02014R1333 — EN — 15.03.2019 — 002.001

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►B REGULATION (EU) No 1333/2014 OF THE EUROPEAN CENTRAL BANK of 26 November 2014 concerning statistics on the money markets (ECB/2014/48) (OJ L 359 16.12.2014, p. 97)

Amended by:









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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

For the purpose of this Regulation:

(1) ‘reporting agents’, ‘resident’ and ‘residing’ have the same meaning as defined in Article 1 of Regulation (EC) No 2533/98;

(2) ‘monetary financial institution’ (MFI) has the same meaning as defined in Article 1 of Regulation (EU) No 1071/2013 of the European Central Bank (ECB/2013/33) ( 1 ) and shall be read to include all of the MFI's Union and EFTA-located branches, unless explicitly provided otherwise in any provision of this Regulation;

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(5a) ‘financial corporations’ means institutional units which are independent legal entities and market producers, and whose principal activity is the production of financial services as set out in the revised European System of Accounts (ESA 2010) laid down by Regulation (EU) No 549/2013 of the European Parliament and of the Council ( 2 );

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(6) ‘non-financial corporations’ means the sector of non-financial corporations as set out in the ESA 2010;

(7) ‘general government’ means the institutional units which are non-market producers whose output is intended for individual and collective consumption and are financed by compulsory payments made by units belonging to other sectors, and institutional units principally engaged in the redistribution of national income and wealth as set out in the ESA 2010;

(8) ‘total main balance sheet assets’ means total assets minus remaining assets as these terms are defined in Regulation (EU) No 1071/2013 (ECB/2013/33);

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(9) ‘money market statistics’ means statistics relating to secured, unsecured and derivatives transactions in money market instruments concluded in the relevant reporting period between reporting agents and financial corporations (except central banks where the transaction is not for investment purposes), general government, or non-financial corporations classified as ‘wholesale’ according to the Basel III LCR Framework, but excluding intra-group transactions;

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(10) ‘money market instrument’ means any of the instruments listed in Annexes I, II and III;

(11) ‘money market fund’ means a collective investment undertaking that requires authorisation as an undertaking for collective investment in transferable securities under Directive 2009/65/EC of the European Parliament and of the Council ( 3 ) or is an alternative investment fund under Directive 2011/61/EU of the European Parliament and of the Council ( 4 ), invests in short term assets and has as distinct or cumulative objectives offering returns in line with money market rates or preserving the value of an investment;

(12) ‘central bank’ means any central bank regardless of its location;

(13) ‘national central bank(s)’ or ‘NCB(s)’ means the national central banks of Union Member States;

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(14) ‘reference reporting population’ means euro area resident MFIs, except central banks and MMFs, which take euro-denominated deposits and/or issue any other debt instrument and/or grant euro-denominated loans as listed in Annexes I, II or III from/to other financial corporations, general government or non-financial corporations;

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(15) ‘group’ means a group of undertakings, including but not limited to a banking group, consisting of a parent undertaking and its subsidiaries whose financial statements are consolidated for purposes of Directive 2013/34/EU of the European Parliament and of the Council ( 5 );

(16) ‘branch’ means a place of business which forms a legally dependent part of an institution and which directly carries out all or some of the transactions inherent in the business of the institution;

(17) ‘Union and EFTA branch’ means a branch located and registered in a Union Member State or in an EFTA country;

(18) ‘European Free Trade Association’ means the intergovernmental organisation set up for the promotion of free trade and economic integration to the benefit of its Member States;

(19) ‘intra-group transaction’ means a transaction in money market instruments concluded by a reporting agent with another undertaking which is included in the same consolidated financial statement on a full basis. The undertakings that are parties to the transaction are considered to be included in the ‘same consolidation’ on a full basis when they are both either:

(a) included in a consolidation in accordance with Directive 2013/34/EU or international financial reporting standards (IFRS) adopted pursuant to Regulation (EC) No 1606/2002 of the European Parliament of the Council ( 6 ) or, in relation to a group whose parent undertaking has its head office in a third country, in accordance with generally accepted accounting principles of that third country determined to be equivalent to IFRS in accordance with Commission Regulation (EC) No 1569/2007 ( 7 ) (or accounting standards of a third country the use of which is permitted in accordance with Article 4 of that Regulation); or

(b) covered by the same consolidated supervision in accordance with Directive 2013/36/EU of the European Parliament and of the Council ( 8 ) or, in relation to a group the parent undertaking of which has its head office in a third country, the same consolidated supervision by a third-country competent authority verified as equivalent to that governed by the principles laid down in Article 127 of Directive 2013/36/EU;

(20) ‘business day’ means in respect of any date which is specified in an agreement or in a confirmation for a transaction in a money market instrument, the day on which commercial banks and foreign exchange markets are open for general business (including dealings in the relevant money market instrument) and settle payments in the same currency as the payment obligation which is payable on or calculated by reference to that date. In the case of a transaction in a money market instrument governed by a standard master agreement issued by the European Banking Federation (EBF), the Loan Market Association (LMA), the International Swaps and Derivatives Association, Inc. (ISDA) or other leading European or international market associations, the definition provided or incorporated therein by reference shall be used. In relation to the settlement of any transaction in a money market instrument which is to be settled through a designated settlement system, it shall mean a day on which that settlement system is open to settle such a transaction;

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(20a) ‘credit institution’ has the same meaning as defined in point (1) of Article 4(1) of Regulation (EU) No 575/2013 of the European Parliament and of the Council ( 9 );

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(21) ‘TARGET2 settlement day’ means any day on which TARGET2 (the Trans-European Automated Real-time Gross settlement Express Transfer system) is open;

(22) ‘repurchase agreement’ means an agreement under which the parties thereto may enter into transactions in which one party (‘seller’) agrees to sell to the other (‘buyer’) specified ‘assets’ (‘securities’, ‘commodities’ or ‘other financial assets’) on a near date against the payment of the purchase price by the buyer to the seller, with a simultaneous agreement by the buyer to re-sell to the seller the assets on a fixed future date or on demand against the payment of the repurchase price by the seller to the buyer. Each such transaction may be a repurchase transaction or a buy and sell back transaction. ‘Repurchase agreement’ can also mean an agreement to pledge assets and give a general right of reuse in exchange for the loan of cash on a near date and repayment of the loan and interest on a far date in exchange for the return of the assets. Repurchase transactions may be undertaken with a predefined maturity date (‘fixed-term repurchase transactions’) or without a predefined maturity date leaving both parties the option to agree to roll over or terminate the agreement each day (‘open basis repurchase transactions’);

(23) ‘tri-party repo’ means a repurchase transaction in which a third party is responsible for the selection and management of the collateral during the life of the transaction;

(24) ‘foreign exchange swap’ means a swap transaction in 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 the spot foreign exchange rate) with an agreement to repurchase the currency sold at a future date (known as the maturity date) against the sale of the currency initially bought at a different foreign exchange rate (known as the forward foreign exchange rate);

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(25) ‘overnight index swap’ or ‘OIS’ means an interest rate swap where the periodic floating interest rate is equal to the geometric average of an overnight rate (or overnight index rate) over a specified term. The final payment will be calculated as the difference between the fixed interest rate and the compounded overnight rate recorded over the life of the OIS applied to the transaction nominal amount;

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(26) ‘Basel III LCR Framework’ means the Liquidity Coverage Ratio (LCR) proposed by the Basel Committee and endorsed on 7 January 2013 by the Group of Governors and Heads of Supervision, the oversight body of the Basel Committee on Banking Supervision, as a minimum global regulatory standard for short term liquidity measures in the banking sector.

Article 2

Actual reporting population

1. The actual reporting population shall consist of the euro area resident MFIs from the reference reporting population that are identified by the Governing Council as reporting agents pursuant to paragraph 2 or 3, as applicable, or MFIs identified as reporting agents pursuant to paragraph 4 on the basis of the criteria stated therein, and that are notified of their reporting obligations pursuant to paragraph 5 (hereinafter ‘reporting agents’).

2. Upon the date of entry into force of this Regulation, the Governing Council may decide that an MFI is a reporting agent if the MFI has total main balance sheet assets larger than 0,35 % of the total main balance sheet assets of all the euro area MFIs on the basis of the most recent data available to the ECB, i.e.:

(a) data with reference to the end of December of the calendar year preceding notification pursuant to paragraph 5; or

(b) if the data under (a) are not available, data with reference to the end of December of the previous year.

For the purpose of this decision the calculation of the total main balance sheet assets of the respective MFI shall exclude branches outside the host country of the respective MFI.

3. From 1 January 2017 the Governing Council may decide to classify any other MFI as a reporting agent on the basis of the size of its total main balance sheet assets in comparison to the total main balance sheet assets of all euro area MFIs, the significance of the MFI's activities in the trading of money market instruments and its relevance to the stability and functioning of the financial system in the euro area and/or individual Member States.

4. From 1 January 2017 the Governing Council may also decide that, for each euro area Member State, at least three MFIs shall be identified as reporting agents. Accordingly, if on the basis of Governing Council decisions taken pursuant to paragraph 2 or paragraph 3, fewer than three MFIs are selected in a particular euro area Member State, the actual reporting population will also comprise other MFIs from that euro area Member State which are deemed representative by the relevant NCB (hereinafter ‘representative reporting agents’), so that at minimum three reporting agents are identified as reporting agents for that euro area Member State.

The representative reporting agents shall be selected from the largest credit institutions resident in the euro area Member State concerned, based on the total main balance sheet assets of the institutions, unless alternative criteria are suggested by the NCBs and agreed in writing by the ECB.

5. The ECB or the relevant NCB shall notify the MFIs concerned of any Governing Council decision taken pursuant to paragraphs 2, 3 or 4 and of their obligations under this Regulation. The notification shall be sent in writing at least four months before the start of first reporting.

6. Notwithstanding any Governing Council decisions taken pursuant to paragraphs 2, 3 or 4, NCBs may also collect money market statistics from MFIs resident in their Member State which are not reporting agents pursuant to paragraph 2, 3 or 4, based on their national statistical reporting requirements (hereinafter ‘additional reporting agents’). If an NCB identifies additional reporting agents in this manner it shall promptly notify them.

Article 3

Statistical reporting requirements

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1. For the purposes of the regular production of money market statistics, the reporting agents shall report to the NCB of the Member State where they are resident on a consolidated basis, including for all their Union and EFTA branches, daily statistical information relating to money market instruments. The required statistical information is specified in Annexes I, II and III. The reporting agents shall report the required statistical information in accordance with the minimum standards for transmission, accuracy, compliance with concepts, revisions and data integrity set out in Annex IV. The NCB shall transmit the statistical information it receives from the reporting agents to the ECB in accordance with Article 4(2) of this Regulation.

2. The NCBs shall define and implement the reporting arrangements to be followed by the reporting agents relating to money market instruments. These reporting arrangements shall ensure the provision of the statistical information required and allow accurate checking of the fulfilment of the minimum standards set out in Annex IV.

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3. Notwithstanding the reporting requirement specified in paragraph 1, an NCB may decide that reporting agents selected pursuant to Article 2(2), (3) and (4) resident in the Member State of the NCB shall report the statistical information specified in Annexes I, II, III to the ECB. The NCB shall inform the ECB and the reporting agents accordingly, whereupon the ECB shall define and implement the reporting arrangements to be followed by the reporting agents and take over the task of collecting the required data directly from the reporting agents.

4. If an NCB has selected additional reporting agents and notified them as referred to in Article 2(6) they shall report daily statistical information relating to money market instruments to the NCB. The NCB shall transmit the statistical information they receive from the additional reporting agents to the ECB upon the ECB's request in accordance with Article 4(2) of this Regulation.

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5. The NCBs shall define and implement the reporting arrangements to be followed by additional reporting agents in accordance with their national statistical reporting requirements. The NCBs shall ensure that the national reporting arrangements require additional reporting agents to comply with requirements that are equivalent to Articles 6 to 8, 10(3), 11 and 12 of this Regulation. The NCBs shall ensure that these reporting arrangements provide the statistical information required and allow accurate checking of the fulfilment of the minimum standards set out in in Annex IV.

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Article 4

Timeliness

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1. In the event that an NCB decides pursuant to Article 3(3) that reporting agents shall report the statistical information specified in Annexes I, II and III directly to the ECB, the reporting agents shall transmit such information to the ECB once per day between 6 p.m. on the trade date and 7 a.m. Central European Time (CET) ( 10 ) on the first TARGET2 settlement day after the trade date.

2. In any case other than that in paragraph 1, the NCBs shall transmit the daily money market statistical information, as specified in Annexes I, II and III that they receive from reporting agents selected pursuant to Article 2(2), (3) and (4), or from additional reporting agents selected pursuant to Article 2(6), to the ECB once per day before 7 a.m. CET on the first TARGET2 settlement day after the trade date.

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3. NCBs shall decide by when they need to receive data from reporting agents in order to meet their reporting deadlines as specified in paragraph 2 and shall inform the reporting agents accordingly.

4. Where a deadline referred to in paragraph 1 or 2 falls on a TARGET2 closing day, the deadline shall be extended to the following TARGET2 operating day, as announced on the ECB's website.

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5. In assessing whether a reporting agent has met the requirements under this Article, the infringement of either of the minimum standards for transmission set out in paragraph 1 (i) to (ii) of Annex IV shall constitute a case of non-compliance of the same type of reporting requirement for the purposes of establishing non-compliance in the ECB's statistical non-compliance framework.

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Article 6

Mergers, divisions, reorganisations and insolvencies

1. In the event of a merger, division, spin off, or any other reorganisation that might affect the fulfilment of its statistical obligations, the reporting agent concerned shall inform the ECB and the relevant NCB, once the intention to implement such an operation has become public and within a reasonable time before it takes effect, of the procedures that are planned to fulfil the statistical reporting requirements set out in this Regulation. The reporting agent shall also notify the ECB and the relevant NCB within 14 days of the completion of such an operation.

2. If a reporting agent merges with another entity by way of acquisition as defined in Directive 2011/35/EU of the European Parliament and of the Council ( 11 ) and one of the merging entities was a reporting agent the merged entity shall continue reporting under this Regulation.

3. If a reporting agent merges with another entity by way of formation of a new company as defined in Directive 2011/35/EU and one of the merging entities was a reporting agent the resulting entity shall report under this Regulation if it fulfils the definition of a reporting agent.

4. If a reporting agent divides into two or more entities either by way of acquisition or by formation of new companies as defined in Sixth Council Directive 82/891/EEC ( 12 ) and one of the new entities is a reporting agent, the new entity shall report under this Regulation. Division shall also include a spin off operation whereby a reporting agent transfers all or part of its assets and liabilities to a new company in return for shares in the new company.

5. If a reporting agent becomes insolvent, loses its banking licence or otherwise ceases to carry on banking business, as confirmed by the competent supervisory authority, it shall no longer be obliged to report under this Regulation.

6. For the purposes of paragraph 5, a reporting agent shall be considered insolvent if any one or more of the following occurs:

(a) it makes a general assignment for the benefit of creditors, or for the purpose of entering into a reorganisation, arrangement, or composition with creditors;

(b) it admits in writing that it is unable to pay its debts as they become due;

(c) it files for, consents to or acquiesces in the appointment of any trustee, administrator, receiver, liquidator or analogous officer to it or over all or any material part of its property;

(d) the presentation of a petition before a court or the filing of a petition with another competent body or authority for insolvency in respect of it (other than by a counterparty in respect of any obligation by the reporting agent to that counterparty);

(e) it is wound-up or becomes insolvent (or enters into any analogous proceedings), or it or any public authority or other entity or person files for its reorganisation, arrangement, composition, re-adjustment, administration, liquidation, dissolution or similar relief under any present or future statute, law or regulation, such a petition (except in the case of a petition for winding-up or any analogous proceeding, in respect of which no 30 day period shall apply) not having been stayed or dismissed within 30 days of its filing;

(f) the appointment of a trustee, administrator, receiver, liquidator or analogous officer to it or over all or any material part of its property; or

(g) the convening of any meeting of its creditors for the purposes of considering a voluntary arrangement (or any analogous proceeding).

Article 7

Confidentiality provisions

1. When receiving and handling data under this Regulation which contains confidential information, including sharing such data with other euro area NCBs, the ECB and the NCBs shall apply the standards for the protection and use of confidential statistical information laid down in Articles 8 and 8c of Regulation (EC) No 2533/98.

2. Subject to paragraph 1, any confidential information contained in statistical data collected by the ECB or an NCB under this Regulation shall not be transmitted to or otherwise shared with any authority or other third party other than the ECB and the euro area NCBs unless the reporting agent concerned has given the ECB or the relevant NCB its express written consent in advance and the ECB or the relevant NCB, where applicable, has signed an appropriate confidentiality agreement with such reporting agent.

Article 8

Verification and compulsory collection

The ECB and the NCBs, as the case may be, shall have the right to verify and, if necessary, to collect compulsorily the information which reporting agents provide in compliance with the statistical reporting requirements set out in Article 3 of, and Annexes I, II and III to, this Regulation. This right may be exercised in particular if a reporting agent does not fulfil the standards for transmission, accuracy, compliance with concepts and revisions as set out in Annex IV. Article 6 of Regulation (EC) No 2533/98 shall also apply.

Article 9

Simplified amendment procedure

Taking account of the views of the ESCB Statistics Committee, the Executive Board of the ECB may make technical amendments to the annexes to this Regulation, provided they neither change the underlying conceptual framework nor affect the reporting burden on the reporting agents. The Executive Board shall inform the Governing Council of any such amendment without undue delay.

Article 10

First reporting

1. In the case of reporting agents selected pursuant to Article 2(2), first reporting under this Regulation, subject to the transitional provisions in Article 12, shall start with data for 1 April 2016.

2. In the case of reporting agents selected pursuant to Article 2(3) and (4), first reporting under this Regulation shall start on the date communicated to the reporting agent by the ECB or the relevant NCB pursuant to Article 2(5), and in any case not earlier than 12 months after the adoption of the Governing Council decision pursuant to Article 2(3) or (4).

3. Furthermore, when representative reporting agents are selected pursuant to Article 2(4), a representative reporting agent may submit a written request to the ECB or the relevant NCB for a temporary postponement of the first reporting date, stating the grounds for such a delay. The requested postponement may be granted for up to six months with further possible extensions of up to six months. The ECB or the relevant NCB may agree to postpone the first reporting date in respect of the applicant representative reporting agent if they consider such a delay to be justified. Furthermore, if the representative reporting agent does not have any data to report or only data which is considered not to be representative by both the ECB and the NCB upon the first reporting date, the NCB may agree to exempt it from the application of the first reporting date. Such an exemption may only be granted by the NCB in liaison with the ECB if both the ECB and the NCB consider the request justified and it does not endanger the representativeness of the reporting sample.

4. In the case of MFIs selected as additional reporting agents pursuant to Article 2(6), first reporting under this Regulation shall start on the date communicated to the additional reporting agent by the NCB pursuant to Article 2(6).

Article 11

Periodic review clause

The ECB shall review the operation of this Regulation 12 months after first reporting and issue a report thereon. Pursuant to the recommendations in the report it may increase or reduce the number of reporting agents and/or the statistical reporting requirements. After this initial review, regular updates of the actual reporting population will take place every second year.

Article 12

Transitional provision

In the period from 1 April 2016 to 1 July 2016 reporting agents will be permitted to report money market statistics for some but not all relevant days to the ECB or the relevant NCB. The ECB or the relevant NCB may specify the days for which reporting shall be required.

Article 13

Final provisions

This Regulation shall enter into force on 1 January 2015.

This Regulation shall be binding in its entirety and directly applicable in the Member States in accordance with the Treaties.

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ANNEX I

Reporting scheme for money market statistics relating to secured transactions

PART 1

TYPE OF INSTRUMENTS

Reporting agents report to the European Central Bank (ECB) or the relevant national central bank (NCB) all repurchase agreements and transactions entered into thereunder, including tri-party repo transactions, which are denominated in euro with a maturity of up to and including one year (defined as transactions with a maturity date of not more than 397 days after the settlement date) between the reporting agent and financial corporations (except central banks where the transaction is not for investment purposes), general government, or non-financial corporations classified as ‘wholesale’ according to the Basel III LCR Framework. Intra-group transactions shall be excluded.

PART 2

TYPE OF DATA

1. Type of transaction-based data ( 13 ) to be reported for each transaction:







Field Description of data Alternative reporting option (if any) and other qualifications Reported transaction status This attribute specifies whether the transaction is a new transaction, an amendment of a previously reported transaction, a cancellation or a correction of a previously reported transaction. Novation status This attribute specifies whether the transaction is a novation. Unique transaction identifier The unique code that allows a transaction in the respective market segment to be identified. Reporting of this field is required if available. Proprietary transaction identification The unique internal transaction identifier used by the reporting agent for each transaction. The proprietary transaction identification is unique for any transaction reported per money market segment and reporting agent. Related proprietary transaction identification The unique internal transaction identifier used by the reporting agent for the initial trade that has been subsequently novated. Reporting of this field is mandatory where applicable. Counterparty proprietary transaction identification The proprietary transaction identification assigned by the counterparty of the reporting agent to the same transaction. Reporting of this field is required if available. Counterparty identification An identification code used to recognise the counterparty of the reporting agent for the reported transaction. The Legal Entity Identifier (LEI) code must be used in all circumstances where the counterparty has been assigned such an identifier. The counterparty sector and counterparty location must be reported if an LEI code is not assigned. Counterparty sector The counterparty institutional sector. Mandatory if the counterparty identification is not provided. Counterparty location The International Organisation for Standardisation (ISO) country code of the country in which the counterparty is incorporated. Mandatory if the counterparty identification is not provided. Tri-party agent identification The counterparty identifier of the tri-party agent. Reporting of this field is required for tri-party transactions. The LEI code must be used in all circumstances where the agent has been assigned such an identifier. Reporting date The start and end date and time of the period to which the transaction data in the file refers. Electronic time stamp The time at which a transaction is concluded or booked. Trade date The date on which the parties enter into the financial transaction. Settlement date The date on which the cash is initially exchanged for the asset as contractually agreed. In the case of a rollover 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 returned or received in exchange for the asset pledged or received as collateral. Transaction type This attribute specifies whether the transaction is carried out for borrowing or lending cash. Transaction nominal amount The amount in euro initially borrowed or lent. Rate type 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 repurchase agreement was concluded and at which the cash lent is to be remunerated. Reporting of this field is required for fixed rate instruments only. Reference rate index The International Securities Identification Number (ISIN) of the underlying reference rate on the basis of which the periodic interest payments are calculated. Reporting of this field is required for floating rate instruments only. Basis point 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 at issuance of the floating rate instrument. Reporting of this field is required for floating rate instruments only. Collateral ISIN The ISIN of the collateralised asset. Reporting of this field is optional for tri-party repurchase agreements not conducted against a basket of securities for which a generic ISIN exists, or collateral types for which no ISIN is available. Whenever the ISIN of the collateralised asset is not provided, collateral type, collateral issuer sector and collateral pool need to be provided. Collateral pool To indicate whether the asset pledged as collateral is a collateral pool. Collateral type To identify the asset class pledged as collateral. Mandatory if the collateral ISIN is not provided. Collateral issuer sector The institutional sector of the issuer of the collateral. Mandatory if the collateral ISIN is not provided. Special collateral indicator To identify all repurchase agreements conducted against general collateral and those conducted against special collateral. To be provided only if it is feasible for the reporting agent. Collateral nominal amount The nominal amount, in euro, of the assets pledged as collateral. Optional for tri-party repos and any transaction in which the assets pledged are not identified via an ISIN. 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). Reporting of this field is required for single collateral transactions, otherwise it is optional.

2. Materiality threshold:

Transactions undertaken with non-financial corporations should only be reported when undertaken with non-financial corporations classified as ‘wholesale’ on the basis of the Basel III LCR Framework ( 14 ).









ANNEX II

Reporting scheme for money market statistics relating to unsecured transactions

PART 1

TYPE OF INSTRUMENTS

1. Reporting agents report to the European Central Bank (ECB) or the relevant national central bank (NCB):

(a) all borrowing using the instruments defined in the table below, which are denominated in euro with a maturity of up to and including one year (defined as transactions with a maturity date of not more than 397 days after the settlement date), of the reporting agent from financial corporations (except central banks where the transaction is not for investment purposes), general government, or non-financial corporations classified as ‘wholesale’ according to the Basel III LCR Framework;

(b) all lending transactions denominated in euro to other credit institutions with a maturity of up to and including one year (defined as transactions with a maturity date of not more than 397 days after the settlement date) via unsecured deposits or call accounts, or via the purchase from the issuing credit institutions of commercial paper, certificates of deposit, floating rate notes and other debt securities with a maturity of up to one year.

For the purposes of paragraphs 1(a) and (b) above, intra–group transactions shall be excluded.

2. The table below provides a detailed standard description of the instrument categories for transactions which reporting agents are required to report to the ECB. In the event that the reporting agents are required to report the transactions to their NCB, the relevant NCB should transpose these descriptions of instrument categories at national level in accordance with this Regulation.







Instrument type Description Deposits Unsecured interest-bearing deposits (including call accounts but excluding current accounts) which are either redeemable at notice or have a maturity of not more than one year, i.e. up to 397 days after the settlement date and which are either taken (borrowing) or placed (lending) by the reporting agent. Call account/Call money Cash accounts with daily changes in the applicable interest rate, giving rise to interest payments or calculations at regular intervals, and with a notice period to withdraw money. Saving account with a notice period to withdraw money. Certificate of deposit A fixed-rate debt instrument in either a negotiable or non-negotiable form issued by an MFI entitling the holder to a specific fixed rate of interest over a defined fixed term of up to one year, i.e. up to 397 days after the settlement date, which is either interest bearing or discounted. Commercial paper An unsecured debt instrument issued by an MFI which has a maturity of not more than one year, i.e. up to 397 days after the settlement date, which is either interest-bearing or discounted. Asset backed commercial paper A debt instrument issued by an MFI which has a maturity of no more than one year, i.e. up to 397 days after the settlement date, which is either interest-bearing or discounted and is secured by some form of collateral. Floating rate note A debt instrument in which the periodic interest payments are calculated on the basis of the value, i.e. fixing of an underlying reference rate, such as the Euro Interbank Offered Rate (Euribor), on predefined dates known as fixing dates, and which has a maturity of not more than one year, i.e. up to 397 days after the settlement date. Other short-term debt securities Unsubordinated securities, other than equity, with a maturity of up to one year, i.e. up to 397 days after the settlement date, issued by reporting agents, which are instruments that are 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: (a) securities that give the holder an unconditional right to a fixed or contractually determined income in the form of coupon payments and/or a stated fixed sum at a specific date (or dates) or starting from a date defined at the time of issue; (b) non-negotiable instruments issued by reporting agents that subsequently become negotiable, which should be reclassified as ‘debt securities’.

PART 2

TYPE OF DATA

1. Type of transaction-based data ( 15 ) to be reported for each transaction:







Field Description of data Alternative reporting option (if any) and additional qualifications Reported transaction status This attribute specifies whether the transaction is a new transaction, an amendment of a previously reported transaction, a cancellation or a correction of a previously reported transaction. Novation status This attribute specifies whether the transaction is a novation. Unique transaction identifier The unique code that allows a transaction in the respective market segment to be identified. Reporting of this field is required if available. Proprietary transaction identification The unique internal transaction identifier used by the reporting agent for each transaction. The proprietary transaction identification is unique for any transaction reported per money market segment and reporting agent. Related proprietary transaction identification The unique internal transaction identifier used by the reporting agent for the initial trade that has been subsequently novated. Reporting of this field is mandatory where applicable. Counterparty proprietary transaction identification The proprietary transaction identification assigned by the counterparty of the reporting agent to the same transaction. Reporting of this field is required if available. Counterparty identification An identification code used to recognise the counterparty of the reporting agent for the reported transaction. The Legal Entity Identifier (LEI) code must be used in all circumstances where the counterparty has been assigned such an identifier. The counterparty sector and counterparty location must be reported if an LEI code is not assigned. Counterparty sector The counterparty institutional sector. Mandatory if the counterparty identification is not provided. Counterparty location The International Organisation for Standardisation (ISO) country code of the country in which the counterparty is incorporated. Mandatory if the counterparty identification is not provided. Reporting date The start and end date and time of the period to which the transaction data in the file refers. Electronic time stamp The time at which a transaction is concluded or booked. Trade date The date on which the parties enter into the reported financial transaction. Settlement date The date on which the amount of money is exchanged by counterparties or on which the purchase or sale 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 and not rolled over). Maturity date The date on which the amount of money 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. Instrument type The instrument via which the borrowing/lending takes place. Transaction type This attribute specifies whether the transaction is cash borrowing or cash lending. Transaction nominal amount The amount of money in euro lent or borrowed on deposits. In the case of debt securities, it is the nominal amount of the security issued/purchased. Transaction deal price The dirty price (i.e. the price which includes any accrued interest) at which the security is issued or traded in percentage points. To be reported as 100 for unsecured deposits. Rate type 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 concluded 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 or purchased. Reporting of this field is required for fixed rate instruments only. Reference rate index The International Securities Identification Number (ISIN) of the underlying reference rate on the basis of which the periodic interest payments are calculated. Reporting of this field is required for floating rate instruments only. Basis point spread The number of basis points added to (if positive) or deducted from (if negative) the reference rate index to calculate the actual interest rate applicable for a given period at issuance of the floating rate instrument. Reporting of this field is required for floating rate instruments only. Call or put To identify whether the instrument has a call option or a put option. Reporting of this field is required for callable/puttable instruments only. First call/put date The first date on which the call option or the put option can be exercised. Reporting of this field is only required for instruments with a call option or put option that can be exercised on one or more predefined dates. Call/put notice period The number of calendar days that the holder of the instrument/issuer of the instrument will give to the issuer/holder of the instrument before exercising the put/call option. Reporting of this field is only required for all instruments/transactions with a call/put option notice period and for deposits redeemable with a pre-agreed notice period.

2. Materiality threshold:

Transactions undertaken with non-financial corporations should only be reported when undertaken with non-financial corporations classified as ‘wholesale’ on the basis of the Basel III LCR Framework.









ANNEX III

Reporting scheme for money market statistics relating to derivatives transactions

PART 1

TYPE OF INSTRUMENTS

Reporting agents report to the European Central Bank (ECB) or the relevant national central bank (NCB):

(a) all foreign exchange swap transactions, in which euro are bought/sold spot against a foreign currency and re-sold or re-bought at a forward date at a pre-agreed foreign exchange forward rate with a maturity of up to and including one year (defined as transactions with a maturity date of not more than 397 days after the settlement date of the spot leg of the foreign exchange swap transaction), between the reporting agent and financial corporations (except central banks where the transaction is not for investment purposes), general government, or non-financial corporations classified as ‘wholesale’ according to the Basel III LCR Framework;

(b) overnight index swaps (OIS) transactions denominated in euro between the reporting agent and financial corporations (except central banks where the transaction is not for investment purposes), general government, or non-financial corporations classified as ‘wholesale’ according to the Basel III LCR Framework.

For the purposes of paragraphs (a) and (b) above, intra–group transactions shall be excluded.

PART 2

TYPE OF DATA

1. Type of transaction-based data ( 16 ) for foreign exchange swap transactions to be reported for each transaction:







Field Description of data Alternative reporting option (if any) and other qualifications Reported transaction status This attribute specifies whether the transaction is a new transaction, an amendment of a previously reported transaction, a cancellation or a correction of a previously reported transaction. Novation status This attribute specifies whether the transaction is a novation. Unique transaction identifier The unique code that allows a transaction in the respective market segment to be identified. Reporting of this field is required if available. Proprietary transaction identification The unique internal transaction identifier used by the reporting agent for each transaction. The proprietary transaction identification is unique for any transaction reported per money market segment and reporting agent. Related proprietary transaction identification The unique internal transaction identifier used by the reporting agent for the initial trade that has been subsequently novated. Reporting of this field is mandatory where applicable. Counterparty proprietary transaction identification The proprietary transaction identification assigned by the counterparty of the reporting agent to the same transaction. Reporting of this field is required if available. Counterparty identification An identification code used to recognise the counterparty of the reporting agent for the reported transaction. The Legal Entity Identifier (LEI) code must be used in all circumstances where the counterparty has been assigned such an identifier. The counterparty sector and counterparty location must be reported if an LEI code is not assigned. Counterparty sector The counterparty institutional sector. Mandatory if the counterparty identification is not provided. Counterparty location The International Organisation for Standardisation (ISO) country code of the country in which the counterparty is incorporated. Mandatory if the counterparty identification is not provided. Reporting date The start and end date and time of the period to which the transaction data in the file refers. Electronic time stamp The time at which a transaction is concluded or booked. 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. Foreign exchange transaction type This attribute specifies 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 nominal amount in euro of the foreign exchange swap. 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 first leg of the foreign exchange swap transaction. Foreign exchange forward points The difference between the foreign exchange forward rate and the foreign exchange spot rate expressed in basis points quoted in accordance with the prevailing market conventions for the respective currency pair.

2. Type of transaction-based data for OIS transactions to be reported for each transaction:







Field Description of data Alternative reporting option (if any) and other qualifications Reported transaction status This attribute specifies whether the transaction is a new transaction, an amendment of a previously reported transaction, a cancellation or a correction of a previously reported transaction. Novation status This attribute specifies whether the transaction is a novation. Unique transaction identifier The unique code that allows a transaction in the respective market segment to be identified. Reporting of this field is required if available. Proprietary transaction identification The unique internal transaction identifier used by the reporting agent for each transaction. The proprietary transaction identification is unique for any transaction reported per money market segment and reporting agent. Related proprietary transaction identification The unique internal transaction identifier used by the reporting agent for the initial trade that has been subsequently novated. Reporting of this field is mandatory where applicable. Counterparty proprietary transaction identification The proprietary transaction identification assigned by the counterparty of the reporting agent to the same transaction. Reporting of this field is required if available. Counterparty identification An identification code used to recognise the counterparty of the reporting agent for the reported transaction. The LEI code must be used in all circumstances where the counterparty has been assigned such an identifier. The counterparty sector and counterparty location must be reported if an LEI code is not assigned. Counterparty sector The counterparty institutional sector. Mandatory if the counterparty identification is not provided. Counterparty location The ISO country code of the country in which the counterparty is incorporated. Mandatory if the counterparty identification is not provided. Reporting date The start and end date and time of the period to which the transaction data in the file refers. Electronic time stamp The time at which a transaction is concluded or booked. 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 floating leg 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 type This attribute specifies whether the fixed interest rate is paid or received by the reporting agent. Transaction nominal amount The notional amount of the OIS.

3. Materiality threshold:

Transactions undertaken with non-financial corporations should only be reported when undertaken with non-financial corporations classified as ‘wholesale’ on the basis of the Basel III LCR Framework.









ANNEX IV

Minimum standards to be applied by the actual reporting population

Reporting agents must fulfil the following minimum standards to meet the European Central Bank's (ECB's) statistical reporting requirements.

1. Minimum standards for transmission:

(i) reporting must be timely and within the deadlines set by the ECB and the relevant national central bank (NCB);

(ii) statistical reports must take their form and format from the technical reporting requirements set by the ECB and the relevant NCB;

(iii) the reporting agent must provide the details of one or more contact persons to the ECB and the relevant NCB;

(iv) the technical specifications for data transmission to the ECB and the relevant NCB must be followed.

2. Minimum standards for accuracy:

(i) statistical information must be correct;

(ii) reporting agents must be able to provide information on the developments implied by the transmitted data;

(iii) statistical information must be complete and must not contain continuous and structural gaps; existing gaps must be acknowledged, explained to the ECB and the relevant NCB and, where applicable, bridged as soon as possible;

(iv) reporting agents must follow the dimensions, rounding policy and decimals set by the ECB and the relevant NCB for the technical transmission of the data.

3. Minimum standards for compliance with concepts:

(i) statistical information must comply with the definitions and classifications contained in this Regulation;

(ii) in the event of deviations from these definitions and classifications reporting agents must monitor and quantify the difference between the measure used and the measure contained in this Regulation on a regular basis;

(iii) reporting agents must be able to explain breaks in the transmitted data compared with the previous periods' figures.

4. Minimum standards for revisions:

The revisions policy and procedures set by the ECB and the relevant NCB must be followed. Revisions deviating from regular revisions must be accompanied by explanatory notes.

5. Minimum standards for data integrity:

(i) statistical information must be compiled and transmitted by reporting agents in an impartial and objective manner;

(ii) errors in the transmitted data must be corrected and communicated by reporting agents to the ECB and the relevant NCB at the earliest possible date.