Q.ESMA Guidelines on liquidity stress testing in UCITS and AIFs, Section V.3 “Interaction with National Competent Authorities” states that managers should notify NCAs of material risks and actions taken to address them. How should this notification be made and what should be included in the notification?
A. Notification to the Central Bank takes the form of a two-stage process.
Initial notification: The Central Bank requires that it be immediately informed via an ONR IF Regulatory Report if a stress test performed reveals a material risk.
Subsequent notification: In addition to this initial notification, where a stress test reveals a material risk, the manager should draw up an extensive report with the results of the stress testing and a proposed action plan. Where necessary, the manager should take action to strengthen the robustness of the UCITS including actions that reinforce the liquidity or the quality of the assets of the UCITS. The manager shall again immediately inform
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