4.3 Methodology

Issuers of ARTs/EMTs should compare the total weighted amount of the reserve of assets with respect to the total weighted amount of the assets referenced by the ARTs/EMTs, under stress.

For the purposes of paragraph 19, issuers of ARTs/EMTs should calculate the total weighted amount of the reserve of assets as the result of multiplying the market value of each asset in the reserve of assets by the relevant stress factor (weight). In the case of assets that are not marketable (such as cash or deposits in credit institutions), issuers of ARTs/EMTs should take the amount multiplied by the relevant stress factor.

That total weighted amount of the assets referenced by the tokens is the result of multiplying the market value of the assets referenced by the relevant stress factor. In the case of ARTs/EMTs referenced to official currencies their monetary value should be taken as weighted amount of the assets referenced.

A shortfall of the reserve of assets in the liquidity stress testing arises where the total weighted amount of the reserve of assets is lower than the weighted amount of the assets referenced by the tokens, under stress.

4.3.2 Identification of the common referenced parameters of the stress test scenarios

Issuers of ARTs/EMTs should calibrate and determine the relevant stress factors for each asset of the reserve of assets and for the assets referenced by the ARTs/EMTs under various stress scenarios and time horizons, including 1 day, 5 days, 30 days and 1 year.

Issuers of ARTs/EMTs should base the calibration of the stress factors on historical observations (their own observations plus observations from market events) and expert judgment. Issuers of ARTs/EMTs should have a historical documentation of data series of observations and detailed rationale for any expert judgment proving the appropriateness of the calibration.

The stress factor for a specific asset class should be constructed considering the combination of risk factors and parameters relevant for the asset class under different stress events/scenarios from an idiosyncratic and market wide perspective. The severity of the shocks should be determined by the severity of the given stress scenario (including the time horizon). Therefore, different stress factors for the same asset class may be derived for each scenario.

The stress factor to be applied to each asset of the reserve of assets should be lower than 100%. The stress factor to be applied to the assets referenced should be higher than 100% if the tokens are not referenced to official currencies.

In the determination of the stress factors issuers of ARTs/EMTs should assess all the following parameters and take into account the risks envisaged in section 4.2 of these Guidelines. Issuers of ARTs/EMTs may also consider other relevant parameters and risks not already considered and which are not inconsistent with those in these guidelines.

• a) Parameters related to the calibration of the stress factors of the reserve of assets

In the determination of the stress factors to the following assets in the reserve of assets, issuers ARTs/EMTs should take into account under stress all the following parameters:

• a. Deposits with credit institutions :

• b. Commodities :

• c. LCR level 1 liquid assets subject to 0% haircuts [in accordance with Commission Delegated Regulation (EU) 2015/61] and, once the relevant delegated regulation applies, as further specified as highly liquid financial instruments in accordance with Article 38(5) Regulation (EU) 2023/1114 :

• d. LCR level 1 covered bonds [in accordance with Commission Delegated Regulation (EU) 2015/61] and, once the relevant delegated regulation applies, as further as specified as highly liquid financial instruments following Article 38(5) Regulation (EU) 2023/1114:

• e. Other highly liquid financial instruments, once the relevant delegated regulation applies, as further specified following Article 38(5) Regulation (EU) 2023/1114:

• b) Parameters related to the calibration of the stress factors of the assets referenced

⁶ Liquid assets to be understood as those defined in Article 3 (1) and (2) as ‘level 1 assets’ or ‘level 2 assets’, respectivel y, of Commission Delegated Regulation (EU) 2015/61 of 10 October 2014, to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (OJ L 011 17.1.2015, p.1).

In the determination of the stress factors to the assets referenced by the tokens, issuers of ARTs/EMTs should take into account under stress all the following parameters: