On the 2nd of September, 2019, ESMA published the
final guidelines on liquidity stress testing (LST) in UCITS and
AIFs. The final guidelines follow on consultations initiated in
April 2019 and will take effect from 30 September 2020.
UCITS and AIFS (including ETFs that operate as UCITSs or AIFs),
as well as MMFs and leveraged closed-ended AIFs, are within the
scope of the guidelines. Despite the fact that asset managers
expressed a strong preference for the exclusion of MMFs from the
guidelines, ESMA only decided to reduce the scope of applicable
provisions to MMFs, focusing on those parts of the guidelines not
already covered in the MMFR rules.
Contextually, ESMA released an economic report –
"Stress simulation for investment funds 2019"
(STRESI) – documenting a comprehensive study on
liquidity resilience of bond funds to liquidity shocks. The report
also describes some of the methodologies and tools applied during
the stress exercise which could potentially help
