This document is an excerpt from the EUR-Lex website
Document 32018R0708
Commission Implementing Regulation (EU) 2018/708 of 17 April 2018 laying down implementing technical standards with regard to the template to be used by managers of money market funds when reporting to competent authorities as stipulated by Article 37 of Regulation (EU) 2017/1131 of the European Parliament and of the Council (Text with EEA relevance. )
Commission Implementing Regulation (EU) 2018/708 of 17 April 2018 laying down implementing technical standards with regard to the template to be used by managers of money market funds when reporting to competent authorities as stipulated by Article 37 of Regulation (EU) 2017/1131 of the European Parliament and of the Council (Text with EEA relevance. )
Commission Implementing Regulation (EU) 2018/708 of 17 April 2018 laying down implementing technical standards with regard to the template to be used by managers of money market funds when reporting to competent authorities as stipulated by Article 37 of Regulation (EU) 2017/1131 of the European Parliament and of the Council (Text with EEA relevance. )
C/2018/2177
OJ L 119, 15.5.2018, p. 5–28
(BG, ES, CS, DA, DE, ET, EL, EN, FR, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)
In force
15.5.2018 |
EN |
Official Journal of the European Union |
L 119/5 |
COMMISSION IMPLEMENTING REGULATION (EU) 2018/708
of 17 April 2018
laying down implementing technical standards with regard to the template to be used by managers of money market funds when reporting to competent authorities as stipulated by Article 37 of Regulation (EU) 2017/1131 of the European Parliament and of the Council
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) 2017/1131 of the European Parliament and of the Council of 14 June 2017 on money market funds (1), and in particular Article 37(4) thereof,
Whereas:
(1) |
In addition to the reporting requirements laid down in Directives 2009/65/EC (2) and 2011/61/EU (3) of the European Parliament and of the Council, further reporting requirements are needed to ensure that competent authorities can effectively detect, monitor and respond to risks in the money market funds (MMFs) market. |
(2) |
Article 37 of Regulation (EU) 2017/1131 requires MMFs to provide their competent authorities with a detailed list of information. To ensure consistency throughout the European Union in the way these authorities collect such data, and to ensure that the said authorities are informed of the main developments in the MMF market and can facilitate a collective analysis of the potential impacts of the MMF market in the Union, the information needs to be conveyed to the competent authorities in a uniform fashion throughout the EU. Moreover, using a standard reporting template makes it easier to carry out the procedures and processes associated with MMFs' reporting requirements, and minimises the associated costs. |
(3) |
To ensure effective supervision within the Union, such data must be forwarded to the European Securities and Markets Authority (ESMA), so that a central database for MMFs is established. |
(4) |
This Regulation is based on the draft implementing technical standards submitted by ESMA to the Commission. |
(5) |
ESMA has held an open public consultation on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits, and requested the opinion of the Securities and Markets Stakeholder Group established by Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (4). |
(6) |
The application date of this Implementing Regulation should be aligned with the date of entry into application of Regulation (EU) 2017/1131 in order to enable the national authorities to collect information to be forwarded to ESMA's data base referred to in Article 37(5) of Regulation (EU) 2017/1131. |
HAS ADOPTED THIS REGULATION:
Article 1
Managers of money market funds (MMFs) shall use the template in the Annex to this Regulation when reporting to the competent authority of a particular MMF, as stipulated by Article 37 of Regulation (EU) 2017/1131.
Article 2
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
It shall apply from 21 July 2018.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 17 April 2018.
For the Commission
The President
Jean-Claude JUNCKER
(1) OJ L 169, 30.6.2017, p. 8.
(2) Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (recast) (OJ L 302, 17.11.2009, p. 32).
(3) Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1).
(4) Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).
ANNEX
Reporting template for managers of Money Market Funds (MMFs)
Except where otherwise specified, all figures shall be filled in at sub-fund level
Item |
Data type |
Reported data |
|||||||||||||
|
|||||||||||||||
|
|
||||||||||||||
(A.1.1) |
Reporting period |
|
|||||||||||||
(A.1.2) |
National code of the MMF as provided by the competent authority of the MMF |
|
|||||||||||||
(A.1.3) |
LEI of the MMF |
ISO 17442 Legal Entity Identifier 20 alphanumerical character code (LEI) |
|||||||||||||
(A.1.4) |
ECB code (MFI ID code) of the MMF |
|
|||||||||||||
(A.1.5) |
Name of the MMF |
|
|||||||||||||
(A.1.6) |
Indicate if the MMF is a UCITS or an AIF |
UCITS AIF |
|||||||||||||
(A.1.7) |
Indicate if the MMF is marketed solely through employee saving schemes governed by national law and which have natural persons as investors (in accordance with Art 16(5) of the Regulation (EU) 2017/1131 (1) |
(Yes/No) |
|||||||||||||
(A.1.8) |
Domicile of the MMF |
ISO 3166 — Country code |
|||||||||||||
(A.1.9) |
Member State where the MMF is authorised |
ISO 3166 — Country code |
|||||||||||||
(A.1.10) |
Member States where the MMF is marketed |
List of Countries (ISO 3166 — Country code) |
|||||||||||||
(A.1.11) |
Inception date of the MMF |
ISO 8601 date in the format YYYY-MM-DD |
|||||||||||||
(A.1.12) |
Base currency of the MMF |
ISO 4217 Currency Code, 3 alphabetical characters |
|||||||||||||
(A.1.13) |
National code of the manager of the MMF as provided by the competent authority of the MMF |
|
|||||||||||||
(A.1.14) |
National code of the manager of the MMF as provided by the competent authority of the manager of the MMF |
|
|||||||||||||
(A.1.15) |
LEI of the manager of the MMF |
ISO 17442 LEI 20 alphanumerical character code |
|||||||||||||
(A.1.16) |
ECB code (MFI ID code) of the manager of the MMF |
|
|||||||||||||
(A.1.17) |
Name of the manager of the MMF |
|
|||||||||||||
(A.1.18) |
Country where the manager of the MMF is authorized |
|
|||||||||||||
(A.1.19) |
LEI of the depositary of the MMF |
ISO 17442 LEI 20 alphanumerical character code |
|||||||||||||
(A.1.20) |
National code of the depositary of the MMF |
|
|||||||||||||
(A.1.21) |
Legal name of the depositary of the MMF |
|
|||||||||||||
|
|||||||||||||||
(A.2.1) |
MMF type [Select one] |
Short-term VNAV MMF Short-term Public debt CNAV MMF Short-term LVNAV MMF Standard VNAV MMF |
|||||||||||||
|
|||||||||||||||
|
|||||||||||||||
(A.3.1) |
If the MMF complies with the conditions of Article 16(5) of Regulation (EU) 2017/1131, indicate whether the MMF is a master or a feeder fund [Select one] |
Master Feeder |
|||||||||||||
If the MMF is a feeder: |
|||||||||||||||
(A.3.2) |
LEI of the master of the MMF |
ISO 17442 LEI 20 alphanumerical character code |
|||||||||||||
(A.3.3) |
National code of the master of the MMF |
|
|||||||||||||
(A.3.4) |
Legal name of the master of the MMF |
|
|||||||||||||
|
|||||||||||||||
(A.3.5) |
Indicate whether the MMF has share classes |
(Yes/No) |
|||||||||||||
(A.3.6) |
Where the MMF has share classes, state the single ISIN of the different share classes |
ISO 6166 ISIN 12 character alphanumerical code |
|||||||||||||
(A.3.7) |
Where the MMF has share classes, state the currency of the different share classes |
ISO4217 Currency Code, 3 alphabetical characters |
|||||||||||||
|
|||||||||||||||
If the MMF has been merged with another fund, please indicate: |
|||||||||||||||
(A.3.8) |
Date of merger. |
ISO 8601 date in the format YYYY-MM-DD |
|||||||||||||
if the MMF is being liquidated, please indicate: |
|||||||||||||||
(A.3.9) |
Date of liquidation. |
ISO 8601 date in the format YYYY-MM-DD |
|||||||||||||
|
|||||||||||||||
|
|||||||||||||||
|
|||||||||||||||
(A.4.1) |
Net asset value of the MMF (subfund level) |
(EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||||||||||||
(A.4.2) |
Net asset value of the MMF |
(in base currency) |
|||||||||||||
|
|||||||||||||||
(A.4.3) |
Weighted Average Maturity of the MMF calculated as set out in Article 2(19) of Regulation (EU) 2017/1131. |
(days) |
|||||||||||||
|
|||||||||||||||
(A.4.4) |
Weighted Average Life of the MMF calculated as set out in Articles 2(20), 24(1)(b), 25(1)(b) of Regulation (EU) 2017/1131. |
(days) |
|||||||||||||
|
|||||||||||||||
|
|||||||||||||||
(A.4.5) |
% of assets qualifying for the daily liquidity buffer (daily maturing assets as defined under Articles 24 and 25 of Regulation (EU) 2017/1131) |
% |
|||||||||||||
(A.4.6) |
% of assets qualifying for the weekly liquidity buffer (weekly maturing assets as defined under Articles 24 and 25 of Regulation (EU) 2017/1131) |
% |
|||||||||||||
(A.4.7) |
Portfolio liquidity profile |
Percentage of portfolio capable of being liquidated that fall within each period |
|||||||||||||
Period |
1 day or less 2-7 days 8-30 days above 30 days |
||||||||||||||
|
|
||||||||||||||
(A.4.8) |
Cumulative returns |
% |
|||||||||||||
Range |
YTD 1 month 3 months 1 year 3 years 5 years |
||||||||||||||
|
(A.4.9) |
Calendar year performance (net return) of the most representative share class |
% |
||||||||||||
Range |
Year N-1 Year N-2 Year N-3 |
||||||||||||||
|
(A.4.10) |
Monthly portfolio volatility and Monthly portfolio volatility of the shadow NAV (when applicable) |
% |
||||||||||||
Range |
1 year 2 years 3 years |
||||||||||||||
|
|
||||||||||||||
|
|||||||||||||||
(A.5.1) |
Results of the liquidity stress tests of the MMF conducted within the reporting period as set out in Art 28(1) of Regulation (EU) 2017/1131 and the corresponding ESMA guidelines on stress tests scenarios |
|
|||||||||||||
(A.5.2) |
Results of the credit stress tests of the MMF conducted within the reporting period as set out in Art 28(1) of Regulation (EU) 2017/1131 and the corresponding ESMA guidelines on stress tests scenarios |
|
|||||||||||||
(A.5.3) |
Results of the FX rate stress tests of the MMF conducted within the reporting period as set out in Art 28(1) of Regulation (EU) 2017/1131 and the corresponding ESMA guidelines on stress tests scenarios |
|
|||||||||||||
(A.5.4) |
Results of the Interest rate stress tests of the MMF conducted within the reporting period as set out in Art 28(1) of Regulation (EU) 2017/1131 and the corresponding ESMA guidelines on stress tests scenarios |
|
|||||||||||||
(A.5.5) |
Results of stress test on the level of redemption of the MMF conducted within the reporting period as set out in Art 28(1) of Regulation (EU) 2017/1131 and the corresponding ESMA guidelines on stress tests scenarios |
|
|||||||||||||
(A.5.6) |
Results of stress test of the MMF on the spread among indices to which interest rate of portfolio securities are tied conducted within the reporting period as set out in Art 28(1) of Regulation (EU) 2017/1131 and the corresponding ESMA guidelines on stress tests scenarios |
|
|||||||||||||
(A.5.7) |
Results of the macro stress test of the MMF conducted within the reporting period as set out in Art 28(1) of Regulation (EU) 2017/1131 and the corresponding ESMA guidelines on stress tests scenarios |
|
|||||||||||||
(A.5.8) |
Results of the multivariate stress test of the MMF conducted within the reporting period as set out in Art 28(1) of Regulation (EU) 2017/1131 and the corresponding ESMA guidelines on stress tests scenarios |
|
|||||||||||||
(A.5.9) |
In the case of CNAV and LVNAV MMFs, indicate the results of the stress tests mentioned in the fields A.5.1 to A.5.8 in terms of difference between the constant NAV per unit or share and the NAV per unit or share |
|
|||||||||||||
|
|||||||||||||||
(A.5.10) |
Indicate the proposed action plan as set out in Art 28(4) of Regulation (EU) 2017/1131 |
Free text |
|||||||||||||
|
|||||||||||||||
|
|||||||||||||||
The below fields A.6 shall be completed using a line-by-line reporting template |
|||||||||||||||
(A.6.1) |
Type of the Money market instrument, eligible securitisations and asset backed commercial papers [Select one or several] |
||||||||||||||
|
Indicate the type of money market instruments, eligible securitisations and asset backed commercial papers |
Money market instruments under Article 10 of Regulation (EU) 2017/1131 Securitisations referred to in Article 13 of Commission Delegated Regulation (EU) 2015/61 (2) ABCPs as referred to in Art 11(1)(b) of Regulation (EU) 2017/1131 A simple, transparent and standardised securitisation or ABCP as referred to in Art 11(1)(c) of Regulation (EU) 2017/1131 |
|||||||||||||
|
If the type of asset is a money market instrument, complete the fields A.6.2 to A.6.20 |
|
|||||||||||||
(A.6.2) |
Asset description of the money market instrument |
|
|||||||||||||
(A.6.3) |
ISIN of the money market instrument |
ISO 6166 ISIN 12 character alphanumerical code |
|||||||||||||
(A.6.4) |
CFI (if available, and if the ISIN is not available) of the money market instrument |
ISO 10692 CFI, 6 characters alphabetical code |
|||||||||||||
(A.6.5) |
LEI of the issuer |
ISO 17442 LEI 20 alphanumerical character code |
|||||||||||||
(A.6.6) |
Name of the issuer |
|
|||||||||||||
(A.6.7) |
Issuer category The issuer categories shall be selected among the corresponding ones [Select one] |
Sovereign (EU) Sovereign (non-EU) EU Central Bank Non EU Central Bank Regional Local National Public body EU Public body (except National Public body) Non EU Public body Supranational Public body (EU) Supranational Public body (other than EU) Credit institution Other financial corporations Non-financial corporations |
|||||||||||||
(A.6.8) |
Country of the issuer of the money market instrument |
ISO 3166 — Country code |
|||||||||||||
(A.6.9) |
Maturity date of the money market instrument |
ISO 8601 date in the format YYYY-MM-DD |
|||||||||||||
(A.6.10) |
Currency of the money market instrument |
(ISO 4217 Currency Code, 3 alphabetical characters) |
|||||||||||||
(A.6.11) |
Quantity of the money market instrument |
|
|||||||||||||
(A.6.12) |
Clean price of the money market instrument |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||||||||||||
(A.6.13) |
Clean Price of the money market instrument |
(in base currency) |
|||||||||||||
(A.6.14) |
Accrued interests |
|
|||||||||||||
(A.6.15) |
Accrued interests |
(in base currency, if A.6.14 is in EUR) |
|||||||||||||
(A.6.16) |
Total market value of the money market instrument |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||||||||||||
(A.6.17) |
Total market value of the money market instrument |
(in base currency) |
|||||||||||||
(A.6.18) |
Method used to price the money market instrument |
mark to market mark-to-model amortised cost |
|||||||||||||
(A.6.19) |
Indicate whether the outcome of the internal credit assessment procedure is favourable or unfavourable |
(favourable/unfavourable) |
|||||||||||||
(A.6.20) |
Provide the next interest rate reset date (as mentioned in Art 10(2) of Regulation (EU) 2017/1131) |
ISO 8601 date in the format YYYY-MM-DD |
|||||||||||||
|
If the type of asset is an eligible securitisation or asset backed commercial paper, complete the fields A.6.21 to A.6.37 |
|
|||||||||||||
(A.6.21) |
Asset description of the eligible securitisation or asset backed commercial paper |
|
|||||||||||||
(A.6.22) |
ISIN of the eligible securitisation or asset backed commercial paper |
ISO 6166 ISIN 12 character alphanumerical code |
|||||||||||||
(A.6.23) |
Country of the sponsor of the eligible securitisation and asset backed commercial paper |
ISO 3166 — Country code |
|||||||||||||
(A.6.24) |
LEI of the sponsor |
ISO 17442 LEI 20 alphanumerical character code |
|||||||||||||
(A.6.25) |
Name of the sponsor |
|
|||||||||||||
(A.6.26) |
The type of underlying |
Trade receivables Consumer loans Leasing Credit card receivables Loans to corporates or SME Residential Mortgage Commercial Mortgage Other assets |
|||||||||||||
(A.6.27) |
Maturity date |
ISO 8601 date in the format YYYY-MM-DD |
|||||||||||||
(A.6.28) |
Currency |
(ISO 4217 Currency Code, 3 alphabetical characters) |
|||||||||||||
(A.6.29) |
Quantity |
|
|||||||||||||
(A.6.30) |
Clean price |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||||||||||||
(A.6.31) |
Clean Price |
(in base currency) |
|||||||||||||
(A.6.32) |
Accrued interests |
|
|||||||||||||
(A.6.33) |
Accrued interests |
(in base currency, if A.6.30 is in EUR) |
|||||||||||||
(A.6.34) |
Total market value |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||||||||||||
(A.6.35) |
Total market value |
(in base currency) |
|||||||||||||
(A.6.36) |
Method used to price the eligible securitisations or asset backed commercial paper |
mark to market mark-to-model amortised cost |
|||||||||||||
(A.6.37) |
Whether the outcome of the internal credit assessment procedure is favourable/unfavourable |
(favourable/unfavourable) |
|||||||||||||
|
|||||||||||||||
(A.6.38) |
Type of the Other assets [Select one] The type of other assets shall be selected among the assets listed in Article 9 of Regulation (EU) 2017/1131 |
Deposits with credit institutions as referred to in Article 12 of Regulation (EU) 2017/1131 Reverse repurchase agreements as referred to in Article 15 of Regulation (EU) 2017/1131 Repurchase agreements as referred to in Article 14 of Regulation (EU) 2017/1131 Units or shares of other MMFs as referred to in Article 16 of Regulation (EU) 2017/1131 Financial derivative instruments as referred to in Article 13 of Regulation (EU) 2017/1131 of which:
Ancillary liquid assets (in accordance with Article 50(2) of Directive 2009/65/EC) |
|||||||||||||
|
If the type of other asset is a financial derivative instrument, complete the fields A.6.39 to A.6.60 |
|
|||||||||||||
(A.6.39) |
Contract type of derivative contract |
|
|||||||||||||
(A.6.40) |
ISIN of the financial derivative instrument |
ISO 6166 ISIN 12 character alphanumerical code |
|||||||||||||
(A.6.41) |
UPI of the financial derivative instrument (if the ISIN is not available) |
|
|||||||||||||
(A.6.42) |
FISN (Financial Instrument Short Name) of the financial derivative instrument |
ISO 18774 |
|||||||||||||
(A.6.43) |
CFI code (if available and if the ISIN is not available) of the financial derivative instrument |
ISO 10692 CFI, 6 characters alphabetical code |
|||||||||||||
(A.6.44) |
Type of derivative instrument set out in Article 13(a) of Regulation (EU) 2017/1131 [select one] |
interest rate currencies indices of interest rates indices of currencies |
|||||||||||||
(A.6.45) |
Name of the underlying |
|
|||||||||||||
(A.6.46) |
Underlying identification type (3) |
I = ISIN X = Index |
|||||||||||||
(A.6.47) |
Underlying identification |
For underlying identification type I: ISO 6166 ISIN 12 character alphanumerical code For underlying identification type X: ISO 6166 ISIN 12 character alphanumerical code if available, otherwise full name of the index as assigned by the index provider |
|||||||||||||
(A.6.48) |
Notional currency 1 (4) |
ISO 4217 Currency Code |
|||||||||||||
(A.6.49) |
Notional currency 2 (5) |
ISO 4217 Currency Code |
|||||||||||||
(A.6.50) |
Country of the financial derivative instrument |
ISO 3166 — Country code |
|||||||||||||
(A.6.51) |
Maturity date of the financial derivative instrument |
ISO 8601 date in the format YYYY-MM-DD |
|||||||||||||
(A.6.52) |
Exposure of the financial derivative instrument |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||||||||||||
(A.6.53) |
Exposure of the financial derivative instrument |
(in base currency) |
|||||||||||||
(A.6.54) |
Market value of the financial derivative instrument |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||||||||||||
(A.6.55) |
Market value of the financial derivative instrument |
(in base currency) |
|||||||||||||
(A.6.56) |
Market value of the collateral received (in relation to the financial derivative instrument) |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||||||||||||
(A.6.57) |
Market value of the collateral received (in relation to the financial derivative instrument) |
(in base currency) |
|||||||||||||
(A.6.58) |
Provide the next interest rate reset date (as mentioned in Art 10(2) of Regulation (EU) 2017/1131) |
ISO 8601 date in the format YYYY-MM-DD |
|||||||||||||
(A.6.59) |
Name of the Counterparty |
|
|||||||||||||
(A.6.60) |
LEI of the Counterparty |
ISO 17442 LEI 20 alphanumerical character code |
|||||||||||||
|
If the type of other asset is a unit or share of other MMF, complete the fields A.6.61 to A.6.71 |
|
|||||||||||||
(A.6.61) |
Asset description of the unit or share of other MMF |
|
|||||||||||||
(A.6.62) |
ISIN of the unit or share of other MMF |
ISO 6166 ISIN 12 character alphanumerical code |
|||||||||||||
(A.6.63) |
LEI (if the ISIN is not available) of the unit or share of other MMF |
|
|||||||||||||
(A.6.64) |
CFI code (if available and if the ISIN is not available) of the unit or share of other MMF |
ISO 10692 CFI, 6 characters alphabetical code |
|||||||||||||
(A.6.65) |
Currency |
(ISO 4217 Currency Code, 3 alphabetical characters) |
|||||||||||||
(A.6.66) |
Country of the unit or share of other MMF |
ISO 3166 — Country code |
|||||||||||||
(A.6.67) |
Market value of the unit or share of other MMF |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||||||||||||
(A.6.68) |
Market value of unit or share of other MMF |
(in base currency) |
|||||||||||||
(A.6.69) |
Quantity |
|
|||||||||||||
(A.6.70) |
Price of the unit or share of other MMF (NAV per unit or share of other MMF) |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||||||||||||
(A.6.71) |
Price of the unit or share of other MMF (NAV per unit or share of other MMF) |
(in base currency) |
|||||||||||||
|
If the type of other asset is a deposit or ancillary liquid assets, complete the fields A.6.72 to A.6.81 |
|
|||||||||||||
(A.6.72) |
Asset description of the deposit or ancillary liquid assets |
|
|||||||||||||
(A.6.73) |
ISIN of the deposit or ancillary liquid assets |
ISO 6166 ISIN 12 character alphanumerical code |
|||||||||||||
(A.6.74) |
CFI (if available and if the ISIN is not available) of the deposit or ancillary liquid assets |
ISO 10692 CFI, 6 characters alphabetical code |
|||||||||||||
(A.6.75) |
Country of the deposit or ancillary liquid assets |
ISO 3166 — Country code |
|||||||||||||
(A.6.76) |
Name of the counterparty |
|
|||||||||||||
(A.6.77) |
LEI of the counterparty |
ISO 17442 LEI 20 alphanumerical character code |
|||||||||||||
(A.6.78) |
Maturity date of the deposit or ancillary liquid assets |
ISO 8601 date in the format YYYY-MM-DD |
|||||||||||||
(A.6.79) |
Currency |
(ISO 4217 Currency Code, 3 alphabetical characters) |
|||||||||||||
(A.6.80) |
Exposure of the deposit or ancillary liquid assets |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||||||||||||
(A.6.81) |
Exposure of the deposit or ancillary liquid assets |
(in base currency) |
|||||||||||||
|
If the type of other asset is a repurchase agreement or a reverse repurchase agreement assets, complete the fields A.6.82 to A.6.99 |
|
|||||||||||||
(A.6.82) |
Asset description of the repurchase agreement or a reverse repurchase agreement |
|
|||||||||||||
(A.6.83) |
ISIN of the repurchase agreement or a reverse repurchase agreement |
ISO 6166 ISIN 12 character alphanumerical code |
|||||||||||||
(A.6.84) |
CFI (if available and if the ISIN is not available) of the repurchase agreement or a reverse repurchase agreement |
ISO 10692 CFI, 6 characters alphabetical code |
|||||||||||||
(A.6.85) |
Country of the repurchase agreement or a reverse repurchase agreement |
ISO 3166 — Country code |
|||||||||||||
(A.6.86) |
Counterparty category The counterparty category shall be selected among the following ones (please see Art 20(2)(e) of Regulation (EU) 2017/1131) [Select one] |
Sovereign (EU) Sovereign (non-EU) EU Central Bank Non EU Central Bank Regional Local National Public body EU Public body (except National Public body) Non-EU Public body Supranational Public body (EU) Supranational Public body (other than EU) Credit institution Other financial corporations Non-financial corporations |
|||||||||||||
(A.6.87) |
LEI of the counterparty |
ISO 17442 LEI 20 alphanumerical character code |
|||||||||||||
(A.6.88) |
Name of the counterparty |
|
|||||||||||||
(A.6.89) |
Maturity date of the repurchase agreement or a reverse repurchase agreement |
ISO 8601 date in the format YYYY-MM-DD |
|||||||||||||
(A.6.90) |
Currency |
(ISO 4217 Currency Code, 3 alphabetical characters) |
|||||||||||||
(A.6.91) |
Exposure of the repurchase agreement or a reverse repurchase agreement (in the case of reverse repurchase agreement, this is the amount of cash provided to the counterparty) |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||||||||||||
(A.6.92) |
Exposure of the repurchase agreement or a reverse repurchase agreement (in the case of reverse repurchase agreement, this is the amount of cash provided to the counterparty) |
(in base currency) |
|||||||||||||
(A.6.93) |
Market value of the collateral received (in relation to the repurchase agreement or a reverse repurchase agreement) (the amount of cash received by the MMF as part of repurchase agreements (as referred to in Article 14(d) of Regulation (EU) 2017/1131) |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||||||||||||
(A.6.94) |
Market value of the collateral received (in relation to the repurchase agreement or a reverse repurchase agreement) (the amount of cash received by the MMF as part of repurchase agreements (as referred to in Art 14(d) of Regulation (EU) 2017/1131) |
(in base currency) |
|||||||||||||
(A.6.95) |
Whether the outcome of the internal credit assessment procedure is favourable or unfavourable (for the different liquid transferable securities or (other) money market instruments received as part of a reverse repurchase agreement as referred to in Article 15(6) of Regulation (EU) 2017/1131) (6) |
(favourable/unfavourable) |
|||||||||||||
In the context of the reverse repurchase agreements and assets referred to in Article 15 of Regulation (EU) 2017/1131 that were received by the MMF, please indicate: |
|||||||||||||||
(A.6.96) |
ISIN of these different assets |
ISO 6166 ISIN 12 character alphanumerical code |
|||||||||||||
(A.6.97) |
Market value of these different assets |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||||||||||||
(A.6.98) |
Market value of these different assets |
(in base currency) |
|||||||||||||
(A.6.99) |
In the context of the reverse repurchase agreements, whether there are any assets as referred to in Article 15(6) of Regulation (EU) 2017/1131 that were received by the MMF |
(Yes/No) |
|||||||||||||
|
|||||||||||||||
|
|||||||||||||||
(A.7.1) |
Specify the approximate percentage of the MMF's equity that is beneficially owned by the five beneficial owners that have the largest equity interest in the MMF, as a percentage of NAV of the MMF. Look-through to the ultimate beneficial owners where known or possible |
% (of NAV) |
|||||||||||||
|
|||||||||||||||
(A.7.2) |
Specify the breakdown of investor concentration by status of investors (estimate if no precise information available): 1) Professional clients (as defined in Article 4(1)(10) of Directive 2014/65/EU of the European Parliament and of the Council (7) (MiFID 2)) 2) retail clients (as defined in Article 4(1)(11) of Directive 2014/65/EU (MiFID 2)) |
|
|||||||||||||
|
|
% (of NAV) |
|||||||||||||
|
% (of NAV) |
||||||||||||||
|
|||||||||||||||
(A.7.3) |
Provide the breakdown of the ownership of units/shares in the MMF by investor group. Look-through to the ultimate beneficial owners where known or possible. |
(% of NAV) Non-financial corporations Banks Insurance corporations Other financial institutions Pension plans/funds General government Other collective investment undertakings Households Unknown |
|||||||||||||
(A.7.4) |
Specify the geographical breakdown of investors by country (estimate if no precise information available) |
|
|||||||||||||
|
Country |
(% of NAV, Country — ISO 3166 — 2 character) |
|||||||||||||
|
|||||||||||||||
|
|||||||||||||||
(A.7.5) |
State the frequency of investor redemptions. If multiple classes of shares or units, report for the largest share or unit class by NAV. [Select one] |
Daily Weekly Monthly Bimonthly Other No redemption rights |
|||||||||||||
(A.7.6) |
What is the notice period required by investors for redemptions in days |
Days |
|||||||||||||
(A.7.7) |
As at the reporting date, what percentage of the MMFs NAV is subject to the following arrangements: |
|
|||||||||||||
|
Gates |
% of NAV |
|||||||||||||
Suspension of dealing |
% of NAV |
||||||||||||||
Liquidity fees |
% of NAV |
||||||||||||||
Other arrangements for managing illiquid assets |
Type of arrangement |
||||||||||||||
% of NAV |
|||||||||||||||
(A.7.8) |
Net Asset Value of the MMF over the reporting period |
(in EUR, including the impact of subscriptions and redemptions) (at the last day of the month) |
|||||||||||||
|
January |
|
|||||||||||||
February |
|
||||||||||||||
March |
|
||||||||||||||
April |
|
||||||||||||||
May |
|
||||||||||||||
June |
|
||||||||||||||
July |
|
||||||||||||||
August |
|
||||||||||||||
September |
|
||||||||||||||
October |
|
||||||||||||||
November |
|
||||||||||||||
December |
|
||||||||||||||
(A.7.9) |
Subscriptions over the reporting period |
(in EUR) |
|||||||||||||
|
January |
|
|||||||||||||
February |
|
||||||||||||||
March |
|
||||||||||||||
April |
|
||||||||||||||
May |
|
||||||||||||||
June |
|
||||||||||||||
July |
|
||||||||||||||
August |
|
||||||||||||||
September |
|
||||||||||||||
October |
|
||||||||||||||
November |
|
||||||||||||||
December |
|
||||||||||||||
(A.7.10) |
Redemptions over the reported period |
(in EUR) |
|||||||||||||
|
January |
|
|||||||||||||
February |
|
||||||||||||||
March |
|
||||||||||||||
April |
|
||||||||||||||
May |
|
||||||||||||||
June |
|
||||||||||||||
July |
|
||||||||||||||
August |
|
||||||||||||||
September |
|
||||||||||||||
October |
|
||||||||||||||
November |
|
||||||||||||||
December |
|
||||||||||||||
(A.7.11) |
Payments to investors |
(in EUR) |
|||||||||||||
|
January |
|
|||||||||||||
February |
|
||||||||||||||
March |
|
||||||||||||||
April |
|
||||||||||||||
May |
|
||||||||||||||
June |
|
||||||||||||||
July |
|
||||||||||||||
August |
|
||||||||||||||
September |
|
||||||||||||||
October |
|
||||||||||||||
November |
|
||||||||||||||
December |
|
||||||||||||||
(A.7.12) |
Exchange rate |
|
|||||||||||||
|
January |
|
|||||||||||||
February |
|
||||||||||||||
March |
|
||||||||||||||
April |
|
||||||||||||||
May |
|
||||||||||||||
June |
|
||||||||||||||
July |
|
||||||||||||||
August |
|
||||||||||||||
September |
|
||||||||||||||
October |
|
||||||||||||||
November |
|
||||||||||||||
December |
|
LVNAV MMFs
|
Item |
Data type |
Reported data |
||
|
|||||
|
|
|
|||
(B.1.1) |
Valuation date (the first day where the event occurs) |
ISO 8601 date in the format YYYY-MM-DD |
|||
(B.1.2) |
ISIN of the asset |
ISO 6166 ISIN 12 character alphanumerical code |
|||
(B.1.3) |
CFI code (if available and if the ISIN is not available) of the asset |
ISO 10692 CFI, 6 characters alphabetical code |
|||
(B.1.4) |
Price (paragraphs 2, 3 and 4 of Article 29 of Regulation (EU) 2017/1131) (at the valuation date mentioned in field B.1.1. when the event occurs) |
|
|||
(B.1.5) |
Price (amortised cost method) (at the valuation date mentioned in field B.1.1. when the event occurs) |
|
|||
(B.1.6) |
From the valuation date specified in field B.1.1, state how long the price of an asset valued by using the amortised cost method deviated by more than 10 basis points from the price of that asset |
(days) |
|||
(B.1.7) |
During the period mentioned in field B.1.6, state the average difference between the two values mentioned in field B.1.6 |
|
|||
(B.1.8) |
During the period mentioned in field B.1.6., state the minimum price deviation between the two values |
|
|||
(B.1.9) |
During the period mentioned in field B.1.6, state the maximum price deviation between the two values |
|
|||
|
|
||||
(B.1.10) |
Valuation date (the first day the event occurs) |
ISO 8601 date in the format YYYY-MM-DD |
|||
(B.1.11) |
Constant NAV (Article 31 of Regulation (EU) 2017/1131) (at the valuation date mentioned in field B.1.10, when the event occurs) |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||
(B.1.12) |
Constant NAV (Article 31 of Regulation (EU) 2017/1131) (at the valuation date mentioned in field B.1.10, when the event occurs) |
(in base currency) |
|||
(B.1.13) |
NAV (Article 30 of Regulation (EU) 2017/1131) (at the valuation date mentioned in field B.1.10, when the event occurs) |
(in EUR) (if the base currency is not in EUR the exchange ratio used shall be the rate most recently set by the European Central Bank) |
|||
(B.1.14) |
NAV (Article 30 of Regulation (EU) 2017/1131) (at the valuation date mentioned in field B.1.10, when the event occurs) |
(in base currency) |
|||
(B.1.15) |
From the valuation date specified in field B.1.10, state how long did the constant NAV per unit or share calculated deviate from the NAV per unit or share calculated by more than 20 basis points |
(days) |
|||
(B.1.16) |
During the period mentioned in field B.1.15, state the average difference between the two values mentioned on field B.1.15 |
|
|||
(B.1.17) |
During the period mentioned in field B.1.15, state the minimum price deviation between the two values |
|
|||
(B.1.18) |
During the period mentioned in field B.1.15, state the maximum price deviation between the two values |
|
|||
|
|
||||
(B.1.19) |
Date of the event |
ISO 8601 date in the format YYYY-MM-DD |
|||
(B.1.20) |
Date when the measure was taken |
ISO 8601 date in the format YYYY-MM-DD |
|||
(B.1.21) |
Type of measure (Whenever the proportion of weekly maturing assets falls below 30 % of the total assets of the MMF and whenever the net daily redemptions on a single business day exceed 10 % of total assets) |
liquidity fees on redemptions redemption gates suspension of redemptions take no immediate action other than correcting the situation where limits referred to in Article 24(1) of Regulation (EU) 2017/1131 are exceeded, in accordance with Article 24(2) of that Regulation |
|||
(B.1.22) |
Type of measure (Whenever the proportion of weekly maturing assets falls below 10 % of its total assets) |
liquidity fees on redemptions suspension of redemptions |
(1) Regulation (EU) 2017/1131 of the European Parliament and of the Council of 14 June 2017 on money market funds
(2) 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 11, 17.1.2015, p. 1).
(3) Financial derivative identification in EMIR
(4) The currency of the notional amount. In the case of an interest rate derivative contract, this will be the notional currency of leg 1.
(5) The currency of the notional amount. In the case of an interest rate derivative contract, this will be the notional currency of leg 2.
(6) If the MMF receives as collateral different assets within the meaning of Article 15(6) of Regulation (EU) 2017/1131, the outcome should be reported for each asset.
(7) Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU