Communiqué

Publication of circulars CSSF on reporting and stress tests for money market funds

The CSSF informs on Circulars CSSF 20/734, 20/735 and 20/736 recently published on the CSSF website:

I. New reporting obligations for money market fund managers under Article 37 of the MMF Regulation

Circular CSSF 20/734 aims to complement the “Money Market Fund reporting technical reporting instructions (Ref. ESMA/65-8-6480)”, published on 16 July 2019 by the European Securities and Markets Authority (ESMA), with additional Luxembourg specific technical details allowing managers of money market funds under the supervision of the CSSF to fulfil their reporting obligations under Article 37 of the MMF Regulation.

To ensure a common, uniform and consistent application of the aforementioned article, money market fund managers have to apply the “Guidelines on the reporting to competent authorities under Article 37 of the MMF Regulation (Ref. ESMA/34-49-168)” published on 19 July 2019 by ESMA. These guidelines are implemented into the Luxembourg regulation applicable to the money market funds under the supervision of the CSSF and to the Luxembourg managers of money market funds by means of Circular CSSF 20/736.

The first reporting period starts from 01/01/2020 to 31/03/2020 for money market funds subject to a quarterly reporting obligation, respectively from 01/01/2020 to 31/12/2020 for money market funds subject to a yearly reporting obligation. In any case, the reporting should be submitted to the CSSF no later than 30 days following the end of the relevant reporting period.

The ESMA Technical Reporting Instructions and the ESMA Guidelines are also available on the CSSF website.

II. Update of the ESMA guidelines on stress tests scenarios under Article 28 of the MMF Regulation

In accordance with Article 28 of the MMF Regulation, ESMA published on 21 March 2018 a first set of the “Guidelines on stress tests scenarios under Article 28 of the MMF Regulation (Ref. ESMA34-49-1151)”, which aim at 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 and which have to be updated at least every year by ESMA taking into account the latest market developments.

In this context, Circular CSSF 20/735 implements into Luxembourg regulation applicable to the money market funds under the supervision of the CSSF and to the Luxembourg managers of money market funds the first update that ESMA published on 19 July 2019 in relation to these guidelines. The updated “Guidelines on stress tests scenarios under Article 28 of the MMF Regulation (Ref. ESMA/34-49-164)”, when compared to the first set of the guidelines, now also include common reference stress test scenarios as well as common reference parameters for those scenarios.

The CSSF will issue a new circular following each subsequent update of the ESMA “Guidelines on stress tests scenarios under Article 28 of the MMF Regulation“.