1. Each MMF shall have in place sound stress testing processes that identify possible events or future changes in economic conditions which could have unfavourable effects on the MMF. The MMF or the manager of an MMF shall assess the possible impact that those events or changes could have on the MMF. The MMF or the manager of an MMF shall regularly conduct stress testing for different possible scenarios.

The stress tests shall be based on objective criteria and consider the effects of severe plausible scenarios. The stress test scenarios shall at least take into consideration reference parameters that include the following factors:

(a) hypothetical changes in the level of liquidity of the assets held in the portfolio of the MMF;

(b) hypothetical changes in the level of credit risk of the assets held in the portfolio of the MMF, including credit events and rating events;

(c) hypothetical movements of the interest rates and exchange rates;

(d) hypothetical levels of redemption;

(e) hypothetical widening or narrowing of spreads among indices to which interest rates of portfolio securities are tied;

(f) hypothetical macro systemic shocks affecting the economy as a whole.