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

[F1 ANNEX I U.K. Reporting scheme for money market statistics relating to secured transactions

Textual Amendments

F1 Substituted by Regulation (EU) 2019/113 of the European Central Bank of 7 December 2018 amending Regulation (EU) No 1333/2014 concerning statistics on the money markets (ECB/2018/33).

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) .]

[F1 ANNEX 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.]

[F1 ANNEX 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.]

[F2 ANNEX IV U.K. Minimum standards to be applied by the actual reporting population

Textual Amendments

F2 Substituted by Regulation (EU) 2019/1677 of the European Central Bank of 27 September 2019 amending Regulation (EU) No 1333/2014 concerning statistics on the money markets (ECB/2019/29).

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;

(v)

reporting agents must respond with the required information within the deadlines set by the ECB or the relevant NCB to any communication from the ECB or the relevant NCB requesting them to confirm the accuracy of the statistical information or to answer any query regarding its accuracy.

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)

[F1 The 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)

[F1 See ‘ 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)

[F1 The 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)

[F1 The 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.]

Textual Amendments

F1 Substituted by Regulation (EU) 2019/113 of the European Central Bank of 7 December 2018 amending Regulation (EU) No 1333/2014 concerning statistics on the money markets (ECB/2018/33).