An Overview of MMFR – Article 37 Reporting Requirements

The European Union’s Money Market Funds Regulation (MMFR) applies to any Money Market Fund (MMF) that is authorized as a collective investment scheme under either the Undertakings for the Collective Investment in Transferable Securities Directive (UCITS) or the Alternative Investment Fund Managers Directive (AIFMD). Managers subject to UCITS or AIFMD will continue to be regulated by either directive; however, they will also have to comply with additional reporting requirements under the MMFR for their MMFs.

Article 37 of the MMFR requires managers to report certain information for each MMF that it manages to the relevant National Competent Authority (NCA). This information should be reported on at least a quarterly basis, or for funds with AUM of less than €100 million on at least an annual basis.

The MMFR reporting template can be broken down into six blocks of fields, with each requiring disclosures related to a particular topic. Some of the key points of information required under each block are as follows:

Block 1 – MMF characteristics

Information such as the name, domicile, inception date, base currency, and share classes of the MMF.

Block 2 – Portfolio indicators

Details about the fund’s portfolio liquidity profile, cumulative returns, and performance of the most representative share class.

Block 3 – Stress tests

Results of stress tests and a proposed action plan if stress tests reveal any vulnerability of the MMF.

Block 4 – Information on the assets held in the MMF portfolio

The characteristics of each asset, such as name, country, issuer category (e.g., Sovereign (EU/non-EU), Credit institution, Non-financial corporations), and whether the outcome of the internal credit quality assessment procedure is favorable or unfavorable.

The type of asset, including details of the counterparty in the case of derivatives, repurchase agreements, or reverse repurchase agreements.

Block 5 – Information on the liabilities

Information on the liabilities of the MMF, including the country where the investor is established, the investor category, and subscription and redemption activity.

Block 6 – Information on Low Volatility Net Asset Value (LVNAV) MMF

Detailed information about the required disclosures for a LVNAV MMF is set out in Article 37(3) of the MMFR.

Current status of the MMFR

On 13 November 2018, the European Securities and Markets Authority (ESMA) published a Consultation Paper (CP) on draft guidelines concerning the reporting requirements for MMF managers set out under Article 37 of the MMFR, providing further guidance on how to complete the MMFR reporting template. The CP confirmed that managers would need to send their first quarterly reports required under Article 37 to NCAs in Q1 of 2020. In addition, there will be no requirement to retroactively provide historical data for any period prior to the reporting start date. Respondents interested in commenting on the CP must provide their comments to ESMA by 14 February 2019.

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