Art. 6 Type of stress testing | RTS on stress test programmes | MiCA

This article establishes the core requirement for issuers of asset-referenced tokens or e-money tokens to implement two distinct types of stress tests: a solvency stress test and a liquidity stress test.

It defines what each test must capture, with solvency testing focused on capital position and loss absorption capacity, and liquidity testing focused on funding, market risk, and shocks to the reserve of assets.

The article also makes clear that the design and complexity of these methodologies must be appropriate to the nature of the tokens and their reserve assets.

This article works in close conjunction with Articles 7 and 8, which set the frequency and governance requirements around these same stress tests.

Important points:

Implement both a solvency stress test and a liquidity stress test as mandatory requirements.
The solvency stress test must assess the impact on capital resources and the capacity to absorb losses, while the liquidity stress test must address shocks to the reserve of assets and overall liquidity position.
The design, complexity, and level of detail of the stress test methodologies must be appropriate to the nature, scale, and size of the token and its reserve assets.

1. Issuers of asset-referenced tokens or e-money tokens shall implement a solvency stress test and a liquidity stress test.
1. The solvency stress test shall capture the impact of certain developments including macro or microeconomic scenarios, on the overall capital position of the issuer of asset-referenced tokens or e-money tokens, including on its minimum or additional own funds requirements, by means of projecting the issuers’ capital resources and requirements, highlighting the issuer’ vulnerabilities and assessing its capacity to absorb losses and the impact on its solvency positions.
1. The liquidity stress test shall capture the impact of certain developments including macro or microeconomic scenarios, from a funding and market risk perspective and shocks to the liquidity of the reserve of assets and to the overall liquidity position of the issuer of asset-referenced tokens or e-money tokens, including to its minimum or additional liquidity requirements.
1. The specific design, complexity and level of detail of the stress test methodologies shall be appropriate to the nature of the asset-referenced token or e-money token, including redemption rights’ nature, scale and size, as well as the complexity, concentration and composition of its reserve assets.