UKIP's Nathan Gill says allegations against him 'bogus'
UKIP MEP Nathan Gill said allegations he misused European parliamentary funds are "entirely bogus".
OLAF, the European anti-fraud body, is looking into the claims, although North Wales Police has said it is no longer investigating the matter.
It relates to alleged use of European parliamentary funds for party political purposes, such as election campaigning.
Mr Gill said he was "well aware of who are behind this latest poisonous and deeply malicious attack".
In a statement on Friday, he said: "Having spoken to the police, I am in no doubt whatsoever that these claims - which are entirely bogus - have been made against me as part of an ongoing strategy to harry me out of position and to damage my reputation."
Mr Gill announced on Wednesday he would sit as an independent member of the Welsh Assembly, following an acrimonious row with other UKIP members over whether he should he remain both an MEP and AM.
He said OLAF was obliged to investigate any allegations made to it.
"Such cases are commonplace but sadly can drag on for a long time," Mr Gill said.
"I will co-operate fully with that investigation to ensure it is brought to a close as soon as possible."
An OLAF spokeswoman said: "OLAF can confirm that it is looking into allegations it has received in relation to Member of the European Parliament Nathan Gill.
"Please note that the fact that OLAF assesses the information received does not mean that any individual in question is guilty of wrongdoing.
"OLAF fully respects the presumption of innocence."
North Wales Police said on Friday that "correspondence from [UK national fraud reporting centre] Action Fraud received on 11th August concerning allegations of fraud against an Anglesey man are being reviewed by OLAF, the European Antifraud Office of the European Union".
"As such North Wales Police will not be investigating the matter further," the force added.
Neil Hamilton, the leader of the UKIP group in the assembly, has called on Mr Gill to publish his expenses and expenditure as an MEP since being elected in 2014.