Response to consultation on Guidelines liquidity stress testing under MiCAR
Question 1. Do respondents have any comment with respect to the proposed non-re-strictive list of parameters of the stress test scenarios that need to be con-sidered for the calibration of the stress factors?
We do not have specific proposals on the addition or removal of parameters from the non-exhaustive list that the EBA has proposed in the draft guidelines. We recommend that the EBA clarifies that the determination of the stress factors by ART/EMT issuers of reserve assets (paragraph 29 of the draft guidelines) should take account of the non-exhaustive list of parameters only where relevant (i.e., acknowledging that some asset classes may not currently be a component of an ART/EMT issuer’s reserve assets at the time of the stress test).
We recommend that the EBA introduces proportionality into the guidelines, for instance into the complexity of the stress testing methodology, to take account of the potential application of the guidelines to issuers of non-significant ARTs/EMTs. The proportionate application of the guidelines to issuers of non-significant ARTs/EMTs will better reflect the inherently lower risk that such issuers are deemed to represent by virtue of the non-significant classification of the tokens they issue.
Question 2. Do respondents have any comment about the risks identified that need to be covered by the parameters of the stress test scenarios? Do respondents think that any other risk should be included?
We do not have any specific proposals on the addition or removal of the risks which the EBA has proposed should be covered in the parameters of stress test scenarios. The EBA has acknowledged that a disadvantage of its proposed approach to determining risk factors is the possibility that the specific risk profile of the issuer is not fully reflected in liquidity stress testing due to the guidelines mandating the risks that need to be covered. We recommend that the EBA provides the ability for issuers to propose to NCA possible alternative approaches to liquidity stress testing if such approaches would better reflect an issuer’s specific risk profile.
Question 3. Do respondents find operational challenges in the implementation of the guidelines?
NA
Question 4. Do respondents find any piece of the guidelines confusing or difficult to un-derstand?
NA