REGULATION (EU) No 1333/2014 OF THE EUROPEAN CENTRAL BANK
of 26 November 2014
concerning statistics on the money markets
(ECB/2014/48)
Article 1
Definitions
Article 2
Actual reporting population
Article 3
Statistical reporting requirements
Article 4
Timeliness
Article 5
Derogation
Article 6
Mergers, divisions, reorganisations and insolvencies
Article 7
Confidentiality provisions
Article 8
Verification and compulsory collection
Article 9
Simplified amendment procedure
Article 10
First reporting
Article 11
Periodic review clause
Article 12
Transitional provision
Article 13
Final provisions
ANNEX I
Reporting scheme for money market statistics relating to secured transactions
PART 1
TYPE OF INSTRUMENTS
PART 2
TYPE OF DATA
Field |
Description of data |
Alternative reporting option (if any) and other qualifications |
Transaction identifier |
The internal unique transaction identifier used by the reporting agent for each transaction. |
The transaction identifier is unique for any transaction reported on a given reporting date for any money market segment. |
Reporting date |
The date on which the data are submitted to the ECB or the NCB. |
|
Electronic time stamp |
The time at which a transaction is concluded or booked. |
|
Counterparty code |
An identification code used to recognise the counterparty of the reporting agent for the reported transaction. |
Where transactions are conducted via a central clearing counterparty (CCP), the CCP legal entity identifier (LEI) must be provided. Where transactions are undertaken with non-financial corporations, OFIs, insurance corporations, pension funds, general government, and central banks and for any other reported transaction for which the counterparty LEI is not provided, the counterparty class must be provided. |
Counterparty code ID |
An attribute specifying the type of individual counterparty code transmitted. |
To be used in all circumstances. An individual counterparty code will be provided. |
Counterparty location |
International Organisation for Standardisation (ISO) country code of the country in which the counterparty is incorporated. |
Mandatory if the individual counterparty code is not provided. Otherwise optional. |
Transaction nominal amount |
The amount initially borrowed or lent. |
|
Collateral nominal amount |
The nominal amount of the security pledged as collateral. |
Except for tri-party repos and any other transaction in which the security pledged is not identified via a single International Securities Identification Number (ISIN). |
Trade date |
The date on which the parties enter into the financial transaction. |
|
Settlement date |
The purchase date, i.e. the date on which the cash is due to be paid by the lender to the borrower and the security is to be transferred by the borrower to the lender. |
In the case of open basis repurchase transactions, this is the date on which the rollover settles (even if no exchange of cash takes place). |
Maturity date |
The repurchase date, i.e. the date on which the cash is due to be repaid by the borrower to the lender. |
In the case of open basis repurchase transactions, this is the date on which principal and interest owed is to be repaid if the transaction is not rolled over further. |
Transaction sign |
Borrowing of cash in the case of repos or lending of cash in the case of reverse repos. |
|
ISIN of the collateral |
The ISIN assigned to securities issued in financial markets, composed of 12 alphanumeric characters, which uniquely identifies a security (as defined by ISO 6166). |
To be reported except for tri-party repos and all other repos in which the securities pledged are not identified via a single ISIN. |
Collateral type |
To identify the asset class pledged as collateral where no individual ISIN is provided. |
To be provided in all cases where no individual ISIN is provided. |
Special collateral flag |
To identify all repurchase transactions conducted against general collateral and those conducted against special collateral. Optional field to be provided only if it is feasible for the reporting agent. |
Reporting of this field is optional. |
Deal rate |
The interest rate expressed in accordance with the ACT/360 money market convention at which the repo was concluded and at which the cash lent is remunerated. |
|
Collateral haircut |
A risk control measure applied to underlying collateral whereby the value of that underlying collateral is calculated as the market value of the assets reduced by a certain percentage (haircut). For reporting purposes the collateral haircut is calculated as 100 minus the ratio between the cash lent/borrowed and the market value including accrued interest of the collateral pledged. |
Reporting of this field is only required for single collateral transactions. |
Counterparty code of the tri-party agent |
The counterparty code identifier of the tri-party agent. |
To be reported for tri-party repos. |
Tri-party agent code ID |
An attribute specifying the type of individual tri-party agent code transmitted. |
To be used in all circumstances where an individual tri-party agent code will be provided. |
Beneficiary in case of transactions conducted via CCPs |
|
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2. Materiality threshold
3. Exceptions
ANNEX II
Reporting scheme for money market statistics relating to unsecured transactions
PART 1
TYPE OF INSTRUMENTS
Instrument type |
Description |
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Deposits |
Unsecured interest-bearing deposits which are either redeemable at notice or have a maturity of not more than one year and which are either taken (borrowing) or placed by the reporting agent. |
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Certificate of deposit |
A fixed-rate debt instrument issued by an MFI entitling the holder to a specific fixed rate of interest over a defined fixed term of up to one year. |
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Commercial paper |
A debt instrument that is either unsecured or backed by collateral provided by the issuer, which has a maturity of not more than one year and is either interest-bearing or discounted. |
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Floating rate note |
A debt instrument for which the periodic interest payments are calculated on the basis of the value, i.e. through fixing of an underlying reference rate such as Euribor on predefined dates known as fixing dates, and which has a maturity of not more than one year. |
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Puttable instruments |
A debt instrument in which the holder has a put option, i.e. an option to seek early repayment from the issuer, with a first exercise date or notice period of not more than one year from the date of issuance. |
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Callable instruments |
A debt instrument in which the issuer has a call option, i.e. an option to redeem the instrument early, with a final repayment date of not more than one year from the date of issuance. |
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Other short-term debt securities |
Unsubordinated securities other than equity of up to one year maturity issued by reporting agents, which are instruments usually negotiable and traded on secondary markets or which can be offset on the market and which do not grant the holder any ownership rights over the issuing institution. This item includes:
|
PART 2
TYPE OF DATA
Description of data |
Definition |
Alternative reporting option (if any) and additional qualifications |
Transaction identifier |
The internal unique transaction identifier used by the reporting agent for each transaction. |
The transaction identifier is unique for any transaction reported on a given reporting date for any money market segment. |
Reporting date |
The date on which the data are submitted to the ECB or the NCB. |
|
Electronic time stamp |
The time at which a transaction is concluded or booked. |
|
Counterparty code |
An identification code used to recognise the counterparty of the reporting agent for the reported transaction. |
Where transactions are conducted via a central clearing counterparty (CCP), the CCP legal entity identifier (LEI) must be provided. Where transactions are undertaken with non-financial corporations, OFIs, insurance corporations, pension funds, general government, and central banks and for any other reported transaction for which the counterparty LEI is not provided, the counterparty class must be provided. |
Counterparty code ID |
An attribute specifying the type of individual counterparty code transmitted. |
To be used in all circumstances. An individual counterparty code will be provided. |
Counterparty location |
International Organisation for Standardisation (ISO) country code of the country in which the counterparty is incorporated. |
Mandatory if the individual counterparty code is not provided. Otherwise optional. |
Trade date |
The date on which the parties enter into the reported financial transaction. |
|
Settlement date |
The date on which the cash is lent by the lender to the borrower or on which the purchase of a debt instrument settles. |
In the case of call accounts and other unsecured borrowing/lending redeemable at notice, the date on which the deposit is rolled over (i.e. on which it would have been paid back if it had been called/not rolled over). |
Maturity date |
The date on which the cash is due to be repaid by the borrower to the lender or on which a debt instrument matures and is due to be paid back. |
In the case of callable instruments the final maturity date must be provided. In the case of puttable instruments the first date on which the put option can be exercised must be provided. In the case of call accounts and other unsecured borrowing/lending redeemable at notice the first date on which the instrument may be redeemed. |
First call/put date |
The first date on which the call/put option can be exercised. |
To be reported only for callable/puttable instruments with a first call/put option date. |
Call/put notice period |
For callable/puttable instruments, the number of calendar days that the holder of the option has to notify the holder/issuer of the instrument prior to the date on which the option can be exercised. For deposits redeemable at notice, the number of calendar days that the deposit holder has to notify the borrower prior to the date on which the deposit can be redeemed. |
To be reported only for callable/puttable instruments with a notice period and for deposits redeemable with a pre-agreed notice period. |
Call/put |
Flag to identify whether the instrument has a call or put option. |
|
Transaction sign |
The transaction sign allows it to be known whether the cash reported under the transaction nominal amount is borrowed or lent. |
|
Transaction nominal amount |
The cash amount lent or borrowed on deposits. In the case of debt securities, it is the nominal amount of the security issued/purchased. |
|
Transaction price |
The price at which the security is issued, i.e. the ratio in percentage terms between the initial cash proceeds and the nominal amount. |
To be reported as 100 for unsecured deposits. |
Instrument type |
To be used to identify the instrument via which the borrowing/lending takes place e.g. via unsecured deposits, other unsecured short term fixed rate debt instruments, other unsecured short term variable rate debt instruments, asset-backed commercial paper, etc. |
|
Type of rate |
To be used to identify whether the instrument has a fixed or floating rate. |
|
Deal rate |
The interest rate (expressed in accordance with the ACT/360 money market convention) at which the deposit was effected and at which the cash amount lent is remunerated. In the case of debt instruments, this is the effective interest rate (expressed in accordance with the ACT/360 money market convention) at which the instrument was issued/purchased. |
To be reported for fixed rate instruments only. |
Reference rate |
The underlying reference rate on the basis of which the periodic interest payments are calculated. |
To be reported for floating rate instruments only. |
Spread |
The number of basis points added to (if positive) or deducted from (if negative) the underlying reference rate to calculate the actual interest rate applicable for a given period. |
To be reported for floating rate instruments only. |
2. Materiality threshold
3. Exceptions
ANNEX III
Reporting scheme for money market statistics relating to derivatives
PART 1
TYPE OF INSTRUMENTS
PART 2
TYPE OF DATA
Field |
Description of data |
Alternative reporting option (if any) and other qualifications |
Transaction identifier |
The internal unique transaction identifier used by the reporting agent for each transaction. |
The transaction identifier is unique for any transaction reported on a given reporting date for any money market segment. |
Reporting date |
The date on which the data are submitted to the ECB or the NCB. |
|
Electronic time stamp |
The time at which a transaction is concluded or booked. |
|
Counterparty code |
An identification code to be used to recognise the counterparty of the reporting agent for the reported transaction. |
Where transactions are conducted via a central clearing counterparty (CCP), the CCP legal entity identifier (LEI) must be provided. Where transactions are undertaken with non-financial corporations, OFIs, insurance corporations, pension funds, general government, and central banks and for any other reported transaction for which the counterparty LEI is not provided, the counterparty class must be provided. |
Counterparty code ID |
An attribute specifying the type of individual counterparty code transmitted. |
To be used in all circumstances. An individual counterparty code will be provided. |
Counterparty location |
International Organisation for Standardisation (ISO) country code of the country in which the counterparty is incorporated. |
Mandatory if the individual counterparty code is not provided. Otherwise optional. |
Trade date |
The date on which the parties enter into the reported financial transaction. |
|
Spot value date |
The date on which one party sells to the other a specified amount of a specified currency against payment of an agreed amount of a specified different currency based on an agreed foreign exchange rate known as a foreign exchange spot rate. |
|
Maturity date |
The date on which the foreign exchange swap transaction expires and the currency sold on the spot value date is repurchased. |
|
Transaction sign |
To be used to identify whether the euro amount reported under the transactional nominal amount is bought or sold on the spot value date. |
This should refer to euro spot, i.e. whether euro is bought or sold on the spot value date. |
Transaction nominal amount |
The amount of euro bought or sold on the spot value date. |
|
Foreign currency code |
The international three-digit ISO code of the currency bought/sold in exchange for euro. |
|
Foreign exchange spot rate |
The foreign exchange rate between the euro and the foreign currency applicable to the spot leg of the foreign exchange swap transaction. |
|
Foreign exchange forward points |
The difference between the foreign exchange spot rate and the foreign exchange forward rate expressed in basis points quoted in accordance with the prevailing market conventions for the currency pair. |
|
Beneficiary in case of transactions conducted via CCPs |
|
|
Field |
Description of data |
Alternative reporting option (if any) and other qualifications |
Transaction identifier |
The internal unique transaction identifier used by the reporting agent for each transaction. |
The transaction identifier must be unique for any transaction reported on a given reporting date for any money market money market segment. |
Reporting date |
The date on which the data are submitted to the ECB or the NCB. |
|
Electronic time stamp |
The time at which a transaction is concluded or booked. |
Optional. |
Counterparty code |
An identification code used to recognise the counterparty of the reporting agent for the reported transaction. |
Where transactions are conducted via a central clearing counterparty (CCP), the CCP LEI must be provided. Where transactions are undertaken with non-financial corporations, OFIs, insurance corporations, pension funds, general government, and central banks and for any other reported transaction for which the counterparty LEI is not provided, the counterparty class must be provided. |
Counterparty code ID |
An attribute specifying the type of individual counterparty code transmitted. |
To be used in all circumstances. An individual counterparty code will be provided. |
Counterparty location |
ISO country code of the country in which the counterparty is incorporated. |
Mandatory if the individual counterparty code is not provided. Otherwise optional. |
Trade date |
The date on which the parties enter into the financial transaction. |
|
Start date |
The date on which the overnight rate of the periodic floating interest rate is computed. |
|
Maturity date |
The last date of the term over which the compounded overnight rate is calculated. |
|
Fixed interest rate |
The fixed rate used in the calculation of the OIS pay out. |
|
Transaction sign |
A sign to indicate whether the fixed interest rate is paid or received by the reporting agent |
|
Transaction nominal amount |
The nominal amount of the OIS. |
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