Regulation (EC) No 24/2009 of the European Central Bank of 19 December 2008 concerning statistics on the assets and liabilities of financial vehicle corporations engaged in securitisation transactions (ECB/2008/30) (repealed) (c. 24)

ANNEX II DEFINITIONS

PART 1 Definitions of instrument categories

This table provides a detailed standard description of the instrument categories which national central banks (NCBs) transpose into national categories in accordance with this Regulation. The table does not constitute a list of individual financial instruments and the descriptions are not exhaustive. The definitions refer to the European system of national and regional accounts in the Community (hereinafter the ‘ESA95’).

All financial assets and liabilities must be reported on a gross basis, i.e. financial assets must not be reported net of financial liabilities.

Table A Definitions of instrument categories of the assets and liabilities of financial vehicle corporations engaged in securitisation transactions

ASSET CATEGORIES

Category	Description of main features
1. Deposits and loan claims	For the purposes of the reporting scheme, this consists of funds lent by financial vehicle corporations engaged in securitisation transactions (FVCs) to borrowers that are not evidenced by documents or are represented by a single document even if it has become negotiable. It includes the following items: deposits placed with monetary financial institutions (MFIs) loans granted to FVCs claims under reverse repos or securities borrowing against cash collateral. Counterpart of cash paid out in exchange for securities purchased by FVCs, or securities borrowing against cash collateral (see category 9) This item also includes holdings of euro and foreign currency banknotes and coins in circulation that are commonly used to make payments.
2. Securitised loans	For the purposes of the reporting scheme, this consists of funds lent to borrowers and acquired by the reporting agents from the originator. These funds are not evidenced by documents or are represented by a single document even if it has become negotiable. This also includes: financial leases granted to third parties: financial leases are contracts whereby the legal owner of a durable good (hereinafter the ‘lessor’) lends these assets to a third party (hereinafter the ‘lessee’) for most if not all of the economic lifetime of the assets, in exchange for instalments covering the costs of the good plus an imputed interest charge. The lessee is assumed to receive all the benefits derivable from the use of the good and to incur the costs and risks associated with ownership. For statistical purposes, financial leases are treated as loans from the lessor to the lessee enabling the lessee to purchase the durable good. Financial leases granted by an originator, acting as the lessor, are to be recorded under the asset item ‘securitised loans’. The assets (durable goods) which have been lent to the lessee must not be recorded bad debt loans that have not yet been repaid or written off: bad debt loans are considered to be loans in respect of which repayment is overdue or otherwise identified as being impaired holdings of non-negotiable securities: holdings of securities other than shares and other equity which are not negotiable and cannot be traded on secondary markets, see also ‘traded loans’ traded loans: loans that have de facto become negotiable are to be classified under the asset item ‘securitised loans’ provided that they continue to be evidenced by a single document and are, as a general rule, only traded occasionally subordinated debt in the form of deposits or loans: subordinated debt instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status e.g. deposits/loans have been satisfied, giving them some of the characteristics of ‘shares and other equity’. For statistical purposes, subordinated debt is to be treated according to the nature of the financial instrument, i.e. classified as either ‘securitised loans’ or ‘securities other than shares’ according to the nature of the instrument. Where FVC holdings of all forms of subordinated debt are currently identified as a single figure for statistical purposes, this figure is to be classified under the item ‘securities other than shares’, on the grounds that subordinated debt is predominantly constituted in the form of securities, rather than as loans Securitised loans must be reported according to the following rules: a maturity breakdown is required for loans to non-financial corporations originated by euro area MFIs. It means maturity at the time the loan was granted, i.e. original maturity and refers to the fixed period in which the loan is due to be repaid loans must be reported at nominal value, even if purchased from the originator at a different price. The counterpart to the difference between the nominal value and the purchase price must be included under ‘remaining liabilities’ This item includes securitised loans, irrespective of whether the prevailing accounting practice requires the recognition of the loans on the reporting agent's balance sheet.
3. Securities other than shares	Holdings of securities other than ‘shares and other equity’, which are negotiable and usually traded on secondary markets or can be offset on the market, and which do not grant the holder any ownership rights over the issuing institution This item includes: holdings of securities, whether or not evidenced by documents, which give the holder the 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 subordinated debt in the form of debt securities Securities lent out under securities lending operations or sold under a repurchase agreement remain on the original owner's balance sheet and are not to be recorded on the temporary acquirer's balance sheet where there is a firm commitment to reverse the operation and not simply an option to do so (see also category 9). Where the temporary acquirer sells the securities received, this sale must be recorded as an outright transaction in securities and entered in the temporary acquirer's balance sheet as a negative position in the securities portfolio A maturity breakdown is required for holdings of securities other than shares. This means maturity at issue, i.e. original maturity and refers to the fixed period of life of a financial instrument before which it may not be redeemed This item includes securities other than shares that have been securitised, irrespective of whether the prevailing accounting practice requires the recognition of the securities on the reporting agent's balance sheet
4. Other securitised assets	This item includes securitised assets other than those included under categories 2 and 3, such as tax receivables or commercial credits, irrespective of whether the prevailing accounting practice requires the recognition of the assets on the balance sheet of the reporting agent
5. Shares and other equity	Holdings of securities which represent property rights in corporations or quasi-corporations. These securities generally entitle the holders to a share in the profits of corporations or quasi-corporations and to a share in their own funds in the event of liquidation
6. Financial derivatives	Under this item, all the following financial derivatives must be reported: options warrants futures swaps, in particular credit default swaps Gross future commitments arising from derivative contracts must not be entered as on-balance-sheet items This item does not include financial derivatives that are not subject to on-balance-sheet recording according to national rules
7. Fixed assets	This item includes investments in tangible fixed assets e.g. dwellings, other buildings and structures, and non-residential buildings
8. Remaining assets	This is the residual item on the asset side of the balance sheet, defined as ‘assets not included elsewhere’. This item may include: accrued interest receivable on deposits and loans accrued interest on securities other than shares accrued rent on fixed assets amounts receivable which do not relate to the FVC's main business

LIABILITY CATEGORIES

Category	Description of main features
9. Loans and deposits received	Amounts owed to creditors by FVCs, other than those arising from the issue of negotiable securities. This item consists of: loans: loans granted to the reporting FVCs which are not evidenced by documents or are represented by a single document even if it has become negotiable non-negotiable debt instruments issued by FVCs: instruments may be referred to as being ‘non-negotiable’ in the sense that the transfer of legal ownership of the instrument is restricted, meaning that they cannot be marketed or, although technically negotiable, cannot be traded owing to the absence of an organised market. Non-negotiable instruments issued by reporting agents that subsequently become negotiable and that can be traded on secondary markets should be reclassified as ‘debt securities’ repos: counterpart of cash received in exchange for securities sold by reporting agents at a given price under a firm commitment to repurchase the same (or similar) securities at a fixed price on a specified future date. Amounts received by reporting agents in exchange for securities transferred to a third party (temporary acquirer) are to be classified here where there is a firm commitment to reverse the operation and not merely an option to do so. This implies that reporting agents retain all risks and rewards of the underlying securities during the operation The following variants of repo-type operations are all classified here: amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral amounts received in exchange for securities temporarily transferred to a third party in the form of a sale/buy-back agreement The securities underlying repo-type operations are recorded following the rules in asset item 3 ‘Securities other than shares’ Operations involving the temporary transfer of gold against cash collateral are also included under this item
10. Debt securities issued	Securities issued by FVCs, other than ‘shares and other equity’, 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. It includes, inter alia, securities issued in the form of: asset-backed securities credit-linked notes
11. Capital and reserves	For the purposes of the reporting scheme, this category comprises the amounts arising from the issue of equity capital by reporting agents to shareholders or other proprietors, representing for the holder property rights in the FVC and generally an entitlement to a share in its profits and to a share in its own funds in the event of liquidation. Funds arising from non-distributed benefits or funds set aside by reporting agents in anticipation of likely future payments and obligations are also included. It includes: equity capital non-distributed benefits or funds specific and general provisions against loans, securities and other types of assets securitisation fund units
12. Financial derivatives	See category 6
13. Remaining liabilities	This is the residual item on the liabilities side of the balance sheet, defined as ‘liabilities not included elsewhere’ This item may include: accrued interest payable on loans and deposits amounts payable not related to the FVC's main business, i.e. amounts due to suppliers, tax, wages, social contributions, etc. provisions representing liabilities against third parties, i.e. pensions, dividends, etc. net positions arising from securities lending without cash collateral net amounts payable in respect of future settlements of transactions in securities counterparts to the valuation adjustment, i.e. nominal less purchase price, of loans

PART 2 Definitions of sectors

The ESA95 provides the standard for sector classification. Counterparties located in the territory of the participating Member States are identified according to their sector in accordance with the list of FVCs, investment funds (IFs) and MFIs for statistical purposes and the guidance for the statistical classification of counterparties provided in the Monetary, financial institutions and markets statistics sector manual. Guidance for the statistical classification of customers by the European Central Bank.

Table B Definitions of sectors

Sector	Definition
1. MFIs	Resident national central banks, resident credit institutions as defined in Community law, and other resident financial institutions whose business is to receive deposits and/or close substitutes for deposits from entities other than MFIs, and, for their own account, at least in economic terms, to grant credits and/or make investments in securities (Regulation (EC) No 25/2009 of the European Central Bank of 19 December 2008 concerning the balance sheet of the monetary financial institutions sector (recast) (ECB/2008/32))
2. General government	Resident units which are principally engaged in the production of non-market goods and services, intended for individual and collective consumption and/or in the redistribution of national income and wealth (the ESA95, paragraphs 2.68 to 2.70)
3. Other financial intermediaries and financial auxiliaries	Financial corporations and quasi-corporations, except insurance corporations and pension funds, principally engaged in financial intermediation by incurring liabilities in forms other than currency, deposits and/or close substitutes for deposits from institutional units other than MFIs, or insurance technical reserves (the ESA95, paragraphs 2.53 to 2.56). IFs as defined in Regulation (EC) No 958/2007 of the European Central Bank of 27 July 2007 concerning statistics on the assets and liabilities of investment funds (ECB/2007/8) and FVCs as defined in this Regulation are included in this sector. Also included are financial auxiliaries consisting of all financial corporations and quasi-corporations that are principally engaged in auxiliary financial activities (the ESA95, paragraphs 2.57 to 2.59)
4. Insurance corporations and pension funds	Financial corporations and quasi-corporations principally engaged in financial intermediation as the consequence of the pooling of risks (the ESA95, paragraphs 2.60 to 2.67)
5. Non-financial corporations	Corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services (the ESA95, paragraphs 2.21 to 2.31)
6. Households and non-profit institutions serving households	Individuals or groups of individuals as consumers, and producers of goods and non-financial services exclusively for their own final consumption, and as producers of market goods and non-financial and financial services provided that their activities are not those of quasi-corporations. Included are non-profit institutions which serve households and which are principally engaged in the production of non-market goods and services intended for particular groups of households (the ESA95, paragraphs 2.75 to 2.88)

PART 3 Definition of financial transactions

Financial transactions, in accordance with ESA95, are defined as the net acquisition of financial assets or the net incurrence of liabilities for each type of financial instrument, i.e. the sum of all financial transactions that occur during the relevant reporting period. The method of valuation for each transaction is to take the value at which assets are acquired/disposed of and/or liabilities are created, liquidated or exchanged. Financial transactions must in principle comply with this methodology. Write-offs/write-downs and valuation changes do not represent financial transactions.

PART 4 Definition of write-offs/write-downs

Write-offs/write-downs are defined as the impact of changes in the value of loans recorded on the balance sheet that are caused by the application of write-offs/write-downs of loans. Write-offs/write-downs recognised at the time a loan is sold or transferred to a third party are also included, where identifiable. Write-offs refer to events where the loan is considered to be a worthless asset and is removed from the balance sheet. Write-downs refer to events where it is deemed that the loan will not be fully recovered, and the value of the loan is reduced in the balance sheet.