ALFI response to ESMA's consultation on the review of the methodology included in the Guidelines on stress test scenarios under the MMF Regulation

This consultation is related to a proposed update of the stress-testing methodologies applicable in the context of Article 28 of the MMF Regulation.

These updates relate to the two following main aspects:

• The liquidity scenario to account for assets and liabilities interactions (price impact incorporation)
• The macro-scenario to capture prudential consequences (economic spill-over)

Two other items of second order importance relate to:

• The opportunity to provide feedbacks on the overall framework
• The (non) inclusion of climate risk in the scenarios

View the ALFI response.