Debt securities are negotiable financial instruments serving as evidence of debt. Debt securities display the following characteristics:

1. (a)

   an issue date on which the debt security is issued;

2. (b)

   an issue price at which investors buy the debt securities when first issued;

3. (c)

   a redemption date or maturity date, on which the final contractually scheduled repayment of the principal is due;

4. (d)

   a redemption price or face value, which is the amount to be paid by the issuer to the holder at maturity;

5. (e)

   an original maturity, which is the period from the issue date until the final contractually scheduled payment;

6. (f)

   a remaining or residual maturity, which is the period from the reference date until the final contractually scheduled payment;

7. (g)

   a coupon rate that the issuer pays to holders of the debt securities; the coupon may be fixed throughout the life of the debt security or vary with inflation, interest rates, or asset prices. Bills and zero-coupon debt securities offer no coupon interest;

8. (h)

   coupon dates, on which the issuer pays the coupon to the securities' holders;

9. (i)

   the issue price, redemption price, and coupon rate may be denominated (or settled) in either national currency or foreign currencies.

The credit rating of debt securities, which indicates the credit worthiness of individual debt securities issues, is assigned by recognised agencies on the basis of rating categories.

With regard to point (c), the maturity date may coincide with the conversion of a debt security into a share. In this context, convertibility means that the holder may exchange a debt security for the issuer's common equity. Exchangeability means that the holder may exchange the debt security for shares of a corporation other than the issuer. Perpetual securities, which have no stated maturity date, are classified as debt securities.

Debt securities whose original maturity is one year or less, and debt securities repayable on demand of the creditor.

Debt securities whose original maturity is more than one year, or of no stated maturity.

Equity is a financial asset that is a claim on the residual value of a corporation, after all other claims have been met. Ownership of equity in legal entities is usually evidenced by shares, stocks, depository receipts, participations, or similar documents. Shares and stocks have the same meaning.

Equity is sub-categorised into the following: listed shares (F.511); unlisted shares (F.512); and other equity (F.519).

Listed shares are equity securities listed on an exchange. Such an exchange may be a recognised stock exchange or any other form of secondary market. Listed shares are also referred to as quoted shares. The existence of quoted prices of shares listed on an exchange means that current market prices are usually readily available.

Investment fund shares are shares of an investment fund if the fund has a corporate structure. They are known as units if the fund is a trust. Investment funds are collective investment undertakings through which investors pool funds for investment in financial and/or non-financial assets.

Investment fund shares are subdivided into: money market fund (MMF) shares or units (F.521); and non-MMF investment fund shares or units (F.522).

The sector non-financial corporations (S.11) consists of institutional units which are independent legal entities and market producers, and whose principal activity is the production of goods and non-financial services. This sector also includes non-financial quasi-corporations.

The sub-sector the central bank (S.121) consists of all financial corporations and quasi-corporations whose principal function is to issue currency, to maintain the internal and external value of the currency and to hold all or part of the international reserves of the country.

The sub-sector deposit-taking corporations except the central bank (S.122) includes all financial corporations and quasi-corporations, except those classified in the central bank and in the MMF sub-sectors, which are principally engaged in financial intermediation and whose business is to receive deposits and/or close substitutes for deposits from institutional units, i.e. not only from MFIs, and, for their own account, to grant loans and/or to make investments in securities.

The sub-sector MMFs (S.123) consists of all financial corporations and quasi-corporations, except those classified in the central bank and in the credit institutions sub-sectors, which are principally engaged in financial intermediation. Their business is to issue investment fund shares or units as close substitutes for deposits from institutional units and, for their own account, to make investments primarily in MMF shares/units, short-term debt securities, and/or deposits.

MMF investment funds cover investment trusts, unit trusts and other collective investment schemes whose investment fund shares or units are close substitutes for deposits.

The sub-sector non-MMF investment funds (S.124) consists of all collective investment schemes, except those classified in the MMF sub-sector, which are principally engaged in financial intermediation. Their business is to issue investment fund shares or units which are not close substitutes for deposits and, on their own account, to make investments primarily in financial assets other than short-term financial assets and in non-financial assets (usually real estate). Non-MMF investment funds cover investment trusts, unit trusts and other collective investment schemes whose investment fund shares or units are not seen as close substitutes for deposits.

The sub-sector other financial intermediaries, except insurance corporations and pension funds (S.125) consists of all financial corporations and quasi-corporations which are principally engaged in financial intermediation by incurring liabilities in forms other than currency, deposits, or investment fund shares, or in relation to insurance, pension and standardised guarantee schemes from institutional units.

Financial vehicle corporations (FVCs) are undertakings carrying out securitisation transactions. FVCs that satisfy the criteria of an institutional unit are classified in S.125, otherwise they are treated as an integral part of the parent.

The sub-sector financial auxiliaries (S.126) consists of all financial corporations and quasi-corporations which are principally engaged in activities closely related to financial intermediation but which are not financial intermediaries themselves.

The sub-sector captive financial institutions and money lenders (S.127) consists of all financial corporations and quasi-corporations which are neither engaged in financial intermediation nor in providing financial auxiliary services, and where most of either their assets or their liabilities are not transacted on open markets.

The sub-sector insurance corporations (S.128) consists of all financial corporations and quasi-corporations which are principally engaged in financial intermediation as a consequence of the pooling of risks, mainly in the form of direct insurance or reinsurance.

The sub-sector pension funds (S.129) consists of all financial corporations and quasi-corporations which are principally engaged in financial intermediation as a consequence of the pooling of social risks and needs of the insured persons (social insurance). Pension funds as social insurance schemes provide income in retirement, and often benefits for death and disability.

The sector general government (S.13) consists of 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.

The general government sector is divided into four sub-sectors: central government (S.1311); state government (S.1312); local government (S.1313); and social security funds (S.1314).

The sector households (S.14) consists of individuals or groups of individuals as consumers and as entrepreneurs producing market goods and non-financial and financial services (market producers) provided that the production of goods and services is not by separate entities treated as quasi-corporations. It also includes individuals or groups of individuals as producers of goods and non-financial services for exclusively own final use.

The sector non-profit institutions serving households (S.15) consists of non-profit institutions which are separate legal entities, which serve households and are private non-market producers. Their principal resources are voluntary contributions in cash or in kind from households in their capacity as consumers, from payments made by general governments and from property income.

Security identification number

A code that uniquely identifies a security. It is the ISIN code if this has been assigned to the security, or another security identification number.

Positions at nominal value (in nominal currency or euro or positions in number of shares or units)

Number of units of a security, or aggregated nominal amount if the security is traded in amounts rather than in units, excluding the accrued interest.

Positions at market value

F5Amount held of a security at the price quoted in the market in euro. The relevant NCB, or, where group data is reported to the ECB pursuant to Article 3a(5), the ECB must in principle require accrued interest to be reported either under this position or separately. However, the relevant NCBs, or the ECB, as applicable, may at their discretion require data excluding accrued interest.

Other changes in volume (nominal value)

Other changes in the volume of the security held, at nominal value in nominal currency/unit or euro.

Other changes in volume (market value)

Other changes in the volume of the security held, at market value in euro.

Financial transactions

The sum of purchases minus sales of a security, recorded at transaction value in euro.

Portfolio investment or direct investment

The function of the investment according to the classification of balance of payments statistics34.

Price value

Price of the security at the end of the reference period.

F1Reporting basis

Indicates whether the security is quoted in percentage or in units.

Revaluation adjustments

Price and exchange rate revaluations, as referred to in Part 3.

Security currency of denomination

The International Standards Organisation code, or equivalent, of the currency used to express the price and/or the amount of the security.

F2Issue date

The date on which the securities are delivered to the underwriter by the issuer against payment. This is the date when the securities are available for delivery to investors for the first time.

For a strip this column indicates the date on which the coupon/principal is stripped.

Maturity date

Date on which the debt instrument is actually redeemed.

Security issued by the holder

Indicates whether the security was issued by the holder.

Primary asset classification

Classification of the instrument.

Asset securitisation type

Type of asset provided as security.

Security status

Supplementary attribute that indicates the status of the security, it may indicate whether the instrument is alive or not e.g. defaulted, matured or redeemed early.

Security status date

The date on which a security status as reported under ‘Security status’ came into effect.

Arrears for the instrument

Aggregate amount of principal, interest and any fee payment outstanding at the reference date, which is contractually due and has not been paid (past due). This amount is always to be reported. The figure ‘0’ is to be reported if the instrument was not past due on the reference date.

Date of arrears for the instrument

The date on which the instrument became past due in accordance with Part 2.48 of Annex V to Commission Implementing Regulation (EU) No 680/201435. This is the earliest date for which the instrument has an amount unpaid at the reference date, and it is to be reported if the instrument is past due on the reference date.

Instrument seniority type

Instrument seniority type indicates whether the instrument is guaranteed or not, its rank level and whether it is secured or not.

Collateral geographical location

Geographical allocation of the collateral.

Guarantor identifier code

F5A standard code, agreed with the relevant NCB or, where group data is reported to the ECB pursuant to Article 3a(5), with the ECB, that uniquely identifies a guarantor, and information on the identifier type of the code that is used, e.g. legal entity identifier, EU identifier or national identifier.

Legal entity identifier

A reference code in line with the International Organisation for Standardisation's (ISO) 17442 standard, which is assigned to a legal entity requiring a legal entity identifier (LEI). The LEI code enables the unique identification globally of entities requiring a LEI.

EU identifier

F5EU identifier means a commonly used identification code, agreed with the relevant NCB, or, where group data is reported to the ECB pursuant to Article 3a(5), with the ECB, which enables the unambiguous identification of any entity within the EU.

National identifier

F5National identifier means a commonly used identification code, agreed with the relevant NCB, or, where group data is reported to the ECB pursuant to Article 3a(5), with the ECB, which enables the unambiguous identification of any entity within its country of residency.

Prudential scope of consolidation

Prudential scope of consolidation refers to the consolidation scope as defined in Chapter 2 of Title II of Part One of Regulation (EU) No 575/2013.

International Financial Reporting Standards

International Financial Reporting Standards (IFRS) as defined in Article 2 of Regulation (EC) No 1606/2002 of the European Parliament and of the Council36.

Accounting scope of consolidation

Accounting scope of consolidation refers to the scope of the consolidation for financial reporting according to the IFRS or, if this is inapplicable, to any other national or international standards that apply to the actual reporting agents.

NACE classification

Classification of counterparties according to their economic activities, in accordance with the NACE revision 2 statistical classification as laid down in Regulation (EC) No 1893/2006 of the European Parliament and of the Council37.

NACE code means a level two, three or four NACE code in accordance with Regulation (EC) No 1893/2006.

IRB approach

Internal Ratings Based (IRB) approach to calculate the risk-weighted exposure amounts in accordance with Regulation (EU) No 575/2013.

Level of reporting

F5Level of reporting refers to whether data is reported on an entity-by-entity basis or on a group basis as defined in points 23 and 24 of Article 1. Harmonised accounting and consolidation principles should be applied, in agreement with the relevant NCB, or, where group data is reported to the ECB pursuant to Article 3a(5), with the ECB to the data reported at entity level, i.e. information on entity level should follow the accounting and risk calculation principles of the group to the extent possible.

Reference date

The last date of the reference period to which the data relates i.e. the end of the quarter in accordance with Article 6a.

Holder identifier code

F5A standard code, agreed with the relevant NCB, or, where group data is reported to the ECB pursuant to Article 3a(5), with the ECB, that uniquely identifies the holder and information on the identifier type of the code that is used, e.g. EU identifier or national identifier.

Identifier code of the immediate parent of the holder

F5A standard code, agreed with the relevant NCB, or, where group data is reported to the ECB pursuant to Article 3a(5), with the ECB, that uniquely identifies the immediate legal entity that the holder is a legally dependant part of and information on the identifier type of the code that is used, e.g. legal entity identifier, EU identifier or national identifier.

Issuer is part of the reporting group (prudential scope)

Indicates that the security was issued by an entity of the same group in line with the prudential scope of consolidation.

Issuer is part of the reporting group (accounting scope)

Indicates that the security was issued by an entity of the same group in line with the accounting scope of consolidation.

Issuer identifier code

F5A standard code, agreed with the relevant NCB, or, where group data is reported to the ECB pursuant to Article 3a(5), with the ECB, that uniquely identifies an issuer and information on the identifier type of the code that is used, e.g. EU identifier or national identifier.

Entity status

Supplementary attribute to cover information on the status of the issuing entity, including the default status and information on the reasons why the entity may be in default in accordance with Article 178 of Regulation (EU) No 575/2013), and any other information on the issuing entity's status, such as whether it has merged, been acquired etc.

Entity status date

The date on which the entity changed status.

Status of forbearance and renegotiation

Identification of forborne and renegotiated instruments.

Date of the forbearance and renegotiation status

The date on which a forbearance or renegotiation status as reported under status of forbearance and renegotiation came into effect.

Performing status of the instrument

Identification of non-performing instruments in accordance with Implementing Regulation (EU) No 680/2014.

Date of the performing status of the instrument

The date on which the performing status as reported in performing status of the instrument came into effect or changed.

Default status of the issuer

Identification of the default status of the issuer in accordance with Article 178 of Regulation (EU) No 575/2013.

Date of default status of the issuer

The date on which the default status as reported under the ‘default status of the issuer’ came into effect or changed.

Default status of the instrument

Identification of the default status of the instrument in accordance with Article 178 of Regulation (EU) No 575/2013.

Date of default status of the instrument

The date on which the default status as reported under the ‘default status of the instrument’ came into effect or changed.

Accounting standard

Accounting standard used by the reporting agent.

Carrying amount

The carrying amount in accordance with Annex V to Implementing Regulation (EU) No 680/2014.

Type of impairment

Type of impairment in accordance with the applied accounting standards.

Impairment assessment method

The method by which the impairment is assessed, if the instrument is subject to impairment in accordance with applied accounting standards. A distinction is made between collective and individual methods.

Accumulated impairment amount

The amount of loss allowances that are held against or are allocated to the instrument on the reference date. This data attribute applies to instruments subject to impairment under the applied accounting standard.

Sources of encumbrance

Type of transaction in which the exposure is encumbered in accordance with Implementing Regulation (EU) No 680/2014. An asset will be treated as encumbered if it has been pledged or if it is subject to any form of arrangement to secure, collateralise or credit enhance any instrument from which it cannot be freely withdrawn.

Accounting classification of instruments

Accounting portfolio where the instrument is recorded in accordance with the accounting standard applied by the reporting agent.

Prudential portfolio

Classification of trading book and non-trading book exposures. Instruments in the trading book as defined in point (86) of Article 4(1) of Regulation (EU) No 575/2013.

Accumulated changes in fair value due to credit risk

Accumulated changes in fair value due to credit risk in accordance with Part 2.46 of Annex V to Implementing Regulation (EU) No 680/2014.

Cumulative recoveries since default

The total amount recovered since the date of default.

Probability of default of the issuer

The issuer's probability of default over 1 year determined in accordance with Articles 160, 163, 179 and 180 of Regulation (EU) No 575/2013.

Loss given default in downturns

The ratio of the amount that could be lost on an exposure during economic downturns due to a default over a 1-year period to the amount that would be outstanding at default, in accordance with Article 181 of Regulation (EU) No 575/2013.

Loss given default in normal economic times

The ratio of the amount that could be lost on an exposure in normal economic conditions due to a default over a 1-year period to the amount that would be outstanding at default.

Risk-weight

Risk-weights associated with the exposure, in accordance with Regulation (EU) No 575/2013.

Exposure value (also referred to as Exposure at default)

Exposure value after credit risk mitigation and credit conversion factors in accordance with Implementing Regulation (EU) No 680/2014.

Capital calculation approach for prudential purposes

Identification of the approach used to calculate the risk-weighted exposure amounts for the purposes of points (a) and (f) of Article 92(3) of Regulation (EU) No 575/2013.

Exposure class

Exposure class as defined in accordance with Regulation (EU) No 575/2013.