD Africa USDZAR represents 1 USD per x ZAR (South African rand) USDZAR 17 ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 29 Common reference parameters of the stress test scenarios in relation to hypothetical widening or narrowing of spreads among indexes to which interest rates of portfolio securities are tied Scope of the scenario IR MMFR Typical assets (Interest rate swap) Eligible assets Stressed Parameters -Certificate of deposit (CD) Yes Table 8, 9 -Commercial Paper (CP) Yes Table 8, 9 (a) money market instruments -Government bonds, treasury and local authority bills Yes Table 8, 9 -Corporate bonds Yes Table 8, 9 -Eligible securitisations Yes Table 8, 9 (b) eligible securitisations and asset-backed commercial paper (ABCPs) -ABCPs Yes Table 8, 9 (c) deposits with credit institutions -Deposits, of which time deposits Yes Table 8, 9 -Financial derivative instruments dealt in on a regulated Yes Table 8, 9 (d) financial derivative instruments market -Financial derivative instruments dealt OTC Yes Table 8, 9 (e) repurchase agreements -Repos No (f) reverse repurchase agreements -Reverse repos Yes Table 8, 9 Extrapolation of the results to shares (g) units or shares of other MMFs -Shares issued by other MMFs Yes issued by other MMFs ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 30 Common reference parameters of the stress test scenarios in relation to hypothetical levels of redemption Scope of the scenario Redemption Redemption Redemption MMFR Typical assets (reverse liquidity ST) (weekly liquidity ST (2 main investors) Eligible assets Stressed Parameters Stressed Parameters Stressed Parameters -Certificate of deposit (CD) Yes Self-assessment Yes Table 12, 13 Yes Table 12 -Commercial Paper (CP) Yes Self-assessment Yes Table 12, 13 Yes Table 12 (a) money market instruments -Government bonds, treasury and Yes Self-assessment Yes Table 12, 13 Yes Table 12 local authority bills -Corporate bonds Yes Self-assessment Yes Table 12, 13 Yes Table 12 (b) eligible securitisations and -Eligible securitisations Yes Self-assessment Yes Table 12, 13 Yes Table 12 asset-backed commercial paper -ABCPs Yes Self-assessment Yes Table 12, 13 Yes Table 12 (ABCPs) (c) deposits with credit -Deposits, of which time deposits Yes Self-assessment Yes Table 12, 13 Yes Table 12 institutions -Financial derivative instruments Yes Self-assessment Yes Table 12, 13 Yes Table 12 (d) financial derivative dealt in on a regulated market instruments -Financial derivative instruments Yes Self-assessment Yes Table 12, 13 Yes Table 12 dealt OTC (e) repurchase agreements -Repos Yes Self-assessment No Table 12, 13 No Table 12 (f) reverse repurchase -Reverse repos Yes Self-assessment Yes Table 12, 13 Yes Table 12 agreements (g) units or shares of other MMFs -Shares issued by other MMFs Yes Self-assessment Yes Table 12, 13 Yes Table 12 ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 31 Table 12 Table 13 Assets Article CQS Net outflows (%) Assets referred to in Article 17(7) which are highly liquid and 17(7) 1 Professional investor 40 can be redeemed and settled within one working day and have a residual maturity of up to 190 days 24(1) Cash which is able to be withdrawn by giving prior notice of Retail investor 30 five working days without penalty 25(1) 24(1) Weekly maturing assets 25(1) 24(1) Reverse repurchase agreements which are able to be terminated by giving prior notice of five working days 25(1) x100% = Weekly liquid assets (bucket 1) Assets referred to in Article 17(7) which can be redeemed and 17(7) 1,2 settled within one working week Money market instruments or units or shares of other MMFs 24(1) which they are able to be redeemed and settled within five 1,2 25(1) working days Eligible securitisations and asset-backed commercial paper 9(1)(b) 1 (ABCPs) x85% = Weekly liquid assets (bucket 2) ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 32 Common reference parameters of the stress test scenarios in relation to hypothetical macro systemic shocks affecting the economy as a whole Scope of the scenario MMFR Macro Typical assets Eligible assets Stressed Parameters -Certificate of deposit (CD) Yes Tables 1,2,3,4,5,6,7,8,10,11, 12, 14 -Commercial Paper (CP) Yes Tables 1,2,3,4,5,6,7,8,10,11, 12, 14 (a) money market instruments -Government bonds, treasury and local authority Yes Tables 1,2,3,4,5,6,7,8,10,11, 12, 14 bills -Corporate bonds Yes Tables 1,2,3,4,5,6,7,8,10,11, 12, 14 (b) eligible securitisations and asset-backed -Eligible securitisations Yes Tables 1,2,3,4,5,6,7,8,10,11, 12, 14 commercial paper (ABCPs) -ABCPs Yes Tables 1,2,3,4,5,6,7,8,10,11, 12, 14 (c) deposits with credit institutions -Deposits, of which time deposits Yes Tables 1,2,3,4,5,6,7,8,10,11, 12, 14 -Financial derivative instruments dealt in on a Yes Tables 1,2,3,4,5,6,7,8,10,11, 12, 14 (d) financial derivative instruments regulated market -Financial derivative instruments dealt OTC Yes Tables 1,2,3,4,5,6,7,8,10,11, 12, 14 (e) repurchase agreements -Repos No Tables 1,2,3,4,5,6,7,8,10,11, 12, 14 (f) reverse repurchase agreements -Reverse repos Yes Tables 1,2,3,4,5,6,7,8,10,11, 12, 14 (g) units or shares of other MMFs -Shares issued by other MMFs Yes Tables 1,2,3,4,5,6,7,8,10,11, 12, 14 ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - Tel. +33 (0) 1 58 36 43 21 - www.esma.europa.eu 33 Table 14 Net outflows (%) Professional 20 investor Retail investor 10 34