4.2 Risks to be assessed

Issuers of ARTs/EMTs should assess under stress the proneness to redemption requests at any time.

For the purpose of paragraph 11, issuers of ARTs/EMTs should consider all the following aspects: the profile of the token holders (including retail or wholesale); the type of token (including if it is significant or not); the type of asset referenced (such as, official currency or other); the characteristics of the issuer (such as, credit institution or other); historical experience of redemption requests; and, the maturity profile of the reserve of assets. Issuers may consider any other aspect they deemed relevant for the assessment.

Issuers of ARTs/EMTs should assess the need to complement the percentages of the reserve of assets with a residual maturity of up to one or five working days in accordance with Article 36(4) Regulation (EU) 2023/1114, once the relevant delegated regulation applies, by estimating a 99% confidence interval relative to the average redeemed amount in the worst cases observed of 1 and 5 days residual maturity in terms of gross outflows, based on their particular historical observations.

4.2.2 Risk related to deposits with credit institutions

Issuers of ARTs/EMTs should assess under stress the possibility of failure to a prompt access to the amount of the deposits held in credit institutions as part of the reserve of assets.

For the purposes of paragraph 14, issuers of ARTs/EMTs should consider all of the following aspects: i) the credit quality and the liquidity profile of the deposit counterparty; ii) the concentration by counterparty and custodian; iii) the location of the deposit; iv) the maturity of the deposit; v) the potential collateral (including volume, type or quality) lying under the deposit; and, vi) any risk factor not required following Article 36(4) Regulation (EU) 2023/1114 they may consider relevant for this risk .

4.2.3 Market risk and volatility

Issuers of ARTs/EMTs should assess under stress the need of additional liquidity requirements to cover the market risk of the reserve of assets as well as its currency denomination differences, volatility and correlation relative to the one of the assets referenced, taking into account related hedging derivatives and overcollateralization in place either imposed in accordance with the specification under Article 36(4) Regulation (EU) 2023/1114, once the relevant delegated regulation applies, or any other requested by the competent authority/supervisor or held on a voluntary basis.

Issuers of ARTs/EMTs should take into account the cases where a historical lookback approach is used for the determination of the overcollateralisation in place (referred in the preceding paragraph) and is based on an observation period where no stress event has taken place. In these cases, for example, longer periods including stress events should be considered or stress assumptions should be incorporated.

4.2.4 De-pegging risk

Issuers of ARTs/EMTs should assess the risk that the market value of the ARTs/EMTs differ from the market value of the asset referenced and whether additional liquidity requirements are necessary to mitigate that difference.