The AMF applies ESMA's guidelines on updating stress scenario parameters, in accordance with Article 28 of the Money Market Funds Regulation

Stress simulation reporting 

In accordance with Article 28 of Regulation (EU) 2017/1131 on money market funds (MMF Regulation), the manager of a money market fund is required to assess the impact of stress test scenarios on the fund. Under Article 37 of the MMF Regulation, the results of stress testing for a money market fund are sent to its competent national authority in a quarterly report if the fund's assets exceed 100 million euros. Other money market funds must report annually. The competent national authority then forwards this report to ESMA.

Clarification of the latest ESMA guidelines

The ESMA guidelines published in 2019 (ESMA34-49-172) set out the common reference parameters for the different stress scenarios. In accordance with Article 28(7) of the Money Market Funds Regulation, these guidelines are updated at least once a year to take account of the latest market developments.

Against this backdrop, on 24 February 2025, ESMA published the official translations of its new guidelines updating the stress test parameters (ESMA50-43599798-12301). These parameter updates reflect the market conditions prevailing at the time of their calibration at the end of 2024, and include a reduction in the parameters linked to corporate bond credit spreads and sovereign bond liquidity shocks. This is the fifth re-evaluation of these parameters since the introduction of MMFR reporting in 2020.

Operational application

Under the ‘apply or explain’ procedure, these guidelines become applicable within two months of this date, i.e. 24 April 2025. As MMF reporting is communicated on a quarterly basis for money market funds with assets in excess of 100 million euros, money market fund managers must use the updated stress scenario parameters from 30 June 2025.

The AMF draws fund managers' attention to the importance of updating these parameters for their submissions due from 30 June 2025. Market participants who have anticipated the parameter update for submissions due before this date must correct these and resubmit them to their national authority using the old parameters.