Reporting scheme for money market statistics relating to derivatives
ANNEX IIISupplementary provisions
ANNEX III Reporting scheme for money market statistics relating to derivatives PART 1 TYPE OF INSTRUMENTS Reporting agents should report to the European Central Bank (ECB) or the relevant national central bank (NCB): (a) all foreign exchange swaps 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, between the reporting agent and other monetary financial institutions (MFIs), other financial intermediaries (OFIs), insurance corporations, pension funds, general government or central banks for investment purposes as well as with 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 other MFIs, OFIs, insurance corporations, pension funds, general government or central banks for investment purposes as well as with non-financial corporations classified as ‘wholesale’ according to the Basel III LCR framework. PART 2 TYPE OF DATA 1. Type of transaction-based data ( 1 ) for foreign exchange swaps transactions to be reported for each transaction: Field Description of data Alternative reporting option (if any) and other qualifications Transaction identifier The internal unique transaction identifier used by the reporting agent for each transaction. The transaction identifier is unique for any transaction reported on a given reporting date for any money market segment. Reporting date The date on which the data are submitted to the ECB or the NCB. Electronic time stamp The time at which a transaction is concluded or booked. Counterparty code An identification code to be used to recognise the counterparty of the reporting agent for the reported transaction. Where transactions are conducted via a central clearing counterparty (CCP), the CCP legal entity identifier (LEI) must be provided. Where transactions are undertaken with non-financial corporations, OFIs, insurance corporations, pension funds, general government, and central banks and for any other reported transaction for which the counterparty LEI is not provided, the counterparty class must be provided. Counterparty code ID An attribute specifying the type of individual counterparty code transmitted. To be used in all circumstances. An individual counterparty code will be provided. Counterparty location International Organisation for Standardisation (ISO) country code of the country in which the counterparty is incorporated. Mandatory if the individual counterparty code is not provided. Otherwise optional. 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. Transaction sign To be used to identify 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 amount of euro bought or sold on the spot value date. 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 spot leg of the foreign exchange swap transaction. Foreign exchange forward points The difference between the foreign exchange spot rate and the foreign exchange forward rate expressed in basis points quoted in accordance with the prevailing market conventions for the currency pair. Beneficiary in case of transactions conducted via CCPs 2. Type of transaction-based data for OIS transactions to be reported for each transaction Field Description of data Alternative reporting option (if any) and other qualifications Transaction identifier The internal unique transaction identifier used by the reporting agent for each transaction. The transaction identifier must be unique for any transaction reported on a given reporting date for any money market money market segment. Reporting date The date on which the data are submitted to the ECB or the NCB. Electronic time stamp The time at which a transaction is concluded or booked. Optional. Counterparty code An identification code used to recognise the counterparty of the reporting agent for the reported transaction. Where transactions are conducted via a central clearing counterparty (CCP), the CCP LEI must be provided. Where transactions are undertaken with non-financial corporations, OFIs, insurance corporations, pension funds, general government, and central banks and for any other reported transaction for which the counterparty LEI is not provided, the counterparty class must be provided. Counterparty code ID An attribute specifying the type of individual counterparty code transmitted. To be used in all circumstances. An individual counterparty code will be provided. Counterparty location ISO country code of the country in which the counterparty is incorporated. Mandatory if the individual counterparty code is not provided. Otherwise 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 periodic floating interest rate 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 sign A sign to indicate whether the fixed interest rate is paid or received by the reporting agent Transaction nominal amount The nominal amount of the OIS. 3. Materiality threshold Transactions undertaken with non-financial corporations should only be reported when undertaken with non-financial corporations classified as wholesale on the basis of the Basel III LCR Framework. 4. Exceptions Intra-group transactions should not be reported. ( 1 ) The electronic reporting standards and the technical specifications for the data are laid down separately. They are available on www.ecb.int