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Regulation (EU) No 1333/2014 of the European Central BankShow full title

Regulation (EU) No 1333/2014 of the European Central Bank of 26 November 2014 concerning statistics on the money markets (ECB/2014/48)

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Changes over time for: Regulation (EU) No 1333/2014 of the European Central Bank (Annexes only)

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[F1ANNEX I U.K. Reporting scheme for money market statistics relating to secured transactions

PART 1 U.K. 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 U.K. TYPE OF DATA

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

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: U.K.

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 (2) .]

[F1ANNEX II U.K. Reporting scheme for money market statistics relating to unsecured transactions

PART 1 U.K. TYPE OF INSTRUMENTS

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

(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. U.K.

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 U.K. TYPE OF DATA

1. Type of transaction-based data (3) to be reported for each transaction: U.K.

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: U.K.

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.]

[F1ANNEX III U.K. Reporting scheme for money market statistics relating to derivatives transactions

PART 1 U.K. 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 U.K. TYPE OF DATA

1. Type of transaction-based data (4) for foreign exchange swap transactions to be reported for each transaction: U.K.

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: U.K.

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: U.K.

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.]

[F1ANNEX IV U.K. 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: U.K.

(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: U.K.

(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: U.K.

(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: U.K.

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: U.K.

(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.]

(1)

[F1The electronic reporting standards and the technical specifications for the data are laid down separately. They are available on the ECB's website at: www.ecb.europa.eu.]

(2)

[F1See Basel III: The liquidity coverage ratio and liquidity risk monitoring tools , Basel Committee on Banking Supervision, January 2013, pp. 23 to 27, available on the Bank for International Settlements' website at: www.bis.org.]

(3)

[F1The electronic reporting standards and the technical specifications for the data are laid down separately. They are available on the ECB's website at: www.ecb.europa.eu.]

(4)

[F1The electronic reporting standards and the technical specifications for the data are laid down separately. They are available on the ECB's website at: www.ecb.europa.eu.]

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