http://www.legislation.gov.uk/eur/2018/708/annexesCommission 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) 2018/708Commission 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)King's Printer of Acts of Parliamenthttps://webarchive.nationalarchives.gov.uk/eu-exit/https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32018R0708texttext/xmlen2024-07-08Expert Participation2023-07-11 ANNEX <Strong>Reporting template for managers of Money Market Funds (MMFs)</Strong>

Except where otherwise specified, all figures shall be filled in at sub-fund level

Regulation (EU) 2017/1131 of the European Parliament and of the Council of 14 June 2017 on money market funds
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).
Financial derivative identification in EMIR
The currency of the notional amount. In the case of an interest rate derivative contract, this will be the notional currency of leg 1.
The currency of the notional amount. In the case of an interest rate derivative contract, this will be the notional currency of leg 2.
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.
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
ItemData typeReported data
(A)

APPLICABLE TO ALL MMFS

(1)

General characteristics, identification of the MMF and the manager of that MMF

(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 MMFISO 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 (Yes/No)
(A.1.8)Domicile of the MMFISO 3166 — Country code
(A.1.9)Member State where the MMF is authorisedISO 3166 — Country code
(A.1.10)Member States where the MMF is marketedList of Countries (ISO 3166 — Country code)
(A.1.11)Inception date of the MMFISO 8601 date in the format YYYY-MM-DD
(A.1.12)Base currency of the MMFISO 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 MMFISO 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 MMFISO 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
(2)

Type 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
(3)

Other characteristics of the MMF

a)

Master/feeder information (MMF marketed solely through employee savings scheme governed by national law and which has natural persons as investors)

(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 MMFISO 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
b)

Information on share classes

(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 classesISO 6166 ISIN 12 character alphanumerical code
(A.3.7)Where the MMF has share classes, state the currency of the different share classesISO4217 Currency Code, 3 alphabetical characters
c)

Information on preceding fund or liquidation (one-off reporting)

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
(4)

Portfolio indicators of the MMF

a)

Total value of assets (for the purpose of the reporting template under the MMF Regulation, it is considered that the total value of assets equals the NAV – please see below field A.4.1)

b)

NAV (subfund level – not share class)

(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)
c)

WAM

(A.4.3)Weighted Average Maturity of the MMF calculated as set out in Article 2(19) of Regulation (EU) 2017/1131.(days)
d)

WAL

(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)
e)

Liquidity indicators

Portfolio Liquidity Profile
(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 profilePercentage of portfolio capable of being liquidated that fall within each period
Period
1 day or less2-7 days8-30 daysabove 30 days
f)

Yield

(A.4.8)Cumulative returns%
Range
YTD1 month3 months1 year3 years5 years
(A.4.9)Calendar year performance (net return) of the most representative share class%
Range
Year N-1Year N-2Year N-3
(A.4.10)Monthly portfolio volatility and Monthly portfolio volatility of the shadow NAV (when applicable)%
Range
1 year2 years3 years
(5)

Stress tests of the MMF

a)

Results of the stress tests of the MMF

(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
b)

Proposed action plan (where applicable)

(A.5.10)Indicate the proposed action plan as set out in Art 28(4) of Regulation (EU) 2017/1131Free text
(6)

Information on the assets held in the portfolio of the MMF

a)

Money market instruments, eligible securitisations and asset backed commercial papers

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 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 instrumentISO 6166 ISIN 12 character alphanumerical code
(A.6.4)CFI (if available, and if the ISIN is not available) of the money market instrumentISO 10692 CFI, 6 characters alphabetical code
(A.6.5)LEI of the issuerISO 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 instrumentISO 3166 — Country code
(A.6.9)Maturity date of the money market instrumentISO 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 paperISO 6166 ISIN 12 character alphanumerical code
(A.6.23)Country of the sponsor of the eligible securitisation and asset backed commercial paperISO 3166 — Country code
(A.6.24)LEI of the sponsorISO 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 dateISO 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)
b)

Other assets

(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: Financial derivative instruments dealt in on a regulated market (and specify if it falls under Article 50(1)(a), (b) or (c) of Directive 2009/65/EC) Financial derivative instruments dealt over-the-counter 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 instrumentISO 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 instrumentISO 18774
(A.6.43)CFI code (if available and if the ISIN is not available) of the financial derivative instrumentISO 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 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 ISO 4217 Currency Code
(A.6.49)Notional currency 2 ISO 4217 Currency Code
(A.6.50)Country of the financial derivative instrumentISO 3166 — Country code
(A.6.51)Maturity date of the financial derivative instrumentISO 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 CounterpartyISO 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 MMFISO 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 MMFISO 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 MMFISO 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 assetsISO 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 assetsISO 10692 CFI, 6 characters alphabetical code
(A.6.75)Country of the deposit or ancillary liquid assetsISO 3166 — Country code
(A.6.76)Name of the counterparty
(A.6.77)LEI of the counterpartyISO 17442 LEI 20 alphanumerical character code
(A.6.78)Maturity date of the deposit or ancillary liquid assetsISO 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 agreementISO 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 agreementISO 10692 CFI, 6 characters alphabetical code
(A.6.85)Country of the repurchase agreement or a reverse repurchase agreementISO 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 counterpartyISO 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 agreementISO 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) (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 assetsISO 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)
(7)

Information on the liabilities of the MMF

a)

information on the investors – investor concentration

(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)
b)

information on the investors – breakdown of investor concentration

(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 (MiFID 2)) 2) retail clients (as defined in Article 4(1)(11) of Directive 2014/65/EU (MiFID 2))
—

Professional clients (as defined in in Article 4(1)(10) of Directive 2014/65/EU (MiFID 2))

% (of NAV)
—

Retail clients (as defined in Article 4(1)(11) of Directive 2014/65/EU (MiFID 2))

% (of NAV)
c)

information on the investors – geographical breakdown

(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)
d)

Information on investors — subscription and redemption activity

Investor redemptions
(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 daysDays
(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 assetsType 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
<Strong>LVNAV MMFs</Strong>

ItemData typeReported data
(B)

APPLICABLE TO LVNAV MMF

a)

Indicate every event in which the price of an asset valued by using the amortised cost method in accordance with the first subparagraph of Article 29(7) of Regulation (EU) 2017/1131 deviates from the price of that asset calculated in accordance with paragraphs 2, 3 and 4 of Article 29 of Regulation (EU) 2017/1131 by more than 10 basis points. These fields should be reported for every asset the price of which, by using the amortised cost method, would deviate in such a way.

(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 assetISO 6166 ISIN 12 character alphanumerical code
(B.1.3)CFI code (if available and if the ISIN is not available) of the assetISO 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)

Indicate every event in which the constant NAV per unit or share calculated in accordance with paragraphs 1 and 2 of Article 32 of Regulation (EU) 2017/1131 deviates from the NAV per unit or share calculated in accordance with Article 30 of Regulation (EU) 2017/1131 by more than 20 basis points.

(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
c)

Indicate every event in which a situation mentioned in Article 34(3) of Regulation (EU) 2017/1131 occurs and the measures taken by the board in accordance with points (a) and (b) of Article 34(1) of that Regulation.

(B.1.19)Date of the eventISO 8601 date in the format YYYY-MM-DD
(B.1.20)Date when the measure was takenISO 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