Annex 1

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) 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 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

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 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

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

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 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

f) Yield

(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) 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) 2017/1131

Free text

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 (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

Item

Data type

Reported data

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 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) 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 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