Resident Monthly Money Market Funds Reclassification Return (MC1)

Transcription

1 Resident Monthly Money Market Funds Reclassification Return (MC1) Notes on Compilation Version 2 Feb statsmmfinst@centralbank.ie Website: Page 1

2 Introduction These guidance notes set out the statistical reporting requirements for money market funds resident in Ireland in relation to the reclassification form called the MC1. In the case of corrections of reporting errors, reclassifications may be reported in place of revisions. Such a reclassification should only occur following the prior agreement of the Bank. The reporting deadline for the MC1 is the same as for the MMM return, which is T+8 working days. Working days exclude weekends and Irish public holidays. A schedule of reporting deadlines for returns is available on the website of the Central Bank of Ireland. Please read these notes before completing the form. All figures on the MC1 return must be reported in Euro Thousands. Reporters are required to provide notification on submission of MC1 with rational for the MC1 so as this can be crossed checked. Money market funds (MMFs) will need to submit the MC1 reclassification form for any reclassifications that occurred during the reporting reference period. Reclassifications and other adjustments: These shall comprise all changes in the balance sheet stocks that arise due to: an alteration in statistical coverage of the MMF population; the reclassification of assets or liabilities; or reporting errors that have been corrected in the stocks only, over a limited time range, and effects of changes in structure. Blank returns are not required to be submitted. Changes in the composition of the MMF reporting sector: This may give rise to the transfer of business across economic sector boundaries. Such transfers do not represent transactions and are therefore treated as an adjustment in reclassifications and other adjustments. For example: A MMF joining the reporting sector may transfer assets and liabilities into the sector (e.g. a redomiciled fund). A MMF leaving the reporting population may transfer business out of the sector. However, to the extent that the joining MMF starts its business after having joined the reporting sector, this represents a transaction flow that is not included in the reclassifications. Changes in classification of assets and liabilities: These occur for a number of reasons. A change in the sectoral classification of counterparties may occur because a public sector body is transferred to the private sector or because mergers/demergers alter the principal activity of corporations. Reporting errors The following example of reporting errors may be useful in understanding the MC1. Example: On examination of its loan book, a MMF identifies a loan for 20,000,000 that was incorrectly recorded in Loans to an Irish resident Financial Vehicle Corporation (FVC) when it should have been recorded in Loans to Irish Resident Insurance Corporation (IC). This has an effect on the MMM Return, as the stock of loans to Irish resident FVC and ICs are affected. Page 2

3 The flow of loans during the month may be misleading to policy makers. To correct for such a transaction, the reporting institution must report this reclassification of the loan on the MC1 Reclassification Return by recording a negative number in the cells where the loan was removed, in this case Loans to Irish Resident OFIs, and a positive number in the cells where the loan was added i.e., Loans to Irish Resident ICs. Page 3

4 These notes are broken down into three sections: Part 1 covers country and sector codes and how they should be treated when filling out the MC1; Part 2 details how to fill out each entry in the FBC worksheet (i.e. the MMF s balance sheet) of the MC1; and Part 3 explains how each entry is made in the FSC worksheet (i.e. the sector analysis) of the MC1. Please note that the figures on the FSC worksheet should match what has been entered on the FBC worksheet. A copy of the MC1 return is available here: Page 4

5 Part 1 MMM Return to MC1 Return Conversion This part of the guidance notes explains the breakdown of the MC1 return. The details in columns A to B are a breakdown of what may be needed for reclassifications e.g., Debt Securities held, in Euro, up to 1 year. Greyed in areas do not need to be filled in. The return is also divided into row and column data. MC1 row data i.e., 30, 40, 50 etc., are highlighted in yellow for demonstrative purposes (rows 10, 11 and 12). MC1 column data are the numbers entered on columns C to AM, highlighted in these guidance notes in green. To enter in the data on the MC1 you will use the row/column co-ordinates : The main sections are broken down into: A. Domestic data (assets and liabilities) (Excel columns C to R); B. Other Area Other Than Domestic (OMUM) i.e., the Euro area excluding Ireland (Excel columns S to AH); C. Rest of the World (ROW) (Excel columns AI to AL); and D. Total i.e., unallocated items (Excel column AM). Page 5

6 Certain conditions apply to a number of columns in the MC1 when entering figures from the MMM return: Country Codes Most tables in the MMM return will be populated with country codes. When compiling figures for the MC1 returns, only rows with the same country code in the MMM return should be used. Domestic Data MC1 columns Only rows with the country code IE in the MMM return should be used to fill in the cells in these columns. OMUM Data MC1 columns Only rows with the country codes AT, BE, CY, DE, EE, ES, FI, FR, GR, IT, LT, LU, LV, MT, NL, PT, SI, SK and 4S in the MMM return should be used to fill in the cells in these columns. ROW Data MC1 columns Only rows with country codes other than IE, AT, BE, CY, DE, EE, ES, FI, FR, GR, IT, LT, LU, LV, MT, NL, PT, SI, SK and 4S in the MMM return should be used to fill in the cells in these columns. Total Data MC1 column 370 This is the total column. Country codes in the MMM return are not required here. Sector Codes Most tables in the MMM return will be populated with sector codes. When compiling figures for the MC1 return, only the rows with the correct sector code should be used, as set out below. MC1 Column Code Sector Codes Used 10 This is a total column, therefore sector codes are not required 20 DTC, MMF, CB 30 CB 40 DTC 50 CGV, LGV, SGV, SSF 60 CGV 70 LGV, SGV, SSF 80 IF, OFI, FAU, FVC, CCP, IC, PF, NFC, HHS 90 IF 100 OFI, FAU, FVC, CCP 110 FVC 120 CCP 130 IC 140 PF 150 NFC 160 HHS 170 This is a total column, therefore sector codes are not required 180 DTC, MMF, CB Page 6

7 190 CB 200 DTC 210 CGV, LGV, SGV, SSF 220 CGV 230 LGV, SGV, SSF 240 IF, OFI, FAU, FVC, CCP, IC, PF, NFC, HHS 250 IF 260 OFI, FAU, FVC, CCP 270 FVC 280 CCP 290 IC 300 PF 310 NFC 320 HHS 330 This is a total column, therefore sector codes are not required 340 DTC, CB 350 CGV, LGV, SGV, SSF 360 IF, OFI, FAU, FVC, CCP, IC, PF, NFC, HHS, MMF 370 This is a total column, therefore sector codes are not required Please ensure when transferring figures from the MMM return to the MC1 return that only rows with the correct country and sector codes are included. Page 7

8 Part 2 FBC WORKSHEET ASSETS 1 Cash (Row 10, Column 370) This cell equates to the closing position of all rows which have an instrument type 1 i.e., Cash in column on the worksheet 3.5 A-Cash, Deposits and Loans on the MMM return. Cash of which: Euro notes and coins (Row 20, Column 370) This cell is compiled using the combined closing positions of all rows which have the instrument type 1 and the currency type EUR on the MMM return worksheet 3.5 A-Cash, Deposits and Loans. 2 Loans (Row 30, Columns 10, 20, 30, 40, 50, 60, 80, 170, 180, 190, 200, 210, 220, 240, 330, 340, 350 and 360) These cells are compiled from the following worksheets in the MMM return: 3.4 A-Securities Borrowing: the combined closing positions of all rows; 3.5 A-Cash, Deposits and Loans: the combined closing positions of all rows with the instrument type 2, 3, 4 and 5 in 3.5.1; 3.7 A-Other Assets: the combined closing positions of all rows with the instrument type 2 in 3.7.1; and 4.1 A&L Overdraft Accounts: the combined positive closing positions of all rows. 2.1 Up to 1 year (Row 40, Columns 50, 90, 100, 110, 130, 140, 150, 160, 210, 250, 260, 270, 290, 300, 310, 320 and 330) These cells are compiled from the following worksheets in the MMM return: 3.4 A-Securities Borrowing: the combined closing positions of all rows where the original maturity ( ) is 1; 3.5 A-Cash, Deposits and Loans: the combined closing positions of all rows with the instrument type is 2, 3, 4 and 5 in and where the original maturity ( ) is 1; 3.7 A-Other Assets: the combined closing positions of all rows with the instrument type 2 in 3.7.1; and 4.1 A&L Overdraft Accounts: the combined positive closing positions of all rows. 2.2 Over 1 year (Row 50, Columns 50, 90, 100, 110, 130, 140, 150, 160, 210, 250, 260, 270, 290, 300, 310, 320 and 330) These cells are compiled from the following worksheets in the MMM return: Page 8

9 3.4 A-Securities Borrowing: the combined closing positions of all rows where the original maturity ( ) is 2; and 3.5 A-Cash, Deposits and Loans: the combined closing positions of all rows where the original maturity ( ) is 2. Loans of which: Reverse Repos (Row 60, Columns 120 and 280) To calculate this figure you take the following from the MMM return: 3.4 A-Securities Borrowing: the combined closing positions of all rows with the instrument type (3.4.1) 1. Loans of which: Euro (Row 70, columns 50, 80, 90, 100, 130, 140, 150, 160, 210, 240, 250, 260, 290, 300, 310 and 320) These cells are compiled from the following worksheets in the MMM return: 3.4 A-Securities Borrowing: the combined closing positions of all rows; 3.5 A-Cash, Deposits and Loans: the combined closing positions of all rows with the instrument type 2, 3, 4 and 5 in 3.5.1; 3.7 A-Other Assets: the combined closing positions of all rows with the instrument type 2 in 3.7.1; and 4.1 A&L Overdraft Accounts: the combined positive closing positions of all rows. Please note that the only rows with the currency EUR should be included in this calculation. 3 Debt Securities held (Row 80, Columns 10, 60, 110, 170, 220, 270, 330, 340, 350 and 360) These cells are calculated from the following worksheet on the MMM return: 3.2 A- Debt Securities: the combined closing positions of all rows. 3.1 Euro (Row 90, Columns 10, 20, 50, 80, 170, 180, 210, 240 and 330) These cells are calculated from the following worksheet on the MMM return: 3.2 A-Debt Securities: the combined closing positions of all rows where the currency ( ) is EUR. Page 9

10 3.1.1 up to 1 year (Row 100, Columns 10, 20, 50, 80, 90, 100, 130, 140, 150, 160, 170, 180, 210, 240, 250, 260, 290, 300, 310, 320 and 330) These cells are compiled from the following worksheet on the MMM Return: 3.2 A-Debt Securities: the combined closing positions of rows only where the currency ( ) is EUR and where the original maturity ( ) is over 1 and up to 2 years (Row 110, Columns 10, 20, 50, 80, 90, 100, 130, 140, 150, 160, 170, 180, 210, 240, 250, 260, 290, 300, 310, 320 and 330) These cells are calculated from the following worksheet on the MMM Return: 3.2 A-Debt Securities: the combined closing positions of rows only where the currency ( ) is EUR and where the original maturity ( ) is over 2 years (Row 120, Columns 10, 20, 50, 80, 90, 100, 130, 140, 150, 160, 170, 180, 210, 240, 250, 260, 290, 300, 310, 320 and 330) These cells are calculated from the following worksheet on the MMM Return: 3.2 A-Debt Securities: the combined closing positions of rows only where the currency ( ) is EUR and where the original maturity ( ) is 3 or Foreign Currencies (Row 130, Columns 10, 20, 50, 80, 170, 180, 210, 240 and 330) These cells are compiled from the following worksheet on the MMM Return: 3.2 A-Debt Securities: the combined closing positions of rows where the reported currency ( ) is not EUR up to 1 year (Row 140, Columns 10, 20, 50, 80, 90, 100, 130, 140, 150, 160, 170, 180, 210, 240, 250, 260, 290, 300, 310, 320 and 330) These cells are compiled from the following worksheet on the MMM Return: 3.2 A-Debt Securities: the combined closing positions of rows where the reported currency ( ) is not EUR and where the original maturity ( ) is over 1 year and up to 2 years (Row 150, Columns 10, 20, 50, 80, 90, 100, 130, 140, 150, 160, 170, 180, 210, 240, 250, 260, 290, 300, 310, 320 and 330) To calculate the value here, the following worksheet on the MMM Return is used: 3.2 A-Debt Securities: the combined closing positions of rows where the reported currency ( ) is not EUR, and where the original maturity ( ) is over 2 years (Row 160, Columns 10, 20, 50, 80, 90, 100, 130, 140, 150, 160, 170, 180, 210, 240, 250, 260, 290, 300, 310, 320 and 330) Page 10

11 To calculate the value here, the following worksheet on the MMM Return is used: 3.2 A-Debt Securities: the combined closing positions of rows with a currency ( ) other than EUR are reported, and where the original maturity ( ) is 3 or 4. 4 Investment fund shares/units (Row 170, Columns 10, 170 and 330) These cells are compiled using the following worksheet on the MMM Return: 3.1 A-Equities: the combined closing positions of all rows where the instrument type ( ) is either 2 or MMFs shares/units (Row 180, Columns 10, 70 and 330) These cells are compiled using the following worksheet on the MMM Return: 3.1 A-Equities: the combined closing positions of all rows where the instrument type ( ) is Non-MMF investment fund shares/units (Row 190, Columns 10, 170 and 330) These cells are calculated using the following worksheet on the MMM Return: 3.1 A-Equities: the combined closing positions of all rows where the instrument type ( ) is 2. 5 Equity (Row 200, Columns 10, 20, 80, 90, 100, 130, 140, 150, 170, 180, 240, 250, 260, 290, 300, 310 and 330) To calculate the value here, the following worksheet on the MMM return is used: 3.1 A-Equities: the combined closing positions of all rows where the instrument type ( ) is quoted shares (Row 210, Columns 20, 100, 130, 140, 150, 180, 260, 290, 300, 310 and 330) These cells are compiled from the following table in the MMM return: Page 11

12 3.1 A-Equities: the combined closing positions of all rows where the instrument type ( ) is 1 and the quoted/unquoted ( ) type is unquoted shares (Row 220, Columns 20, 100, 130, 140, 150, 180, 260, 290, 300, 310 and 330) These cells are calculated from the following table in the MMM return: 3.1 A-Equities: the combined closing positions of all rows where the instrument type ( ) is 1, and the quoted/unquoted type ( ) is other equity There is no breakdown for this. 6 Non-Financial assets (including fixed assets) (Row 240, Column 370) These cells are compiled using the following table in the MMM return: 3.3 A-Property and Land: the combined closing positions of all rows on this sheet. 7 Remaining assets (Row 250, Column 370) To calculate this cell, the following worksheets in the MMM return are used here: 3.7 A-Other Assets: the combined closing positions of all rows where the instrument type (3.7.1) is 1 or 3; and 4.2 A&L-Derivatives: the combined positive closing positions of all rows. Of which: Financial Derivatives (Row 260, Columns 10, 20, 50, 80, 170, 180, 210, 240 and 330) These cells are compiled using the following worksheet in the MMM return: 4.2 A&L-Derivatives: the combined positive closing positions of all rows. Page 12

13 LIABILITIES 8 Deposits (Row 270, Columns 10, 20, 30, 40, 60, 70, 80, 110, 170, 180, 190, 200, 220, 230, 240, 270, 330, 340, 350 and 360) These cells are calculated from the following worksheets in the MMM return: 4.1 A&L-Overdraft Accounts: the combined negative closing positions of all rows; 5.2 L-Securities Lending: the combined closing positions of all rows; 5.3 L-Loans: the combined closing positions of all rows; 5.5 L-Other Liabilities: the combined closing positions of all rows where the instrument type (5.5.1) is Euro (Row 280, Columns 20 and 180) To calculate these figures, the following worksheets in the MMM return are used: 4.1 A&L-Overdraft Accounts: the combined negative closing positions of all rows where the currency ( ) is EUR; 5.2 L-Securities Lending: the combined closing positions of all rows where the currency (5.2.3) is EUR; 5.3 L-Loans: the combined closing positions of all rows where the currency (5.3.3) is EUR; and 5.5 L-Other Liabilities: the combined closing positions of all rows where the instrument type (5.5.1) is 2 and the currency (5.5.3) is EUR Up to 1 year (Row 290, Columns 70, 80, 90, 100, 110, 130, 140, 150, 160, 230, 240, 250, 260, 270, 290, 300, 310, 320 and 330) These cells are compiled using the following worksheets in the MMM return: 4.1 A&L-Overdraft Accounts: the combined negative closing positions of all rows where the currency ( ) is EUR. 5.2 L-Securities Lending: the combined closing positions of all rows where the currency (5.2.3) is EUR and the original maturity ( ) is L-Loans: the combined closing positions of all rows where the currency (5.3.3) is EUR and the original maturity ( ) is L-Other Liabilities: the combined closing positions of all rows where the instrument type (5.5.1) is 2 and the currency (5.5.3) is EUR. Page 13

14 8.1.2 Over 1 year (Row 300, Columns 70, 80, 90, 100, 110, 130, 140, 150, 160, 230, 240, 250, 260, 270, 290, 300, 310, 320 and 330) To calculate these figures, the following worksheets in the MMM return are used: 5.2 L-Securities Lending: the combined closing positions of all rows where the currency (5.2.3) is EUR and the original maturity ( ) is L-Loans: the combined closing positions of all rows where the currency (5.3.3) is EUR and the original maturity ( ) is 2. Please note that the currency for Column 330 will not be EUR Repos (Row 310, Columns 70, 80, 90, 100, 120, 130, 140, 150, 160, 230, 240, 250, 260, 280, 290, 300, 310, 320 and 330) These cells are compiled from the following worksheet in the MMM return: 5.2 L-Securities Lending: the combined closing positions for all rows where the instrument type (5.2.1) is 1 and the currency is EUR. 8.2 Foreign Currencies (Row 320, Columns 20 and 180) These cells are calculated using the following worksheets on the MMM return: 4.1 A&L-Overdraft Accounts: the combined negative closing positions of all rows where the currency ( ) is not EUR; 5.2 L-Securities Lending: the combined closing positions of all rows with a currency type (5.2.3) other than EUR; 5.3 L-Loans: the combined closing positions of all rows with a currency type (5.3.3) other than EUR; and 5.5 L-Other Liabilities: the combined closing positions of all rows where the instrument type (5.5.1) is 2 and the currency is not EUR Up to 1 year (Row 330, Columns 70, 80, 90, 100, 110, 130, 140, 150, 160, 230, 240, 250, 260, 270, 290, 300, 310, 320 and 330) These cells are compiled using the following worksheets in the MMM return: 4.1 A&L-Overdraft Accounts: the combined negative closing positions of all rows where the currency ( ) is not EUR; 5.2 L-Securities Lending: the combined closing positions of all rows where the original maturity ( ) is 1 and the currency is not EUR; 5.3 L-Loans: the combined closing positions of all rows with an original maturity ( ) is 1 and currency other than EUR; and 5.5 L-Other Liabilities: the combined closing positions of all rows with an instrument type (5.5.1) of 2 and a currency other than EUR. Page 14

15 8.2.2 Over 1 year (Row 340, Columns 70, 80, 90, 100, 110, 130, 140, 150, 160, 230, 240, 250, 260, 270, 290, 300, 310, 320 and 330) To calculate these figures the following worksheets on the MMM return are used: 5.2 L-Securities Lending: the combined closing positions of all rows with an original maturity ( ) is 2 and a currency other than EUR; and 5.3 L-Loans: the combined closing positions of all rows with an original maturity ( ) of 2 and a currency other than EUR Repos (Row 350, Columns 70, 80, 90, 100, 120, 130, 140, 150, 160, 230, 240, 250, 260, 280, 290, 300, 310, 320 and 330) The cells are compiled from the following worksheet in the MMM return: 5.2 L-Securities Lending: the combined closing positions of all rows with an instrument type (5.2.1) of 1 and a currency (5.2.3) other than EUR. 9. MMFs shares/units (Row 360, Columns 10, 20, 50, 80, 90, 100, 120, 130, 140, 150, 160, 170, 180, 210, 240, 250, 260, 280, 290, 300, 310, 320 and 330) The cells are compiled from the following worksheet in the MMM return: 5.1 L-Equity: the combined closing positions of all rows. 10. Remaining liabilities (Row 370, Column 370) The cells are calculated using the following worksheet in the MMM return: 4.2 A&L-Derivatives: the combined negative closing positions of all rows; and 5.5 L-Other Liabilities: the combined closing positions of all rows with an instrument type (5.5.1) of 1 and 3. Of which: Derivative contracts (Row 380, Columns 10, 20, 50, 80, 170, 180, 210, 240 and 330) These cells are calculated using the following worksheet in the MMM return: 4.2 A&L-Derivatives: the combined negative closing positions of all rows. Please see Part 1 regarding country and sector restrictions, to ensure that only the correct columns from the MMM return are used when populating the MC1 return. Page 15

16 Part 3 FSC WORKSHEET LIABILITIES Deposits With agreed maturity (Row 10, Columns 20, 40, 50, 60 and 70) These cells are calculated from the following worksheets in the MMM return: 4.1 A&L-Overdraft Accounts: the combined negative closing positions of all rows: 5.2 L-Securities Lending: the combined closing positions of all rows; 5.3 L-Loans: the combined closing positions of all rows; and 5.5 L-Other Liabilities: the combined closing positions of all rows, where the instrument type (5.5.1) is 2. Repos (Row 20, Columns 20, 40, 50, 60 and 70) These cells are compiled from the following worksheet on the MMM return: 5.2 L-Securities Lending: the combined closing positions of all rows with an instrument type (5.2.1) of 1. ASSETS Loans Up to 1 year (Row 30, Columns 20, 40, 50, 60 and 70) To calculate these cells, the following worksheets in the MMM return are used: 3.4 A-Securities Borrowing: the combined closing positions of all rows with an original maturity ( ) of 1; 3.5 A-Cash, Deposits and Loans: the combined closing positions of all rows with an instrument type (3.5.1) of 2, 3, 4 and 5 and an original maturity ( ) of 1; 3.7 A-Other Assets: the combined closing positions of all rows with an instrument type (3.7.1) of 2; and 4.1 A&L-Overdraft Accounts: the combined positive closing positions of all rows. Over 1 year (Row 40, Columns 20, 40, 50, 60 and 70) These cells are compiled from the following worksheets in the MMM return: 3.4 A-Securities Borrowing: the combined closing positions of all rows with an original maturity ( ) of 2; and 3.5 A-Cash, Deposits and Loans: the combined closing positions of all rows with the instrument type 2, 3, 4 and 5 with an original maturity of 2. Page 16

17 Debt Securities Held Up to 1 year (Row 50, Columns 10, 20, 30, 40, 50, 60, 70, 80) These cells are calculated from the following worksheets in the MMM return: 3.2 A-Debt Securities: the combined closing positions of all rows with an original maturity ( ) of 1. Of which euro (Row 60, Columns 10, 30, 80) To calculate these cells, the following worksheets in the MMM return are used: 3.2 A-Debt Securities: the combined closing positions of all rows with an original maturity ( ) of 1, and the currency ( ) is EUR. Over 1 year (Row 70, Columns 10, 20, 30, 40, 50, 60, 70 and 80) These cells are compiled from the following worksheet in the MMM return: 3.2 A-Debt Securities: the combined closing positions of all rows with an original maturity ( ) of 2, 3 and 4. Of which euro (Row 80, Columns 10, 30 and 80) These cells are calculated from the following worksheet in the MMM return: 3.2 A-Debt Securities: the combined closing positions of all rows with an original maturity ( ) of 2, 3 and 4, and currency of EUR. Page 17