UCITS and AIFs European Central Bank Reporting Requirements for Money Market Funds


  1. This guidance is provided to ensure that all UCITS, Retail Investor AIF and Qualifying Investor AIF money market funds are identified to the Central Bank and to ensure that the responsible person for these UCITS, Retail Investor AIFs and Qualifying Investor AIFs are aware of their responsibility, under European Community law, to file certain additional periodic returns.


  1. On a regular basis the European Central Bank (ECB) prepares a consolidated balance sheet of money-creating financial intermediaries, referred to as Monetary Financial Institutions (MFIs), for the euro area. Statistical information is reported by these MFIs at monthly and quarterly intervals.
  2. The objective is to supply monthly data on the business of MFIs in sufficient detail to provide the ECB with a comprehensive statistical picture of monetary developments in the euro area and to allow flexibility in the calculation of monetary aggregates.
  3. MFIs fall into four broad categories. These are:
    1. Central Banks
    2. Credit Institutions
    3. Other MFIs
    4. Money Market Funds
  4. Money market funds, which meet the specific criteria listed below, are defined as MFIs.

Money Market Funds (MMFs)[1]

  1. Collective investment undertakings complying with all the following criteria shall be treated as MMFs, where they:
    1. pursue the investment objective of maintaining a fund’s principal and providing a return in line with the interest rates of money market instruments;
    2. invest in money market instruments which comply with the criteria for money market instruments set out in 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)[2] or deposits with credit institutions or, alternatively, ensure that the liquidity and valuation of the portfolio in which they invest is assessed on an equivalent basis;
    3. ensure that the money market instruments they invest in are of high quality, as determined by the management company. The quality of a money market instrument shall be considered, inter alia, on the basis of the following factors:
      • the credit quality of the money market instrument,
      • the nature of the asset class represented by the money market instrument,
      • for structured financial instruments, the operational and counterparty risk inherent within the structured financial transaction,
      • the liquidity profile;
    4. ensure that their portfolio has a weighted average maturity (WAM) of no more than 6 months and a weighted average life (WAL) of no more than 12 months;
    5. provide daily net asset value (NAV) and a price calculation of their shares/units, and daily subscription and redemption of shares/units;
    6. limit investment in securities to those with a residual maturity until the legal redemption date of less than or equal to 2 years, provided that the time remaining until the next interest rate reset date is less than or equal to 397 days whereby floating rate securities must reset to a money market rate or index
    7. limit investment in other collective investment undertakings to those complying with the definition of MMFs;
    8. do not take direct or indirect exposure to equity or commodities, including via derivatives and only use derivatives in line with the money market investment strategy of the fund. Derivatives which give exposure to foreign exchange may only be used for hedging purposes. Investment in non-base currency securities is allowed provided the currency exposure is fully hedged;
      • have either a constant or fluctuating NAV.
  2. In addition to the above description of a money market fund, the ECB has also provided a more detailed set of definitions which is contained in the ‘Section 2: Specifications for the MMFs’ identification criteria’ of Part 1 of Annex I of EU Regulation 1071/2013, below.

Application Requirements

  1. The Central Bank is required to identify all those collective investment undertakings which are domiciled in the State and which are considered money market funds as defined by the ECB.
  2. Guidelines on a common definition of European money market funds were issued on 19 May 2010 by the Committee of European Securities Regulators (CESR) the predecessor of the European Securities and Markets Authority. The population of MMFs for the European System of Central Banks will be aligned with the identification criteria applied for supervisory purposes following the above mentioned CESR guidelines.

    Any new fund that is authorised by the Securities and Markets Supervision Division of the Central Bank must indicate if they are a ‘short-term money market fund’ or a ‘money-market fund’ during the authorisation process and these funds will be considered to be in the reporting population of money market funds for the European Central Bank, and must meet the necessary reporting requirements.

Statistical Reports - Content and Deadlines for Submission

  1. The Central Bank has form which MMFs will be required to use when sending information to the Central Bank. [3]
  2. The reporting form together with notes on compilation of the returns can be found at here.

Processing and Publication of Information

  1. General details, e.g. name, address, etc., of each MMF will be sent to the ECB. This information, together with that for all other MFIs, will be available on the ECB’s website and will also be published on an annual basis. Individual monthly and quarterly data will be aggregated by the Central Bank. The aggregated data for all MFIs will be transmitted to and published by the ECB. A subset of these data will also be published by the Central Bank, however individual institutions data will not be published and confidentiality is respected at all times.

Relevant Regulations

  1. The ECB’s statistical reporting system is based on the following regulations:
    1. Council Regulation [EC] 2533/98 of 23 November 1998 - This Regulation was adopted by the Council of the European Union in late 1998. It provides for the right of the ECB, assisted by the National Central Banks (“NCBs”), to collect statistical information within the limits of the reference reporting population (refer to Article 2.2 of the Regulation).

      It provides the ECB with the power to adopt additional Regulations in order to define and impose specific reporting requirements and with powers to compulsorily collect and verify the relevant information. The Regulation also grants the ECB power to impose sanctions on reporting entities who fail to comply with their reporting obligations.

    2. Council Regulation [EC] 2423/2001 of the European Central Bank of 22 November 2001 (ECB/2001/13) - As required by Council Regulation [EC] 2533/98 (see above), the Governing Council of the ECB adopted Regulation 2423 in November 2001. It sets out who must submit reports (within the broad parameters set out Council Regulation 2533/98) and the nature of the information required
    3. Council Guideline ECB/2007/9 of 1 August 2007 - This Guideline deals with monetary, financial institutions and markets statistics. In Article 10, the Guideline includes provisions regarding the reporting by the national central banks (NCB’s) of statistics on the assets and liabilities of money market funds.
    4. Regulation of the European Central Bank ECB/2001/12 of 25 August 2001 - This regulation sets new identification criteria for MMF’s for ESCB statistical purposes, such that the population of statistical MMF’s is aligned with the identification criteria for supervisory purposes. This change aims to increase market transparency and facilitate management reporting on funds. The regulation sets out criteria to differentiate between “short-term money market funds” and “money market funds”, and applies the concepts of WAM and WAL as applicable to both.
    5. Regulation (EU) No 1071/2013 of the European Central Bank of 24 September 2013 concerning the balance sheet of the monetary financial institutions sector (recast) (ECB/2013/33).
    6. ‘Section 2: Specifications for the MMFs’ identification criteria’ of Part 1 of Annex I of EU Regulation No 1071/2013

    7. the money market instrument shall be considered to be of a high credit quality, if it has been awarded one of the two highest available short-term credit ratings by each recognised credit rating agency that has rated the instrument or, if the instrument is not rated, it is of an equivalent quality as determined by the management company’s internal rating process. Where a recognised credit rating agency divides its highest short-term rating into two categories, these two ratings shall be considered as a single category and therefore the highest rating available;
    8. the money market fund may, as an exception to the requirement in paragraph (a), hold sovereign issuance of at least investment grade quality, whereby ‘sovereign issuance’ means money market instruments issued or guaranteed by a central, regional or local authority or central bank of a Member State, the ECB, the European Union or the European Investment Bank;
    9. when calculating WAL for securities, including structured financial instruments, the maturity calculation is based on the residual maturity until the legal redemption of the instruments. However, when a financial instrument embeds a put option, the exercise date of the put option may be used instead of the legal residual maturity only if the following conditions are fulfilled at all times:
      • the put option may be freely exercised by the management company at its exercise date,
      • the strike price of the put option remains close to the expected value of the instrument at the next exercise date,
      • the investment strategy of the MMF implies that there is a high probability that the option will be exercised at the next exercise date;
    10. when calculating both WAL and WAM, the impact of financial derivative instruments, deposits and efficient portfolio management techniques shall be taken into account;
    11. ‘weighted average maturity’ (WAM) shall mean a measure of the average length of time to maturity of all of the underlying securities in the fund weighted to reflect the relative holdings in each instrument, assuming that the maturity of a floating rate instrument is the time remaining until the next interest rate reset to the money market rate, rather than the time remaining before the principal value of the security must be repaid. In practice, WAM is used to measure the sensitivity of a MMF to changing money market interest rates;
    12. ‘weighted average life’ (WAL) shall mean the weighted average of the remaining maturity of each security held in a fund, meaning the time until the principal is repaid in full, disregarding interest and not discounting. Contrary to the calculation of the WAM, the calculation of the WAL for floating rate securities and structured financial instruments does not permit the use of interest rate reset dates and instead only uses a security’s stated final maturity. WAL is used to measure the credit risk, as the longer the reimbursement of principal is postponed, the higher the credit risk. WAL is also used to limit the liquidity risk;
    13. ‘money market instruments’ means instruments normally traded on the money market which are liquid and have a value which can be accurately determined at any time;
    14. ‘management company’ means a company, the regular business of which is the management of the portfolio of an MMF.

    Issued: 3 July 2013
    Latest revision: 5 October 2015


    [1] The definition is contained in Article 2, of Regulation of the European Central Bank (EU) No 1071/2013 of 24 September 2013 concerning the balance sheet of the monetary financial institutions sector (recast) (ECB/2013/33).
    [2] OJ L 302, 17.11.2009, p.32
    [3] The ECB’s reporting requirements are set out in EU Regulation No 1071/2013.