Guideline of the European Central Bank

of 6 February 2003

concerning certain statistical reporting requirements of the European Central Bank and the procedures for reporting by the national central banks of statistical information in the field of money and banking statistics

(ECB/2003/2)

(2003/652/EC)

THE GOVERNING COUNCIL OF THE EUROPEAN CENTRAL BANK,

Having regard to the Statute of the European System of Central Banks and of the European Central Bank and in particular to Article 5.1, Article 12.1 and Article 14.3 thereof,

Whereas:

(1) Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(1), as amended by Regulation ECB/2002/8(2), provides that, for the purposes of the regular production of the said consolidated balance sheet, the monetary financial institutions (MFIs) which are part of the actual reporting population shall report statistical information relating to their balance sheets to the national central bank (NCB) of the Member State in which they are resident. It is therefore necessary to define the formats and procedures that the NCBs must follow in order to report to the European Central Bank (ECB), in compliance with Regulation ECB/2001/13, statistical information derived from that collected from the actual reporting population and from their own balance sheets. For statistical reporting purposes, the ECB derives data from its own balance sheet, corresponding to the data derived by the NCBs from their balance sheets. The monetary aggregates calculated by the ECB may include deposit liabilities and close substitutes for deposit liabilities issued by the central government. It is also necessary to define formats and procedures for the regular production of the flows statistics derived from the consolidated balance sheet of the MFI sector and from additional information from the NCBs.

(2) Since the adoption of Guideline ECB/2002/5 of 30 July 2002 concerning certain statistical reporting requirements of the European Central Bank and the procedures for reporting by the national central banks of statisticalinformation in the field of money and banking statistics(3), the exchange of statistical information within the Eurosystem has developed significantly, due to the entry into force of Regulation ECB/2001/13 and Regulation ECB/2001/18 of 20 December 2001 concerning statistics on interest rates applied by monetary financial institutions to deposits and loans vis-à-vis households and non-financial corporations(4). It is therefore necessary to update the annexes to Guideline ECB/2002/5 by means of the present Guideline.

(3) The ECB, in cooperation with the NCBs, identifies and records the features of e-money schemes in the European Union (EU), the availability of the statistical information concerned and the compilation methods related to it.

(4) Supplementary data on the credit institutions' balance sheets and other structural indicators concerning the banking system are necessary for the conduct of macro-prudential and structural analysis at European level.

(5) Supplementary data relating to other financial intermediaries, except insurance corporations and pension funds (hereinafter "OFIs") are necessary in order to complete the statistical picture of the euro area. Indeed, activities undertaken by OFIs are similar and complementary to those undertaken by MFIs and, in particular, given that for ECB statistical purposes balance sheet data on OFIs totally or partially owned by MFIs are not included in the MFIs' balance sheets, it is important to collect these data. In this area the ECB follows for the time being a short-term approach consisting of compiling statistics using information available at national level.

(6) Supplementary data on the sales/transfers of MFI loans to third parties (securitisation) are necessary to monitor the possible impact of these developments on the loans granted by credit institutions to the other resident sectors. Sales/transfers of MFI loans to third parties may reduce the amounts reported by MFIs without effectively affecting the financing of the other resident sectors.

(7) The ECB may act as a gateway for the NCBs to transmit supplementary money and banking statistics to the IMF.

(8) Certain common rules have to be set for the publication, by the NCBs, of statistical information concerning the consolidated balance sheet of the MFI sector in order to ensure an orderly release of the related key market sensitive aggregates.

(9) Regulation ECB/2002/13 provides that the statistical information reported by credit institutions in accordance with its rules shall be used to calculate the reserve base in accordance with Regulation ECB/1998/15 of 1 December 1998 on the application of minimum reserves(5), as last amended by Regulation ECB/2002/3(6). For analytical purposes the ECB must produce monthly statistics on the breakdown of the aggregate reserve base according to the types of liabilities.

(10) Regulation ECB/2001/13 provides that the ECB shall establish and maintain a list of MFIs for statistical purposes, taking into account the requirements in respect of frequency and timeliness which arise from its use in the context of the minimum reserve system of the European System of Central Banks (ESCB). It is therefore necessary to define the formats and procedures that the NCBs must follow in order to report to the ECB the information it requires to fulfil the said task.

(11) With the aim of improving the quality of the euro area MFI sector balance sheet statistics, common rules have to be set for grossing up for small MFIs that have been relieved of full reporting requirements in accordance with Article 2.2 of Regulation ECB/2001/13.

(12) Information about securities issues complements the statistics on the MFI sector, since for borrowers securities issues are an alternative to bank finance, and holders of financial assets may view securities issued by non-banks as partial substitutes for bank deposits and negotiable instruments issued by banks. A sectoral breakdown of the issuing activity highlights the relative importance of the demands of the public and private sectors on the capital markets and assists in accounting for movements in market interest rates, particularly in the case of medium to long-term maturities. Information on securities issues in euro may be used to assess the role of the euro in international financial markets; for these purposes, securities issues statistics are required comprising all issues by euro area residents in any currency and all issues made worldwide in euro, both domestic and international. In this area the ECB follows for the time being a short-term approach consisting of compiling securities issues statistics using information available at national and international level.

(13) The ECB needs to monitor the transmission of monetary policy through changes in the interest rates applied to the main refinancing operations of the ESCB, in order to understand better the structure and functioning of the price mechanism on monetary aggregates and in financial markets and to assess sectoral financial conditions. For this purpose, statistical information on the development of interest rates applied by MFIs to deposits and loans vis-à-vis households and non-financial corporations (hereinafter "MFI interest rates") is required; it is therefore necessary to define the formats and procedures that the NCBs must follow in order to report such information to the ECB, in compliance with Regulation ECB/2001/18. Until MFI interest rate statistics of sufficient quality are available at euro area level, the ECB will follow a short-term approach with respect to retail interest rates, consisting of compiling, on the basis of information available at the national level and without creating an additional reporting burden on the reporting population, a limited number of aggregate retail interest rates covering the euro area viewed as one economic territory. For a more detailed analysis of retail interest rates the ECB will then rely in particular on key national rates, i.e. those interest rates that are considered to be the main indicators of retail financial market conditions in the Member State concerned, as usually monitored by the users.

(14) It is necessary to set up a procedure to carry out technical amendments to the annexes to this Guideline in an effective manner, provided that such amendments neither change the underlying conceptual framework nor affect the reporting burden. Account will be taken of the views of the Statistics Committee of the ESCB when following this procedure. NCBs may propose such technical amendments to the annexes to this Guideline through the Statistics Committee.

(15) In accordance with Article 12.1 and Article 14.3 of the Statute, ECB guidelines form an integral part of Community law,

HAS ADOPTED THIS GUIDELINE:

Article 1

Definitions

For the purposes of this Guideline:

1. the terms "participating Member State" and "resident" shall have the same meaning as defined in Article 1 of Council Regulation (EC) No 2533/98 of 23 November 1998 concerning the collection of statistical information by the European Central Bank(7);

2. the term "euro area" shall mean the economic territory of the participating Member States, and the ECB;

3. the term "Eurosystem" shall mean the NCBs of the participating Member States and the ECB;

4. the term "credit institution" shall have the same meaning as in Section I.2 of Part 1 of Annex I to Regulation ECB/2001/13.

Article 2

Consolidated balance sheet of the MFI sector and derivation of flows

1. The NCBs shall compile and report two aggregate balance sheets of the subsectors "central bank" and "other MFIs" of their respective Member State, in accordance with Regulation ECB/2001/13. In particular, the required statistical information concerning the central bank balance sheet is further defined in the bridging tables for money and banking statistics as laid down in Annex I. The ECB, for statistical reporting purposes, derives data from its own balance sheet, corresponding to the data derived by the NCBs from their own balance sheets. As compilers of their own balance sheets, the NCBs shall follow the procedure laid down in Annex II in their regular monitoring of the consistency between the Eurosystem's end-month aggregated balance sheet for statistical purposes and its weekly financial statement and in their regular reporting to the ECB of the outcome of their monitoring. As the compiler of its own balance sheet, the ECB follows the same procedure. This statistical information shall be reported in accordance with the calendar set out in Annex III.

2. To the extent that it is available, NCBs shall report further statistical information on e-money issued by MFIs and non-MFIs, in accordance with the list of items laid down in Annex IV. Monthly data shall be submitted to the ECB at least twice a year. The ECB, in cooperation with the NCBs, identifies and records, on a yearly basis, the features of e-money schemes in the EU, the availability of the statistical information concerned and the compilation methods related to it.

3. To allow the ECB to carry out a macro-prudential analysis of, and an analysis of structural developments in, the European banking sector, NCBs shall report balance sheet data on the credit institutions sector and other structural indicators in accordance with Annexes V and VI.

4. For the purposes of the compilation of the monetary aggregates, the NCBs shall report statistical information on central government deposit liabilities and holdings of cash and securities in accordance with Annex VII and data on the holders of money market funds shares/units in accordance with the residency breakdown laid down in Annex VIII, as a supplement to and with the same frequency and timeliness as the statistical information to be provided in accordance with Regulation ECB/2001/13.

5. To the extent that it is available, including on a best estimate basis, or that the business concerned is significant from a monetary point of view, the NCBs shall report further statistical information in accordance with the list of memorandum items laid down in Annex IX as a supplement to and with the same frequency and timeliness as the statistical information to be provided in accordance with Regulation ECB/2001/13. The ECB, in cooperation with the NCBs, identifies and records the availability of the statistical information concerned and the compilation methods related to it.

6. To allow the ECB to derive flows statistics relating to monetary aggregates and counterparts, the NCBs shall report statistical information in accordance with Annex X.

7. Without prejudice to the statutory obligations of the NCBs vis-à-vis the IMF, the NCBs may decide to use the ECB as a gateway to transmit supplementary money and banking statistics to the IMF. These statistics and their related reporting instructions are described in Annex XI.

8. NCBs shall not publish national contributions to the monthly euro area monetary aggregates until the ECB has published these aggregates. Where NCBs publish such data, they shall be the same as those that contributed to the last published euro area aggregates. Where NCBs reproduce euro area aggregates published by the ECB, they shall reproduce them faithfully.

9. To the extent that it is available, including on a best estimate basis, NCBs shall report statistical information on sales/transfers of MFI loans to third parties (securitisation) in accordance with Annex XII.

10. Where necessary, the NCBs shall send revisions to the ECB in accordance with the policy laid down in Annex XIII.

11. The required statistical information shall be reported to the ECB in a form that meets the requirements laid down in Annex XIII. This Annex also describes the form in which the ECB will return statistical information to the NCBs.

12. In order to ensure the quality of the euro area MFI balance sheet statistics, where NCBs grant derogations to small MFIs in accordance with Article 2.2 of Regulation ECB/2001/13 they shall, in accordance with Annex XIV, gross up to 100 % coverage for these MFIs in the compilation of the monthly and quarterly MFI balance sheet data reported to the ECB.

Article 3

Statistics on the reserve base and standardised deductions from the reserve base

1. To allow the regular production of statistics on the reserve base, NCBs shall report to the ECB statistical information in accordance with Annex XV.

2. In order to monitor the accuracy of the current standardised deductions from the reserve base which credit institutions may apply to the outstanding amounts of their debt securities issued with an agreed maturity of up to two years and of their money market paper liabilities in accordance with Article 3.2 of Regulation ECB/1998/15, the ECB makes calculations on a monthly basis, using end-month statistical information that credit institutions submit to NCBs in accordance with Regulation ECB/2001/13. The NCBs shall compile the required aggregates in accordance with Annex XVI and shall report these aggregates to the ECB.

Article 4

List of MFIs for statistical purposes

In order that the list of MFIs for statistical purposes remains accurate and up-to-date, NCBs shall report updates in accordance with Annex XVII.

Article 5

Balance sheet data on OFIs

For the regular production by the ECB of statistics on the activity of resident OFIs, NCBs shall report statistical information, to the extent that it is available, in accordance with Annex XVIII.

Article 6

Securities issues

For the regular production by the ECB of securities issues statistics covering all issues by euro area residents in any currency and all issues made worldwide in euro, both domestic and international, NCBs shall report statistical information, to the extent that it is available, in accordance with Annex XIX within a deadline of five weeks of the end of the reference month.

Article 7

MFI interest rate statistics

1. For the regular production by the ECB of MFI interest rate statistics, NCBs shall report statistical information in accordance with Annex XX. This statistical information shall be reported in accordance with the calendar set out in Annex III.

2. Until MFI interest rate statistics of sufficient quality are available at euro area level, but in any case not beyond the reference month December 2003, NCBs shall continue to report statistical information referring to retail interest rate statistics in accordance with Annex XXI within a deadline of 18 working days of the end of the reference month. The calendar is set out in Annex III. An NCB may replace its national components of the euro area retail interest rates as described in Annex XXI by appropriate statistical information collected for MFI interest rate statistics, but in this case shall respect the said deadline of 18 working days of the end of the reference month.

3. Until MFI interest rate statistics of sufficient quality are available at euro area level, but in any case not beyond the reference month December 2003, NCBs shall also regularly report to the ECB key national retail interest rates, i.e. those interest rates that are considered to be the main indicators of retail financial market conditions in the Member State concerned, as usually monitored by the users.

Article 8

Quality of the statistical information

Without prejudice to the ECB's rights regarding verification set out in Regulation (EC) No 2533/98 and Regulation ECB/2001/13, the NCBs shall monitor and ensure the quality and reliability of statistical information made available to the ECB.

Article 9

Transmission standards

The NCBs shall use the facility provided by the ESCB, which relies upon the telecommunications network "ESCB-Net", for the electronic transmission of the statistical information required by the ECB. The statistical message format developed for this electronic exchange of statistical information shall be the standard format agreed by the Statistics Committee. This requirement shall not prevent the use of any other means of transmitting statistical information as a fall back solution, if the ECB agrees.

Article 10

Simplified amendment procedure

Taking account of the views of the Statistics Committee, the Executive Board of the ECB shall be entitled to make technical amendments to the annexes to this Guideline, provided that such amendments neither change the underlying conceptual framework nor affect the reporting burden of reporting agents in Member States.

Article 11

Repeal

Guideline ECB/2002/5 of 30 July 2002 is hereby repealed.

Article 12

Final provisions

This Guideline is addressed to the NCBs of participating Member States.

This Guideline shall enter into force on 11 February 2003.

This Guideline shall be published in the Official Journal of the European Union.

Done at Frankfurt am Main, 6 February 2003.

On behalf of the Governing Council of the ECB

Willem F. Duisenberg

(1) OJ L 333, 17.12.2001, p. 1.

(2) OJ L 330, 6.12.2002, p. 29.

(3) OJ L 220, 15.8.2002, p. 67.

(4) OJ L 10, 12.1.2002, p. 24.

(5) OJ L 356, 30.12.1998, p. 1.

(6) OJ L 106, 23.4.2002, p. 9.

(7) OJ L 318, 27.11.1998, p. 8.

ANNEX I

BRIDGING TABLES FOR MONEY AND BANKING STATISTICS

The national central banks (NCBs) and the European Central Bank (ECB), as compilers of their own balance sheet statistical information, use the following bridging tables in their regular monitoring of the consistency between the Eurosystem's end-month aggregated balance sheet for statistical purposes and the daily financial statements for accounting and liquidity management purposes. This statistical information should be reported in accordance with the calendar set out in Annex III.

The bridging tables provide a detailed link between the accounting balance sheet items and the items to be reported for statistical purposes.

They provide guidance for both the monthly and the quarterly statistical requirements. They are accompanied by auxiliary tables that allow further reconciliation between the accounting and the statistical balance sheets.

The left-hand side of the bridging tables gives, for each cell of Tables 1, 2, 3 and 4 of Annex I to Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(1) as amended by Regulation ECB/2002/8(2), the item number, description and breakdown; the right-hand side of the bridging tables gives, for each accounting item, the item number, description and breakdown requested. Certain Regulation ECB/2001/13 balance sheet items are not applicable to the ECB's/NCBs' balance sheets (they are indicated as "n/a").

The auxiliary tables replicate the original Tables 1, 2, 3 and 4 of Regulation ECB/2001/13. They include in each cell the number of the relevant accounting items.

Furthermore, in compiling these statistical data, NCBs are required to follow the harmonised accounting rules established in Guideline ECB/2002/10 of 5 December 2002(3) on the legal framework for accounting and reporting in the European System of Central Banks, with certain exceptions. The main exception is expected to be that they are required to revalue their securities portfolio on a monthly rather than quarterly basis, as required for accounting purposes.

Another exception is that, for statistical purposes, accounting items 9.5 "other claims within the Eurosystem (net)" and 10.4 "other liabilities within the Eurosystem (net)" need to be reported on a gross basis. Conversely, item 14 "revaluation accounts" is reported on a gross basis for accounting purposes (unrealised losses are reported under item 11 "other assets") and on a net basis for statistical purposes.

BRIDGING TABLE FOR MONEY & BANKING STATISTICS

(Monthly data)

>TABLE>

Domestic intra-Eurosystem positions apply only to ECB or Deutsche Bundesbank.

BRIDGING TABLE FOR MONEY & BANKING STATISTICS

(Monthly data)

>TABLE>

Domestic intra-Eurosystem positions apply only to ECB or Deutsche Bundesbank.

BRIDGING TABLE FOR MONEY AND BANKING STATISTICS

Sector breakdown (Quarterly data)

>TABLE>

BRIDGING TABLE FOR MONEY AND BANKING STATISTICS

Sector breakdown (Quarterly data)

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BRIDGING TABLE FOR MONEY AND BANKING STATISTICS

Country breakdown (Quarterly data)

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BRIDGING TABLE FOR MONEY AND BANKING STATISTICS

Country breakdown (Quarterly data)

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BRIDGING TABLE FOR MONEY AND BANKING STATISTICS

Currency breakdown (Quarterly data)

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BRIDGING TABLE FOR MONEY AND BANKING STATISTICS

Currency breakdown (Quarterly data)

>TABLE>

>TABLE>

Numbers in cells refer to the accounting items as defined in Guideline ECB/2002/10 of 5 December 2002 on the legal framework for accounting and financial reporting in the European System of Central Banks.

>PIC FILE= "L_2003241EN.012601.TIF">

>TABLE>

Numbers in cells refer to the accounting items as defined in Guideline ECB/2002/10 of 5 December 2002 on the legal framework for accounting and financial reporting in the European System of Central Banks.

>PIC FILE= "L_2003241EN.012901.TIF">

TABLE 2

Sector breakdown

Data to be provided at a quarterly frequency

>TABLE>

Numbers in cells refer to the accounting items as defined in Guideline ECB/2002/10 of 5 December 2002 on the legal framework for accounting and financial reporting in the European System of Central Banks.

>PIC FILE= "L_2003241EN.013201.TIF">

TABLE 3

Country breakdown

Data to be provided at a quarterly frequency

>TABLE>

Numbers in cells refer to the accounting items as defined in Guideline ECB/2002/10 of 5 December 2002 on the legal framework for accounting and financial reporting in the European System of Central Banks.

>PIC FILE= "L_2003241EN.013501.TIF">

TABLE 4

Currency breakdown

Data to be provided at a quarterly frequency

>TABLE>

Numbers in cells refer to the accounting items as defined in Guideline ECB/2002/10 of 5 December 2002 on the legal framework for accounting and financial reporting in the European System of Central Banks.

>PIC FILE= "L_2003241EN.013801.TIF">

(1) OJ L 333, 17.12.2001, p. 1.

(2) OJ L 330, 6.12.2002, p. 29.

(3) OJ L 58, 3.3.2003, p. 1.

ANNEX II

COMPARISON BETWEEN ACCOUNTING AND STATISTICAL DATA IN RESPECT OF THE EUROSYSTEM BALANCE SHEET

COMPILERS' GUIDE TO A CHECKING PROCEDURE BETWEEN ACCOUNTING AND STATISTICAL DATA

1. This Annex describes the procedure to be followed by compilers of the European Central Bank's (ECB's)/national central banks' (NCBs') balance sheets in order to monitor the consistency between the Eurosystem's end-month aggregated balance sheet for statistical purposes and its weekly financial statement (WFS). A comparison is made between two tables of the ECB Monthly Bulletin: Table 1.1 containing accounting data ("Consolidated financial statement of the Eurosystem") and Table 2.1 containing statistical data ("Aggregated balance sheet of the Eurosystem").

2. A list of consistency checks has been made (see Appendix 1). If there are any discrepancies between the two sets of data, these must be explained. Appendix 2 provides explanatory notes regarding these checks. The statistical aggregates of Table 2.1 used in the comparisons are listed in Appendix 3, which provides a link between these aggregates and the elementary balance sheet data(1). As regards the description of accounting data, Guideline ECB/2002/10 of 5 December 2002 on the legal framework for accounting and financial reporting in the European System of Central Banks provides complete background information on the structure, accounting conventions used in and content of the WFSs.

3. Compilers are requested to perform these checks on a monthly basis, to ensure consistency between the elementary data of the NCBs, country-by-country, and the ECB balance sheet. It is understood that a precise link between the two sets of data is possible only when the closing date of the accounting WFS matches the reference date of the statistical reports (i.e. end-month). In the other reporting periods, these checks will ensure close but not perfect consistency between the accounting and statistical data. In those reporting periods in which the two dates do not coincide, NCBs may make a comparison of the statistical data with the 'daily balance sheet' produced as at the last working day of the month.

4. Compilers are requested to notify the ECB (Money and Banking Statistics Division (MBSD)) of the outcome of these checks. The notification should be transmitted before or together with the statistical data, i.e. by the fifteenth working day after the reference date. If the checks identify discrepancies, compilers are requested to send the MBSD an explanatory note, which should at least contain a description of the checks involved, the nature of the discrepancies, the possible impact on past data series and the expected future trend of the discrepancy as this will appear in future reports.

5. In order to minimise the burden on the NCBs, it is recommended that a full explanatory note should be compiled in a complete and detailed manner normally only once a year. In the interim months, NCBs are only required to complete a simplified version of the explanatory note in which they simply flag the structural differences between the WFS and the statistical report. As a guide, the explanatory notes should be compiled according to the attached templates. The first template (Appendix 4) shows in full the outcome of consistency checks. The second template (Appendix 5) shows in a simplified manner the outcome of the checks.

6. It is important that all NCBs (and the ECB's Directorate Internal Finance) send full explanatory notes at the same time of the year. This will allow the MBSD to prepare once a year a detailed report describing the discrepancies identified. For the year 2002, the following timetable shows which template is recommended to be used and when. In particular, the next comprehensive template should preferably be sent in December 2003 with reference to end-November 2003 data.

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(1) A full description of the elementary balance sheet data is to be found in Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector, Annex I, Part III, OJ L 333, 17.12.2001, as amended by Regulation ECB/2002/8, 21.11.2002, OJ L 330, 6.12.2002, p. 29.

Appendix 1

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Appendix 2

CHECKS

EXPLANATORY NOTES

Liabilities

Check No 1

Currency in circulation: The statistical category "currency in circulation" should slightly exceed the accounting category "banknotes in circulation" due to the inclusion of coins issued by central government in the former but not in the latter.

Check No 2

Deposits of euro area residents: The statistical category "deposits of euro area residents" should be larger than the sum of the accounting items "liabilities to euro area credit institutions in euro", "other liabilities to euro area credit institutions in euro", "liabilities to other euro area residents in euro" and "liabilities to euro area residents in foreign currency". This is the effect of the inclusion of intra-system positions, at an aggregated level, within the statistical category (recorded on a gross basis), but their exclusion from the accounting items(1). However, the accounting items include the intra-Eurosystem positions representing the counterpart to the euro banknote adjustments which is recorded under "remaining assets/liabilities" for statistical purposes. Hence, the statistical category may as a result be smaller than the sum of the above-mentioned accounting items. Differences may also arise as balances in foreign currency are revalued at a different frequency (quarterly as regards the accounting data, monthly as regards the statistical data).

Check No 3

Deposits of euro area residents, of which monetary financial institutions (MFIs): This check should separately identify the impact of the inclusion of intra-system balances on a gross basis within the statistical category, but their exclusion from the accounting categories(2). In principle, as mentioned above, the statistical data should be larger than the accounting data. However, as said above, the different classification of the counterpart to the euro banknotes adjustments may reverse this relationship. Moreover, only the statistical aggregate includes liabilities to financial counterparties in foreign currency.

Check No 4

Deposits of other euro area residents: The sum of the statistical categories representing deposits placed by general government and by other residents should be smaller than the sum of the accounting categories for liabilities to other euro area residents in euro (non-credit institutions) and liabilities to euro area residents in foreign currency, due to the inclusion of liabilities to credit institutions in foreign currency only in the accounting data.

Check No 5

Debt securities issued: The statistical category "debt securities issued" should equal the accounting category "debt certificates issued".

Check No 6

Capital and reserves: The statistical category "capital and reserves" may differ slightly from the accounting one and the difference will be explained by the revaluation effect which takes place on a quarterly basis in some NCBs. Moreover, a difference arises as the accounting balance sheet item profits not yet allocated and some of the item provisions account are both recorded as a subset of the residual item in the accounting data, but are part of the statistical definition of "capital and reserves".

Check No 7

External liabilities: The statistical category "external liabilities" should be approximately the same as the sum of liabilities to non-euro area residents in euro and in foreign currency and the counterpart of special drawing rights allocated by the International Monetary Fund. The two values can only differ due to different valuation periodicity.

Check No 8

Residual item: Any difference between the statistical category "remaining liabilities" and the accounting category "other liabilities" might be explained by the differences identified elsewhere in the balance sheet.

Assets

Check No 9

Loans to euro area residents: See explanatory notes to Checks Nos 10 and 11.

Check No 10

Loans to MFIs resident in the euro area: The statistical category "loans to euro area residents, of which MFIs" should be larger than the sum of accounting items "lending to euro area credit institutions in euro" and "other claims on euro area credit institutions in euro". Any difference must be due mainly to intra-system positions being reported gross in the statistical data, but netted out from the accounting report (see also liabilities)(3). Moreover, accounting data do not include balances in foreign currency.

Check No 11

Loans to general governments resident in the euro area: The accounting and the statistical categories should coincide almost perfectly although the statistical category is an all-currency concept and may be larger than the accounting category, which refers to loans denominated in euro only.

Check No 12

Holdings of securities other than shares issued by euro area residents: In theory, the statistical category "securities other than shares issued by euro area residents" should be larger than the accounting category "securities of euro area residents in euro" because the accounting category does not include holdings of securities denominated in foreign currency and some other securities holdings are classified under "other assets" (for staff pension funds, investment of own capital, etc.).

Check No 13

Residual item: See explanatory note to Check No 8.

Check No 14

External assets: The statistical category "external assets" should be slightly larger than the sum of the accounting categories "gold and gold receivables" and "claims on non-euro area residents in foreign currency and in euro", because some shares and other equity and cash (banknotes) in foreign currency are included only in the former. The two values can also differ due to different valuation periodicity.

(1) However, from a national perspective, this effect should not be present, since both sets of data are reported on a gross basis whilst only accounting data are consolidated by the European Central Bank (and intra-system positions are netted out) for the purpose of the weekly financial statement.

(2) However, from a national perspective, this effect should not be present, since both sets of data are reported on a gross basis whilst only accounting data are consolidated by the European Central Bank (and intra-system positions are netted out) for the purpose of the weekly financial statement.

(3) However, from a national perspective, this effect should not be present, since both sets of data are reported on a gross basis whilst only accounting data are consolidated by the European Central Bank (and intra-system positions are netted out) for the purpose of the weekly financial statement.

Appendix 3

Link between the items of table 2.1 of the ECB Bulletin and the items of table 1 of the monthly statistical reports

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Appendix 4

Template for the annual comprehensive explanatory note on consistency checks

Name of the national central bank: ...

Consistency checks for the end-month of: ...

Outcome of the consistency checks: All checks meet/do not meet the linear relationships identified in Annex II (please explain any cases where the linear relationships do not hold). The discrepancies identified between statistical and accounting data can be explained by the following factors (one or more of the factors might not be relevant).

Discrepancies due to revisions

The discrepancy/discrepancies identified in Check No(s) ... is/are due to the following revisions made to the statistical data subsequent to the publication of the accounting data of the weekly financial statement: ...

If applicable, impact on past data series: ...

One-off revision or regular revision?

If regular revision, please indicate order of magnitude: ...

Discrepancies due to different presentation and classification rules

1. The discrepancy/discrepancies identified in Check No(s) ... is/are due to different presentation rules: the accounting reports are presented on a consolidated basis, while statistical reports are shown in terms of aggregate balance sheet. This difference in the presentation rules used affects the results of the checks involving intra-system positions (Check Nos 2, 3, 9 and 10). In these cases statistical data record much larger amounts than accounting data.

Example: The treatment of positions vis-à-vis other Eurosystem national central banks explains the difference of EUR ... million in Check No(s) ...

If applicable, impact on past data series: ...

One-off revision or regular revision?

If regular revision, please indicate order of magnitude: ...

2. The discrepancy/discrepancies identified in Check No(s) ... is/are due to different classification criteria.

Example: In Check No 6 "capital and reserves" profits not yet allocated and some of the provisions account are recorded in the residual item in the accounting data, but are part of the statistical definition of "capital and reserves".

Example: In Check No 1 "currency in circulation", coins issued by central government are included in the statistical data but not in the corresponding accounting item.

If applicable, impact on past data series: ...

One-off revision or regular revision?

If regular revision, please indicate order of magnitude: ...

Any other discrepancies, including reporting errors

The discrepancy/discrepancies identified in Check No(s) ... is/are due to misreporting, i.e. data reported wrongly on account of human error and/or other reasons. If applicable, impact on past data series: ...

Appendix 5

Template for the monthly simplified explanatory note on consistency checks

Name of the NCB: ...

Consistency checks for the end-month: ...

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Annex III

DELIVERY CALENDAR FOR BALANCE SHEET ITEMS STATISTICS

Covering the reference period January 2003 - December 2003

Reporting of monthly and quarterly balance sheet items statistics

>TABLE>

Denotes not applicable.

DELIVERY CALENDAR FOR RETAIL INTEREST RATES STATISTICS (SHORT-TERM APPROACH)((As the exact time of the transition to monetary financial institution interest rates (hereinafter "MIR") is not yet foreseeable, the delivery calendar for retail interest rates (RIR) statistics has been drafted until the reference period December 2003. The RIR delivery calendar is expected to be repealed in the course of the year 2003, which will be done using the simplified amendment procedure referred to in Article 9 of this Guideline.))

Covering the reference period January 2003 - December 2003

Reporting of retail interest rates statistics

>TABLE>

DELIVERY CALENDAR FOR MFI INTEREST RATE STATISTICS

Covering the reference period January 2003 - December 2003

Reporting of MFI interest rates statistics

>TABLE>

DELIVERY CALENDAR FOR RESERVE BASE STATISTICS

Covering the reference period January 2003 - December 2003

Reporting of reserve base statistics

>TABLE>

DELIVERY CALENDAR FOR MACRO RATIO STATISTICS

Covering the reference period January 2003 - December 2003

Reporting of macro ratio statistics

>TABLE>

DELIVERY CALENDAR FOR OTHER FINANCIAL INTERMEDIARIES STATISTICS

Covering the reference period Q1 2003 - Q4 2003

Reporting of other financial intermediaries statistics

>TABLE>

Denotes not applicable.

DELIVERY CALENDAR FOR STRUCTURAL STATISTICAL INDICATORS

Covering the reference period 2002 - 2003

Reporting of structural statistical indicators

>TABLE>

ANNEX IV

E-MONEY MONTHLY DATA TO BE PROVIDED ON A BIANNUAL BASIS

Reporting schemeE1 to E5: series to be reported under e-money reporting scheme

Shaded cells: series that might be reported in the future but are not relevant for the time being

>TABLE>

>TABLE>

TABLE C

Definition of e-money for statistical purposes

E-money. For statistical purposes, e-money refers to an electronic store of prepaid monetary value on a technical device, such as a prepaid card, that may be widely used for making payments to entities other than the issuer without necessarily involving bank accounts in the transaction. The device acts as a prepaid bearer instrument. To be considered as e-money these devices must operate as general purpose payment instruments(1). Two types of e-money can be identified based on the technical device where they are stored(2):

Hardware-based e-money (e.g. prepaid cards). E-money products which provide the customer with a portable electronic device, typically an integrated circuit card containing a microprocessor chip.

Software-based e-money. E-money products which use specialised software on a personal computer and which can typically be used to transfer the electronic value via telecommunication networks such as the Internet.

This definition is consistent with Article 1(6) of Council Regulation (EC) No 2533/98 of 23 November 1998 concerning the collection of statistical information by the European Central Bank(3).

(1) A definition of "general purpose" might be needed. (In such a case, the Payment and Settlement Systems Committee would be consulted.)

(2) Definitions provided by the European Central Bank (ECB). These products were defined in the ECB's Report on Electronic Money, August 1998. Both systems allow electronic value to be transferred. The only real difference between hardware and software-based products lies in the type of security measures used. It must also be clarified that prepaid cards are not money themselves; only e-money stored in a chip embedded in the cards may be considered as money, and hence transferable to third parties.

(3) OJ L 318, 27.11.1998, p. 8.

Appendix

TRANSMISSION PROCEDURES REGARDING E-MONEY REPORTING REQUIREMENTS

1. Data requirements

The data transmission to the ECB includes the following series:

- e-money issued by the "other MFIs" sector in the form of hardware-based money (prepaid cards), with no reference to the holding sector,

- e-money issued by the "other MFIs" sector in the form of software-based money, with no reference to the holding sector.

These supplementary series are reported to the ECB within the framework of balance sheet items (BSI) memorandum items.

A different reporting framework will initially be used for the data on e-money issued by non-MFIs(1).

2. Reporting scheme and coding structure

The BSI key family is used to define the series keys for the e-money series to be reported by the national central banks (NCBs) to the ECB. The reporting standards for the BSI key family are included as Annex XIII. The main characteristics of the reporting scheme for e-money and the differences with respect to the BSI reporting scheme are outlined below.

Frequency

The frequency of available data on e-money balances differs between the participating Member States. In most of the NCBs data are available on a monthly basis, while in a few cases they are available on a less frequent basis (quarterly or biannually). Therefore, e-money items can be reported to the ECB as a minimum on a biannual basis using the frequency code value "M", from the code list CL_FREQ, to allow also a more frequent reporting by those countries that are in the position to do so. The value used to indicate the reference month will reflect the last month of the relevant time period(2).

Balance sheet reporting sectoral breakdown

Only issues of e-money by the "other MFIs" sector are considered within this reporting scheme. The code value "A" from the code list CL_BS_REP_SECT is used for this purpose.

BSIs

E-money is classified within the MFIs sector balance sheet data reporting scheme as part of "overnight deposits"(3). The following two BSIs on the liabilities side of the balance sheet of the MFI sector are used for the statistical reporting:

- overnight deposits - of which e-money: hardware-based e-money,

- overnight deposits - of which e-money: software-based e-money.

The code values "LE1" for "hardware-based e-money" and "LE2" for "software-based e-money" from the code list CL_BS_ITEM are used here.

Counterparty area

The reporting scheme foresees the submission of e-money items with no reference to the counterparty area. The positions are classified as "not allocated" and the code value "Z5" from the code list CL_COUNT_AREA is used for the counterparty area.

Balance sheet counterparty sector

Similarly to the counterparty area, the counterparty sector is not identified in this reporting scheme and the e-money items are currently defined with no reference to the holding sector. The counterparty sector is not specified and the code value "0000" from the code list CL_COUNT_SECTOR is used.

Currency of transaction

E-money items are reported according to a currency breakdown, and the issues in euro ("EUR") and in other currencies ("Z06") are identified separately.

3. Data transmission

The e-money series identified in this reporting scheme are transmitted by the NCBs to the ECB at least on a biannual basis, and precisely by the last working day of March and September. According to the NCBs' data availability, more frequent data transmissions are foreseen and can take place by the last working day of the month following the end of the reference period(4).

(1) For the time being, data on the issuance of e-money by non-MFIs is reported to the ECB on an Excel spreadsheet. No series key is defined in this reporting scheme for this item. The series will need to be reported to the ECB by the Member States where the phenomenon is applicable following the timetable set out in paragraph 3.

(2) Last month of the quarter or last month of the semester to which the item refers.

(3) As defined in Table1 of Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector, OJ L 333,17.12.2001, p. 1, as amended by Regulation ECB/2002/8, OJ L 330, 6.12.2002, p. 29.

(4) For those NCBs for which e-money balances are available with a longer timeliness, the last available data can be reported by the last working day of the month.

ANNEX V

STATISTICS FOR MACRO-PRUDENTIAL ANALYSIS

REPORTING SCHEME FOR CREDIT INSTITUTIONS

Introduction

1. In order to carry out macro-prudential analysis of the European Union banking system, a reporting scheme is required for the provision of balance sheet data on credit institutions.

2. Data from separate balance sheets relating to the European Central Bank (ECB)/national central banks (NCBs) and other monetary financial institutions (MFIs) are currently reported according to Tables 1 to 4 of Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(1) as amended by Regulation ECB/2002/8(2). These data are, however, not sufficient for the purposes of macro-prudential analysis for those countries where the reporting population of other MFIs consists of both credit institutions and money market funds (MMFs) and the impact of the latter is significant(3). In these cases, a separate reporting scheme for credit institutions only is needed to calculate the macro-prudential indicators (MPIs) related to the subset of credit institutions. This also meets the Commission's (Eurostat's) need to receive annual balance sheet statistics for the purposes of financial services statistics.

Reporting scheme

3. In order to calculate the MPIs, those NCBs that meet the necessary criteria report separate data referring to credit institutions only in respect of Tables 1, 2 and 4 of Regulation ECB/2001/13. Regarding Table 1, the entire table is required for the calculation of the MPIs(4). In respect of Tables 2 and 4, only a part of the series contained in these tables is currently needed for the calculation of MPIs. However, for ease of implementation of the additional reporting and to accommodate possible future needs, NCBs report the remaining series on a voluntary basis. No data are requested under Table 3 (hence no additional statistical data for credit institutions are required). Data on credit institutions are reported at a quarterly frequency, both for stocks and, where appropriate, in respect of flows adjustments.

4. NCBs report Table 1 (stocks and flows), Table 2 and Table 4, with figures referring only to credit institutions (cf. reporting schemes in Appendix 2). Whilst for Table 1 a full report is mandatory(5), Tables 2 and 4 include both mandatory and non-mandatory series.

5. Data are reported quarterly, within 28 working days of the end of the reference period (cf. calendar in Annex III).

6. At the request of the data users, NCBs also report, as memorandum items, deposit liabilities. This reporting is done according to a credit institutions (excluding central banks)/other MFIs/non-MFIs breakdown. Where this information is not available, users agreed to retain the concept of "deposits from MFIs", as it can be derived from Table 1 (i.e. with no further distinctions within the MFI sector).

7. Macro-prudential requirements consist of data as stocks and as flows, the latter recorded as transaction values. This implies the need for so-called adjustments data. These data are currently only available for stocks data contained in Tables 1 and 2, but are not available for Table 4. In this context, the need to provide adjustments data for Table 4 is still under investigation. In the meantime, users will rely only on differences in stocks adjusted for exchange rate changes (which are calculated by the ECB).

Coverage

8. In principle, the supplementary data reported in respect of the credit institutions' balance sheet should cover 100 % of the institutions that are classified in this sector. In those cases where the actual reporting coverage is less than 100 % due to the application of the cutting-off-the-tail principle, NCBs are requested to gross up the data supplied to ensure 100 % coverage. This will improve the comparability of the indicators between the Member States and ensure consistency with the MFI sector balance sheet data that are also grossed up.

Reporting requirement

9. Separate balance sheet data on credit institutions are reported, according to the reporting schemes in Appendices 1 and 2, by NCBs in those countries where the reporting population of other MFIs consists of both credit institutions and MMFs and the impact of the MMFs is deemed to be statistically important. The impact of MMFs is deemed to be statistically important where both of the following criteria are fulfilled simultaneously:

- Criterion 1 The difference between the balance sheet total of the MFI sector and the balance sheet total of its subset of credit institutions is more than EUR 5 billion on a sustained basis;

and

- Criterion 2 MFIs other than credit institutions (i.e. MMFs) have an impact on more than one item on either side of the MFI sector balance sheet(6).

10. Member States where both criteria are currently met are the following: Germany, Spain, France, Ireland, Italy, Greece and Luxembourg. Hence, the NCBs of these Member States report data according to the supplementary reporting scheme. The fulfillment of the above criteria is monitored on a regular basis.

11. A yearly assessment of the reporting scheme will be carried out by the ECB.

(1) OJ L 333, 17.12.2001, p. 1.

(2) OJ L 330, 6.12.2002, p. 29.

(3) On the significance of the impact of MMFs on other MFIs data, see below. In addition, in some countries there are a small number of other institutions classified as MFIs; however, these institutions are insignificant.

(4) With the obvious exception of the liability item "MMF shares/units".

(5) With the exception of the item "MMF shares/units".

(6) For instance, this criterion is met when the MMF sector balance sheet has an impact on one liability item ("MMF shares/units") and on two or more asset items (e.g. "securities other than shares denominated in euro issued by domestic general government" and "securities other than shares denominated in euro issued by domestic MFIs"). It is also met when the MMF balance sheet has an impact on two liability items (e.g. "MMF shares/units" and "deposits denominated in euro placed by domestic MFIs") and on one asset item (e.g. "securities other than shares denominated in euro issued by domestic general government"). On the contrary, this criterion is not met when the MMF balance sheet has an impact on only one liability item and one asset item.

Appendix 1

PROCEDURES FOR THE DATA TRANSMISSION FROM THE NCBS TO THE ECB

Reporting scheme for credit institutions

1. The reporting scheme laid out in Appendix 2 applies to credit institutions only, as defined in Community law, whereas Tables 1 to 4 of Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(1) as amended by Regulation ECB/2002/8(2) cover balance sheet data of the whole other monetary financial institutions (MFIs) sector.

2. The codes used for the items in the reporting scheme belong to the balance sheet items key family, the dimensions and attributes of which are presented in Annex XIII. Please note that:

- as balance sheet data for credit institutions only are to be reported at quarterly frequency, dimension No 1 (frequency) is always "Q" (quarterly),

- dimension No 4 (breakdown of the reference sector in the balance sheet) is "R" (credit institutions subject to minimum reserve requirements) for all items.

3. The reporting scheme consists of seven tables: Table 1_credit institutions (stocks), Table 2_credit institutions (stocks), Table 4_credit institutions (stocks), Table 1_credit institutions reclassifications, Table 1_credit institutions revaluations, Table 2_credit institutions reclassifications and Table 2_credit institutions revaluations.

4. Table 1_credit institutions (stocks) mirrors the corresponding monthly Table 1 of Regulation ECB/2001/13. For Table 1_credit institutions a full report is required, with the exception of the item "MMF shares/units".

5. Table 2_credit institutions (stocks), which mirrors the corresponding quarterly Table 2 of Regulation ECB/2001/13, includes mandatory and non-mandatory series. Mandatory series cover deposits and loans vis-à-vis the rest of the world with a further sectoral breakdown. In the attached scheme mandatory items are highlighted with thick cells.

6. Table 4_credit institutions (stocks), which mirrors the corresponding quarterly Table 4 of Regulation ECB/2001/13, includes mandatory and non-mandatory series. Only the series referring to loans vis-à-vis the rest of the world, with the relevant sectoral and currency breakdowns, are treated as mandatory. In the attached scheme mandatory items are highlighted with thick cells. However, for the purpose of ease of implementation of the additional reporting and of possible future needs, NCBs are encouraged to report the remaining series on a voluntary basis.

7. The remaining four tables concerning adjustments data consist of an adaptation of the corresponding tables of Annex IX. Some minor changes have been introduced in the table in order to minimise the reporting burden on national central banks (NCBs). In the attached scheme, mandatory items are presented in the thick cells. However, for ease of implementation of the additional reporting and of possible future needs, NCBs are encouraged to report the remaining series on a voluntary basis.

(1) OJ L 333, 17.12.2001, p. 1.

(2) OJ L 330, 6.12.2002, p. 29.

Appendix 2

STOCKS

>TABLE>

>TABLE>

>TABLE>

Bold cells show the mandatory items.

>TABLE>

Bold cells show the mandatory items

Flows

>TABLE>

Bold cells show the mandatory items.

>TABLE>

Bold cells show the mandatory items.

>TABLE>

Bold cells show the mandatory items.

>TABLE>

Bold cells show the mandatory items.

ANNEX VI

STRUCTURAL STATISTICAL INDICATORS

REPORTING SCHEME AND COMPILATION INSTRUCTIONS

Introduction

1. In order to carry out a regular analysis of banking structures in the European Union (EU), the Banking Supervisory Committee needs data to compile a number of structural statistical indicators. The list of structural statistical indicators contains 29 series. Twelve of these series can be compiled on the basis of data already available within the European Central Bank (ECB). A further 14 indicators can be compiled only using additional data collected from national central banks (NCBs), whilst the remaining three indicators are compiled by the Working Group on Banking Developments using other non-harmonised sources.

2. This Annex provides a reporting scheme and compilation instructions for the 14 indicators compiled using data from NCBs. This data collection will be based on information already available within the European System of Central Banks (ESCB).

3. The full list of indicators is set out below. Those indicators that are to be produced using additional data supplied by NCBs are highlighted in bold.

TABLE 1

Structural indicators broken down by category of data source

>TABLE>

Section 1. Reporting scheme

4. The reporting scheme to be used for this data transmission is attached as Appendix 1. Data to calculate structural indicators on CIs are required at annual frequency. Data are reported by the end of March each year with reference to the previous year. It is expected that this timeliness requirement can be satisfied in respect of all of the indicators with the exception of indicator No 3 "Number of employees of CIs" where data should, if possible, be provided by the end of May each year with reference to the previous year.

5. The statistical requirements consist of data as stocks, absolute numbers or ratios, as indicated. In addition to stocks, there is a requirement for flows adjustments data to be reported, if available. In the case of balance sheet data, flows adjustments refer to price and foreign exchange revaluations, write-offs, write-downs and reclassifications. To simplify the reporting scheme, flows adjustments should be reported combined as a single total, without further breakdowns by type of adjustment. If flows adjustments are not available, the users will rely only on differences in stocks adjusted for exchange rate changes (which are calculated by the ECB). In the case of absolute numbers or ratios, flows adjustments are not applicable.

6. In principle, the data collected should cover 100 % of the institutions that are defined as CIs in Community law (see Section I.2 of Part 1 of Annex I to Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(1) as amended by Regulation ECB/2002/8(2)). In those cases where the actual reporting coverage is less than 100 % due to the application of the cutting-off-the-tail principle, NCBs are requested to gross up the data supplied to ensure 100 % coverage. This ensures the comparability of the indicators between the Member States and consistency with the MFI balance sheet data that are grossed up in accordance with Annex XIV.

7. Simple consistency checks will be carried out at the ECB upon receipt of the data. For instance, if indicator No 18 is zero, then indicator No 19 must also be zero. The same applies to indicators Nos 20-21, 23-24 and 25-26. Moreover, cross-checks between indicators Nos 18 and 23 and the List of MFIs may be carried out as well. The transmission instructions are attached in Appendix 2.

Section 2. Compilation instructions

8. NCBs shall provide data in respect of 14 indicators (second group in Table 1) in accordance with the conceptual and methodological rules set out below. The overall aim is to ensure adherence as much as possible to the statistical principles adopted in the compilation of the MBS data (which are used for most indicators of the first group in Table 1). For instance, data should be aggregated, not consolidated; the residency principle should follow the so-called "host country approach"; balance sheet data should be reported on a gross basis; etc.

9. The data to be provided by NCBs are described below. Any deviation from the definitions and the rules described below should be reported by the NCBs to the ECB in order to monitor national practice. Information on possible deviations should be reported under the last column of the reporting scheme.

10. Indicator No 2: Number of local units ("branches") of CIs. This indicator refers to the number of branches as at the end of the reference period. The definition of local unit is contained in Regulation ECB/2001/13: "Branches are unincorporated entities (without independent legal status) totally owned by the parent"(3). This implies that this indicator should only include branches that belong to CIs. The offices of institutional units that are not themselves CIs should be excluded, even if they belong to the same group as a CI. This is necessary in order to avoid any distortions in the comparison between this indicator and, for example, indicator No 7 on the total assets of CIs.

11. For consistency reasons, the ECB's definition of branch should be used by all NCBs.

12. Indicator No 3: Number of employees of CIs. This indicator refers to the average number of staff employed during the reference year. The definition used for this indicator is close to that used by Eurostat(4). However, data for this indicator should only include staff employed by CIs. Employees of financial institutions that are not themselves CIs should be excluded, even if these institutions belong to the same group.

13. Indicator No 5: Share of the five largest CIs in total assets (CR5). This indicator refers to the concentration of banking business. Users have expressed a preference to use a consolidated "group approach" to calculate this indicator, whereby two or more institutions that belong to the same group are counted as one institution. The application of such an approach is currently not possible using MBS data, for two reasons. First, MBS data are unconsolidated(5), therefore it would not be possible to include the balance sheets of other group institutions nor to net out intra-group assets and liabilities. Second, ownership information might in any case not be available and would have to be provided from supervisory sources.

14. For these reasons, NCBs should follow an unconsolidated "aggregated" approach when calculating indicator No 5, namely they should 1) rank the balance sheet totals of reporting CIs; 2) calculate the sum of the five largest balance sheet totals and the sum of all balance sheet totals; and 3) divide the two figures. Data to be reported to the ECB should be expressed as percentages (e.g. a value of 72.4296 % should be reported as 72.4296 and not as 0.7243). Although the composition of the five largest banks may change over time, NCBs should only provide the share of the five largest CIs at a specific point in time (end-December of the reference year).

15. Indicator No 6: Herfindahl index for CIs' total assets. Similar to the previous indicator, this refers to the concentration of banking business. NCBs should follow to the extent possible an "aggregated" approach. The calculation of this indicator would be completely accurate only if the individual balance sheet of each CI were available. However, as the MBS framework permits groups of CIs exceptionally to report on a consolidated basis, not all the necessary statistical information might be available (this might be the case for the Rabobank in the Netherlands). In this case, the calculation of the Herfindahl index should include the aggregated balance sheet of each CI included in the group, perhaps using the accounting information contained in the annual financial statements of these institutions. Moreover, it is possible that not all CIs in the tail report data as at year-end. In this case, data should be grossed up.

16. NCBs should report the Herfindhal index to the ECB according to the following formula:

>REFERENCE TO A GRAPHIC>, where:

n = total number of CIs in the country, Xi = total assets of CIi, and X = [sum ]n i = 1Xi = total assets of all CIs of the country. The value of the index is the sum of the squares of the market shares of all CIs in the banking business.

17. Indicator No 15: Total investments of insurance companies. For the purpose of producing this indicator(6), an insurance company is defined as an undertaking that has received official authorisation in accordance with Article 6 of First Council Directive 73/239/EEC of 24 July 1973 on the coordination of laws, regulations and administrative provisions relating to the taking-up and pursuit of the business of direct insurance other than life assurance(7) or Article 6 of First Council Directive 79/267/EEC on the coordination of laws, regulations and administrative provisions relating to the taking up and pursuit of the business of direct life assurance(8). Reinsurance business is excluded. The information refers to the total financial assets of these companies, which is obtained by deducting the non-financial assets (such as fixed assets) from the aggregated balance sheet total. If necessary, figures should be grossed up to ensure 100 % coverage. If separate information on insurance companies is not available, this indicator can be combined with indicator No 17 "Total assets under management by pension funds" to form one single indicator. NCBs should flag the series if "combined" recording is adopted.

18. Indicator No 17: Total assets under management by pension funds. This information refers to the aggregated balance sheet totals of the so-called "autonomous pension funds", i.e. separate institutional units whose main activity is pension funding; they are not insurance companies(9). If separate information on pension funds is not available, this indicator can be combined with indicator No 15 to form one single indicator to be reported under indicator No 15. In this case, a nil return should be provided in respect of indicator No 17.

19. Indicator No 18: Number of branches of CIs from EEA countries. This indicator refers to the number of branches belonging to CIs resident in other EEA countries, i.e excluding domestic branches. If a CI has more than one branch in a particular country, it is counted as one. As data collected for the purpose of the List of MFIs have only been made available to the ECB since January 1999, NCBs should provide the missing data for the end-years 1997 and 1998. NCBs should ensure that data as from end-1999 onwards are consistent with data reported in the framework of the MFI list.

20. Indicator No 19: Total assets of branches of CIs from EEA countries. This indicator refers to the aggregated balance sheet total of the branches covered by indicator No 18.

21. Indicator No 20: Number of subsidiaries of CIs from EEA countries. This indicator refers to the number of subsidiaries controlled by a CI resident in other EEA countries, i.e. excluding domestic subsidiaries. The ECB's definition of subsidiary is contained in Regulation ECB/2001/13: "Subsidiaries are separate incorporated entities in which another entity has a majority or full participation...". Not all subsidiaries should be counted, only those that are themselves CIs.

22. Indicator No 21: Total assets of subsidiaries of CIs from EEA countries. This indicator refers to the aggregated balance sheet total of the subsidiaries covered by indicator No 20.

23. Indicator No 23: Number of branches of CIs from third countries. This indicator refers to the number of resident branches belonging to CIs resident in third countries. Third countries are those not belonging to the EEA. If a bank has more than one branch in a particular country, it is counted as one. Again, NCBs should ensure that data are consistent with data reported in the framework of the MFI list.

24. Indicator No 24: Total assets of branches of CIs from third countries. This indicator refers to the aggregated balance sheet total of the branches covered by indicator No 23.

25. Indicator No 25: Number of subsidiaries of CIs from third countries. This indicator refers to the number of subsidiaries resident in their national territory that are controlled by CIs resident in third countries.

26. Indicator No 26: Total assets of subsidiaries of CIs from third countries. This indicator refers to the aggregated balance sheet total of the subsidiaries covered by indicator No 25.

(1) OJ L 333, 17.12.2001, p. 1.

(2) OJ L 330, 6.12.2002, p. 29.

(3) This variable is also collected by Eurostat but with a long delay. Eurostat uses the following definition of local unit: "An enterprise or part thereof (e.g. a workshop, factory, warehouse, office, mine or depot) situated in a geographically identified place. At or from this place economic activity is carried out for which - save certain exceptions - one or more persons work (even if only part-time) for one and the same enterprise." Cf. Eurostat, Methodological manual for statistics on credit institutions, version 1.8, December 2001, pp. 11 and 23. This manual is available on request from Eurostat, although only in English.

(4) This indicator is also collected by Eurostat, which uses the following definition: "The number of persons employed is defined as the total number of persons who work in the observation unit (inclusive of working proprietors, partners working regularly in the unit and unpaid family workers), as well as persons who work outside the unit who belong to it and are paid by it (e.g. sales representatives, delivery personnel, repair and maintenance teams). It includes persons absent for a short period (e.g. sick leave, paid leave or special leave), and also those on strike, but not those absent for an indefinite period. It also includes part-time workers who are regarded as such under the laws of the country concerned and who are on the pay-roll, as well as seasonal workers, apprentices and home workers on the pay-roll. The number of persons employed excludes manpower supplied to the unit by other enterprises, persons carrying out repair and maintenance work in the enquiry unit on behalf of other enterprises, as well as those on compulsory military service. Unpaid family workers refer to persons who live with the proprietor of the unit and work regularly for the unit, but do not have a contract of service and do not receive a fixed sum for the work they perform. This is limited to those persons who are not included on the payroll of another unit as their principal occupation. Note: In order to check the comparability of data, it is necessary to indicate whether voluntary workers have been included under this heading or not. [Commission Regulation (EC) No 2700/98 concerning the definitions of characteristics for structural business statistics, Code 16 110]. Comments: The allocation on enterprise level has to be assured by means of a distribution key in the case of enterprise groups (managing directors have to be included; not employed agents have to be excluded). The number of persons employed is measured as an annual average." Cf. Eurostat, Methodological manual for statistics on credit institutions, version 1.8, December 2001, p. 34.

(5) One exception, however, is permitted under Regulation ECB/2001/13, which permits reporting of consolidated balance sheet data for groups of credit institutions (e.g. the case of the Rabobank in the Netherlands).

(6) For this indicator, the corresponding ESA 95 sector is S. 125a. The "ESA 95" is the European System of Accounts 1995, contained in Annex A to Council Regulation (EC) No 2223/96 of 25 June 1996 on the European system of national and regional accounts in the Community, OJ L 310, 30.11.1996, p. 1, as last amended by Regulation (EC) No 359/2002 of the European Parliament and of the Council, OJ L 58, 28.2.2002, p. 1.

(7) OJ L 228, 16.8.1973, p. 3.

(8) OJ L 63, 13.3.1979, p. 1.

(9) For this indicator, the corresponding ESA 95 sector is S. 125b.

Appendix 1

Reporting scheme for the 14 structural statistical indicators compiled using data provided by NCBs

Country: ...

Reference year: ...

>TABLE>

Appendix 2

Electronic transmission of banking structural statistical indicators - key family identifier: ECB_SSI1

The banking structural statistical indicators (hereinafter "SSI") key family refers to the structural indicators of credit institutions (CIs), insurance companies and pension funds sectors of the European Union (EU) Member States. It has been designed so as to draw as much as possible on the key family code lists and values already defined for balance sheet items (BSI) statistics.

Section 1. Dimensions

The table below describes the dimensions used in the ECB_SSI1 key family. For the SSI statistics, eight dimensions have been specified as essential to identify the time series.

TABLE 1

Dimensions used in ECB_SSI1 key family

>TABLE>

Each of the eight statistical dimensions takes its values from a corresponding code list. For example, according to the table above, the dimension REF_AREA (reference area) takes its values from the CL_AREA_EE code list. A description of the dimensions of the ECB_SSI1 key family is set out below, following the same sequence as they appear in the key.

Dimension No 1: Frequency (FREQ; length: one character)

This dimension indicates the frequency of the reported time series. The value used in the ECB_SSI1 key family is "A" for annual data and is taken from the code list CL_FREQ.

Dimension No 2: Reference area (REF_AREA; length: two characters)

This dimension represents the country of residence of the reporting institution. The associated code list CL_AREA_EE contains the standard ISO country list and some additional values as also described in paragraph 6 (dimension No 6: Counterparty area). The subset of values used in the ECB_SSI1 key family corresponds to the 15 EU Member States.

Dimension No 3: ESA 95 Reference sectoral breakdown (ESA95_SECTOR; length: four characters)

This dimension indicates the structural indicators' reference sector and is linked to the code list CL_ESA95_SECTOR. Currently a subset of four values is used: credit institutions (as defined in Community law) ("122C"), insurance corporation and pension funds ("1250"), and separately insurance corporations ("1251") and pension funds ("1252").

Dimension No 4: Structural statistical indicator's "name" (SSI_INDICATOR; length: three characters)

This dimension represents the list of SSIs and is linked to the code list CL_SSI_INDICATOR. The values assigned to the different indicators are identified by a prefix. The value "H" is used for the Herfindhal index, the value "N" for all statistical indicators represented by absolute numbers, the value "S" for those represented by a share and lastly the value "T" for total assets.

Dimension No 5: Data type (DATA_TYPE; length: one character)

The dimension is described by the code list CL_DATA_TYPE and indicates the type of data to be reported: gross stocks ("1"), reclassifications and other adjustments ("5"), other revaluation adjustments ("7") and not specified ("X"). The value "X", not specified, is used to report ratios and index series, while the value "1", stocks, is used to report absolute numbers and stocks series (e.g. number of employees; total assets).

Adjustments data are only applicable with reference to the BSI series, they are not applicable and are not reported for absolute numbers, ratios and indexes.

Reclassifications and other adjustments comprise changes in the assets and liabilities on the balance sheet of the reporting sector arising from 1) changes in the reporting population; 2) corporate restructuring; 3) the reclassification of assets and liabilities; and 4) the correction of reporting errors which, for technical reasons, cannot be removed from the stock data for the complete relevant period. In particular, reclassifications for the year 2001 will need to cover the changes due to the entry of Greece into the euro area.

Other revaluation adjustments include changes in the price of securities issued, sold or held and changes due to the removal from the balance sheet of loans subject to a write-off/write-down.

Dimension No 6: Counterparty area (COUNT_AREA; length: two characters)

This dimension represents the area of residence of the counterparty of the structural indicator. The code list linked to this concept is CL_AREA_EE, which contains the standard ISO country list and additional values (e.g. "U6" - "Domestic: same country as that of the reporting CIs"). For the purpose of the ECB_SSI1 key family the following subset of values is used: domestic (home or reference area) ("U6"), other European Economic Area countries (all countries excluding the reference area) ("A0") and extra European Economic Area ("A7") in the case of both euro area reporters and non-euro area reporters.

Dimension No 7: Currency of transaction (CURRENCY_TRANS; length: three characters)

This dimension describes the currency in which the structural indicators are denominated and is linked to the code list CL_CURRENCY. In the ECB_SSI1 key family only the values "Z01" for all currencies combined and "Z0Z" for not applicable are used.

Dimension No 8: Denomination of the series or special calculation (SERIES_DENOM; length: one character)

This dimension specifies whether the reported series is expressed in national or in the common (euro) currency. This concept is only applicable to BSI series (e.g. total assets). Only three values from the code list CL_SERIES_DENOM are used in the ECB_SSI1 key family - "N" national currency, "E" euro and "Z" not applicable). Non-participating Member States and Greece (for the period up to and including the year 2000) will use the code "N", while the code "E" will be used by the euro area Member States (including Greece starting in 2001).

The full list of series keys to be transmitted to the ECB is reported in Appendix 3.

Section 2. The attributes

In addition to the eight dimensions defining the key, a set of attributes(1) has been defined. These are attached at various levels of the exchanged information:

TABLE 2

Banking structural statistical indicators key family (ECB_SSI1): Coded and uncoded attributes

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In addition, each of these attributes is characterised by some technical properties, which are listed in the table below.

TABLE 3

NCBs reporting to the ECB. Common attribute properties for the ECB_SSI1 key family

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Below is a description of each attribute including the reference code list (indicated in capital letters as CL_EN*) whenever it applies.

Section 2.1. Attributes at sibling level

Mandatory:

- TITLE_COMPL (uncoded): This attribute is set, stored and disseminated by the ECB (it will be in English with a maximum length of 1050 characters). If an NCB would like to make a modification, a revision can be made after consultation with the ECB, however, this revision will be made by the ECB.

- UNIT (code list: CL_UNIT): This attribute provides the unit of measurement of the reported data. Participating Member States report the data in euro for those items where this is applicable and the ECB will set this attribute to "EUR" (DENOM = "EUR"). In the case of non-participating Member States the value of this attribute is equal to the corresponding national currency (UNIT = "DKK" for Denmark, "SEK" for Sweden, "GBP" for the United Kingdom and "GDR" for Greece before and including the year 2000). For the series reported as absolute values and for the index the ECB will set this attribute to value "UNITS", and for the series reported as percentages to the value "PC".

- UNIT_MULT (code list: CL_UNIT_MULT): This attribute provides information on whether the series is expressed in millions (UNIT_MULT = "6"), billions (UNIT_MULT = "9"), etc. NCBs report the data referring to the CIs BSI series in millions and the ECB will set the value to 6 (UNIT_MULT = "6"). For the series reported as absolute numbers, as percentages, or as indexes, the ECB will set the value to 0 (UNIT_MULT = "0").

- DECIMALS (code list: CL_DECIMALS): This attribute indicates the number of decimal places given for the values of the observations. NCBs report the BSI series and the series representing absolute numbers with 0 decimal places and the ECB will set the value of the attribute at 0 for these series (hence DECIMALS = "0"). The index series and those representing percentages will be reported with four decimals and the ECB will set the value of the attribute to 4 for these series (hence DECIMALS = "4").

Conditional:

- TITLE (uncoded): The series title allows only a maximum of 70 characters. In view of the limited space, the TITLE COMPLEMENT attribute is used instead as the mandatory attribute. The TITLE attribute could in the future be used for the construction of short titles.

- NAT_TITLE (uncoded): NCBs may use this attribute in order to provide a precise description and other supplementary or distinguishing specifications in the national languages. Although the use of upper and lower case letters does not cause problems, the exchange of accented characters and extended alphanumeric symbols needs to be tested before regular use.

- COMPILATION (uncoded): This attribute is used for detailed textual explanations of the compilation methods, weighting, statistical procedures, type of index etc.:

- data sources/data collection system,

- compilation procedures (including description of estimates/assumptions made),

- deviations from the ECB's reporting instructions (geographical/sectoral classification/valuation methods),

- information relating to the national legal framework (and to links to the EU regulatory framework) for intermediaries other than CIs.

- COVERAGE (uncoded): This attribute describes the reporting population, and its coverage, for the different categories of intermediaries. It should describe the type of intermediary for the different indicators. If the coverage is known to be partial, an estimate of the market shares is provided. It should also indicate whether the figures have been grossed up.

Section 2.2. Attributes at time series level

Mandatory:

- COLLECTION (code list: CL_COLLECTION): This attribute provides an explanation of the time when observations are collected (e.g. beginning, middle or end of period) or an indication of whether data are averages, the highest or lowest in a given period, etc. The ECB will set the SSI series as "end-of-period" (COLLECTION = "E").

- AVAILABILITY (code list: CL_AVAILABILITY): This attribute indicates the institutions to which the data can be made available. When special treatment for specific observations is needed, the OBSERVATION CONFIDENTIALITY attribute can be used (see below).

Conditional:

- DOM_SER_IDS (uncoded): This attribute makes it possible to refer to the code used in national databases to identify the corresponding series (formulae using national reference codes can also be specified).

- BREAKS (uncoded): This attribute provides a description of breaks and major changes over time in the collection, reporting coverage and compilation of the series. In the case of breaks, it is desirable to state the extent to which old and new data may be considered comparable (up to 350 characters).

Section 2.3. Attributes at observation level

Mandatory:

- OBS_STATUS (code list: CL_OBS_STATUS): NCBs report an observation status value attached to each exchanged observation. This attribute is mandatory and must be provided with every data transmission for every individual observation. When NCBs revise the value of this attribute, both the observation value (even if unchanged) and the new observation status flag are retransmitted.

The list below specifies the expected values (according to the agreed hierarchy) for these attributes for the purpose of the SSI statistics:

"A" = normal value,

"B" = break value,

"M" = data do not exist (for non-applicable data)(2),

"L" = data exist but are not collected(3),

"E" = estimated value,

"P" = provisional value (this attribute can be used, in particular, with each data transmission referring to the last observation)(4).

- If an observation is qualified by two characteristics, the most important is reported. If, for example, an observation is both a provisional value and the result of an estimate, priority is given to the "estimate" property, and the flag "E" is used.

Conditional:

- OBS_CONF (code list: CL_OBS_CONF): If an NCB wishes to differentiate between the confidentiality status of one or more specific observations, it may use the OBSERVATION CONFIDENTIALITY attribute. The value of this attribute (if any) may be modified when transmitting the data by the sender of the information.

- OBS_PRE_BREAK (uncoded): This attribute contains the pre-break value, which is a numeric field like the observation. It is provided when a series break occurs.

- OBS_COM (uncoded): This attribute can be used to provide textual comments at the observation level (e.g. describing the estimate or assumption made for a specific observation due to lack of data, explaining the reason for a possible abnormal observation or giving details of a change in the reported time series).

Flows adjustments data are to be reported, if available, in respect of indicators Nos 17, 19, 21, 24 and 26. Flows adjustments refer to price revaluations, write-offs, write-downs and reclassifications.

Section 3. Revision policy

NCBs may have to revise the reported data. The following general principles apply:

- during all regular annual data transmissions, in addition to the latest year, both "ordinary" (i.e. revisions to the previous year's data) and "historical" revisions can be sent;

- exceptionally, historical revisions which significantly improve the quality of the data may be accepted during the year;

- in the case of significant revisions, explanatory notes must be provided to the ECB.

(1) Attributes are statistical concepts which provide additional coded (e.g. the unit) and uncoded (e.g. the compilation method) information about the exchanged data. "Mandatory" applies to the attributes for which all partners know the values. "Conditional" applies to the attributes which are defined only if they are known in the reporting institution (e.g. domestic series ids) or whenever they are relevant (e.g. compilation, breaks). Attribute values are to be exchanged only when they are set for the first time and whenever they change. Only the observation status is present in every interchange, attached to each observation.

(2) When, owing to local market practices or to the legal framework, a time series (or part of it) is not applicable (the underlying phenomenon does not exist), a missing value is reported ("-") with observation status "M".

(3) When, owing to local statistical conditions, data for a time series are not collected either on specific dates or for the total length of the time series (the underlying economic phenomenon exists but is not monitored statistically), a missing value is reported ("-") with observation status "L" in each period.

(4) These observations take definite values (observation status "A") at a later stage. The new revised values overwrite the previous provisional observations.

Appendix 3

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ANNEX VII

CENTRAL GOVERNMENT DEPOSIT LIABILITIES AND HOLDINGS OF CASH AND SECURITIES

1. CENTRAL GOVERNMENT DEPOSIT LIABILITIES

1.1. Definitions and coverage of central government (close substitutes for) deposit liabilities within the reporting scheme

For the purposes of this reporting scheme, central government deposit liabilities are allocated within the following categories. Where the phenomenon does not exist or is insignificant, no reporting is required on de minimis grounds.

Deposit liabilities: Deposit liabilities are broken down into overnight deposits, deposits with agreed maturity and deposits redeemable at notice.

Overnight deposits: Deposits which are convertible into currency and/or which are transferable on demand by cheque, banker's order, debit entry or similar means, without significant delay, restriction or penalty. Balances representing prepaid amounts in the context of e-money, either in the form of hardware-based e-money (e.g. prepaid cards) or software-based e-money, issued by central government, are included under this item. This item excludes non-transferable deposits which are technically withdrawable on demand but which are subject to significant penalties.

Deposits with agreed maturity: Non-transferable deposits which cannot be converted into currency before an agreed fixed term; or which can be converted into currency before that agreed term but the holder is charged some kind of penalty. Financial products with roll-over provisions must be classified according to the earliest maturity.

Deposits redeemable at notice: Non-transferable deposits without any agreed maturity which cannot be converted into currency without a period of prior notice, before the term of which the conversion into cash is not possible or possible only with a penalty. This item includes deposits which, although perhaps legally withdrawable on demand, would be subject to penalties and restrictions according to national practices (classified in the maturity band "up to and including three months").

The ESA 95(1) provides guidance on the classification of debt instruments issued by general government (ESA 95, paragraphs 5.74-5.76). Non-tradable debt instruments issued by general government to the public at large are to be classified under deposits, as they are close substitutes for time deposits, savings deposits, savings books and non-negotiable certificates of deposit. All other instruments which are typically represented by documents intended to circulate and which therefore involve (realised or unrealised) holding gains and losses are classified as securities other than shares.

1.2. Sectoral classification of central government agencies issuing (close substitutes for) deposit liabilities

The ESA 95 provides the standard for the sectoral classification of general government and its subsectors, one of which is the central government sector. Further guidance is provided in the "Money and Banking Statistics Sector Manual - Guidance for the statistical classification of customers"(2).

General government comprises 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 (ESA 95, paragraphs 2.68-2.70).

General government is divided into two issuing subsectors: central government and other general government. Other general government is part of the money-holding sector.

Central government consists of administrative departments of the State and other central agencies whose competence extends over the whole economic territory, except for the administration of social security funds (ESA 95, paragraph 2.71).

1.3. Definition of the "other resident sectors", i.e. non-monetary financial institution residents other than the general government

Other financial intermediaries and financial auxiliaries: Non-monetary financial corporations and quasi-corporations (excluding 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 monetary financial institutions (MFIs) (ESA 95, paragraphs 2.53-2.56). Also included are financial auxiliaries consisting of all financial corporations and quasi-corporations that are principally engaged in auxiliary financial activities (ESA 95, paragraphs 2.57-2.59).

Insurance corporations and pension funds: Non-monetary financial corporations and quasi-corporations principally engaged in financial intermediation as the consequence of the pooling of risks (ESA 95, paragraphs 2.60-2.67).

Non-financial corporations: Corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services (ESA 95, paragraphs 2.21-2.31).

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 (ESA 95, paragraphs 2.75-2.88).

2. COVERAGE OF CENTRAL GOVERNMENT HOLDINGS OF CASH AND SECURITIES

2.1. Euro banknotes and coins held by the central government

Banknotes and coins issued by the European Central Bank, euro area national central banks and central governments and held by the central government.

2.2. Central government holdings of instruments issued by euro area MFIs

Debt securities issued by euro area MFIs and held by the central government.

DATA ON CENTRAL GOVERNMENT (CLOSE SUBSTITUTES FOR) DEPOSIT LIABILITIES AND HOLDINGS OF CASH AND SECURITIES(("Reclassifications and other adjustments" and "revaluation adjustments" data will be covered by the "Manual of procedures for the compilation of flows statistics" (Annex X).))

Adapted scheme using the reporting table of the MFI sector.

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(1) The European System of Accounts (ESA) 1995, contained in Annex A to Council Regulation (EC) No 2223/96 of 25 June 1996 on the European system of national and regional accounts in the community, OJ L 310, 30.11.1996, p. 1, as last amended by Regulation (EC) No 359/2002 of the European Parliament and of the Council, OJ L 58, 28.2.2002, p. 1.

(2) European Central Bank, second edition, November 1999.

ANNEX VIII

HIGHEST PRIORITY MEMORANDUM ITEMS TO BE PROVIDED AT A MONTHLY FREQUENCY

The memorandum items listed in this Annex belong to the balance sheet items key family, which is described in Annex XIII. The series are to be reported at monthly frequency and with the same timeliness as the mandatory monthly monetary financial institution (MFI) balance sheet statistics in accordance with Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(1) as amended by Regulation ECB/2002/8(2).

Reporting scheme

TABLE A

Other MFIs data (stocks)

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DEFINITION OF THE HIGHEST PRIORITY MEMORANDUM ITEMS

1. Breakdown by residency of the holders of money market fund (MMF) shares/units

MMF shares/units that have been broken down by residency of the holder according to the following three-way split: domestic/other participating Member States/rest of the world.

(1) OJ L 333, 17.12.2001, p. 1.

(2) OJ L 330, 6.12.2002, p. 29.

ANNEX IX

MEMORANDUM ITEMS TO BE PROVIDED AT A MONTHLY FREQUENCY

Reporting scheme

1. The memorandum items listed in this Annex belong to the balance sheet items (BSI) key family, which is described in Annex XIII. The series are to be reported at monthly frequency and with the same timeliness as the mandatory monthly monetary financial institution (MFI) balance sheet statistics in accordance with Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(1) as amended by Regulation ECB/2002/8(2).

I. Memorandum items for the derivation and assessment of the monetary aggregates and counterparts

2. For the purposes of the compilation of the monetary aggregates, the national central banks (NCBs) report statistical information on supplementary breakdowns of "currency in circulation" and "debt securities issued". These high priority memorandum items are shown as bold framed cells in Tables A and B and are defined below. The remaining memorandum items are needed to allow a more detailed analysis of the MFI balance sheet statistics.

3. Currency in circulation, of which euro banknotes (M1), national denomination banknotes (M2), coins (M3), coins denominated in euro (M4) and coins in national denominations (M5):

- Euro banknotes (M1) are euro banknotes issued as included in the item "currency in circulation".

- National denomination banknotes (M2) are banknotes denominated in the legacy currencies issued by NCBs before 1 January 2002 that have not yet been redeemed at the NCBs. Reported as from January 2002, at least during 2002.

- Coins (M3) refers to the amount of coins, both euro and national denomination (not yet redeemed), issued by national authorities (NCBs/central governments) and reported as part of the item "currency in circulation" in the NCB's balance sheet.

- Coins denominated in euro (M4) are coins denominated in euro issued by national authorities (NCBs/central governments).

- Coins in national denominations (M5) are coins denominated in the legacy currencies issued by national authorities (NCBs/central governments) before 1 January 2002 that have not yet been redeemed at the NCBs.

4. Holders of negotiable securities issued by the European Central Bank (ECB)/NCBs (items M6 to M8)

Debt securities issued by the ECB/NCBs that have been broken down by residency of the holder, according to the following three-way split: domestic/other participating Member States/rest of the world.

TABLE A

ECB/NCBs data (stocks)((Subject to bilateral agreement between the ECB and the NCB, flow data may be provided.))

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Cells in bold are the high priority items

TABLE B

Other MFIs data (stocks)((Subject to bilateral agreement between the ECB and the NCB, flow data may be provided.))

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Cells in bold are the high priority items. Highest priority memo items are required in Annex VIII

Subject to agreement between the ECB and the NCB, cells in bold with an arrow ([uarr ]) might not be reported by the NCB where alternative data sources are used by the ECB

5. Remaining assets/liabilities, of which intra-Eurosystem liabilities (item M12)/claims (item M16) related to the allocation of euro banknotes

Net positions vis-à-vis the Eurosystem originated by: 1) distribution of euro banknotes issued by the ECB (8 % of total issues); and 2) application of the capital share mechanism. The allocation of the individual NCB's and ECB's net credit or debit position to either the asset or liability side of the balance sheet is done according to the sign, i.e. a positive net position vis-à-vis the Eurosystem will be reported on the asset side, a negative net position on the liability side.

6. Holders of negotiable securities issued by other MFIs with a breakdown by maturity (items M17 to M19 and M26 to M28) and further by currency (items M20 to M25, and M29 to M34)

Debt securities and money market paper issued by MFIs that have been broken down by residency of the holder according to the following three-way split: domestic/other participating Member States/rest of the world. Debt securities and money market paper data are provided with a breakdown by maturity (up to one year, over one year and up to two years) and further details by currency (euro, foreign currencies).

II. Memorandum items to derive weighting information for MFI interest rates

7. For the regular production of MFI interest rate (hereinafter "MIR") statistics(3), weighting information is necessary to aggregate the national MIR to MIR statistics for the euro area. To reduce the reporting burden on the NCBs, the decision has been taken to use as a primary source for deriving the weights for MIR on outstanding amounts as well as selected MIR on new business the statistical information already reported by NCBs in the context of BSI statistics.

8. On the basis of data availability according to Regulation ECB/2001/13 the weighting information for the relevant deposit categories referring to new business and outstanding amounts can be easily mapped from the MFI balance sheet statistics. However, for the loans to households instrument categories in the field of outstanding amounts(4) the mandatory BSI data do not allow an exact mirroring:

9. For these loan categories, the (mandatory) BSI series cover all currencies of transaction, whereas MIR consider only euro-denominated loans. BSI series referring only to the euro as the currency of transaction according to Regulation ECB/2001/13 are available with the required sectoral breakdown, but with no distinction by maturity nor (within the household sector) by type of loan.

10. For these loan categories, the weighting will therefore be based on the BSI series referring to all-currency loans. However, the series will be adjusted for the share of euro within the total currencies of transaction.

11. Following bilateral contacts, a number of NCBs (to date: Belgium, France, Italy, Austria, Portugal and Finland) will, however, also be in a position to provide the required breakdowns for euro-denominated loans. To this end, the following memorandum items have been established:

TABLE C

Other MFIs data (stocks)

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(1) OJ L 333, 17.12.2001, p. 1.

(2) OJ L 330, 6.12.2002, p. 29.

(3) According to Regulation ECB/2001/18 of 20 December 2001 concerning statistics on interest rates applied by monetary financial institutions to deposits and loans vis-à-vis households and non-financial corporations, OJ L 10, 12.1.2002, p. 24.

(4) See Regulation ECB/2001/18, Annex II, Appendix 1: indicators 6-14.

ANNEX X

MANUAL OF PROCEDURES FOR THE COMPILATION OF FLOWS STATISTICS

INTRODUCTION

1. The European Central Bank (ECB) compiles euro area monetary aggregates and their counterparts as end-month stock positions within the framework of the consolidated balance sheet of the euro area monetary financial institutions (MFI) sector. The ECB also analyses developments in monetary statistics. For this purpose, flows statistics are required.

2. Monetary analysis is generally based on financial transactions that occur when MFIs acquire or dispose of financial assets and incur or repay liabilities. The ECB calculates transactions by taking the difference between end-month stocks and then identifying and removing those effects that do not arise from transactions.

3. In order to compile flows statistics in accordance with this approach, the ECB requires extensive information. In addition to the stocks data derived from the end-month aggregated MFI balance sheet that the ECB receives from the national central banks (NCBs) in accordance with Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(1) as amended by Regulation ECB/2002/8(2), non-transaction developments are needed. These adjustments are obtained from different sources depending on the type of adjustment. In part, this requirement for adjustment data is covered by Regulation ECB/2001/13.

4. The principal aim of this Manual of Procedures is to provide a detailed specification of the additional information that the NCBs submit to the ECB in order to permit the latter to compile flows statistics for euro area monetary aggregates and counterparts. In particular, it lays down detailed instructions to be followed by NCBs on how to compile their contribution to this information. This includes a description of the entry to be made under the adjustments and the circumstances in which it is to be made.

5. Without prejudice to this Annex, the ECB has prepared Guidance Notes to the Regulation ECB/2001/13 on the MFI balance sheet statistics(3), containing further information on the adjustment data required in accordance with this Regulation. In addition, the ECB distributes to the NCBs for further clarification a Money and Banking Statistics Handbook for the compilation of flow statistics(4).

SECTION 1 - CONCEPTUAL APPROACH TO COMPILING FLOWS STATISTICS

1.1. Framework

6. The ECB compiles the monetary aggregates and counterparts within the framework of the consolidated balance sheet of the euro area MFI sector, based on end-period stocks data drawn from Regulation ECB/2001/13 (Annex I, Part 2, Table 1).

7. The ECB also compiles flows statistics. The development of monetary aggregates and counterparts is analysed in terms of the transactions that have taken place during the period, measuring transactions in liabilities and, separately, in assets. In the context of consolidated balance sheet statistics, the value of transactions ("flows") is to be distinguished from changes in stock positions that arise for other reasons ("other changes"). Flows statistics are to be compiled in respect of almost all combinations of balance sheet items (BSIs). As shown in Table 1 of this Annex, all monthly BSIs are included because of the need to ensure that NCBs provide adjustments data that balance. In addition, flows statistics are also compiled in respect of quarterly data in Table 2 of this Annex and memo items on negotiable instruments and central government liabilities and assets.

8. The framework to obtain flows statistics in respect of the consolidated balance sheet statistics is based on the ESA 95(5). Deviations from that international standard are made where necessary in respect of both the content of the data and the denomination of statistical concepts. This Annex is interpreted according to the ESA95, unless Regulation ECB/2001/13, the guidance notes thereto, or this Guideline explicitly or implicitly overrule its provisions.

1.2. Flows data

9. In the context of money and banking statistics, flows data are measured in terms of financial transactions. Financial transactions 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(6). Flows data covering each item specified in Regulation ECB/2001/13 are to be calculated on a net basis (there is no requirement to identify gross financial transactions or turnover). 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. Nevertheless, Regulation ECB/2001/13 permits deviations of the flows in respect of the concept of financial transactions. For this reason, the flows data obtained in money and banking statistics are not financial transactions as defined in the ESA 95 but an adaptation for money and banking statistics purposes of this concept.

10. In principle, the following guidance is given for the transaction values in respect of deposits/loans and securities:

10.1. The transaction value of deposits/loans (Regulation ECB/2001/13, Annex I, Part 2, Table A, items 2 and 9) represents the amount that an MFI receives (as a deposit) or provides (as a loan), excluding fees etc(7). The transaction value excludes accrued interest that is receivable (on loans) or payable (on deposits) but has not yet been received or paid. Instead, accrued interest on loans/deposits is to be recorded under "remaining assets" or "remaining liabilities", as appropriate.

10.2. The transaction value of securities held and issued (Regulation ECB/2001/13, Annex I, Part 2, Table A, items 3 and 4 and 10-12) is consistent with the principles on the recording and reporting of stocks according to Regulation ECB/2001/13.

No rule is contained in Regulation ECB/2001/13 on the classification of accrued interest in respect of securities. This can imply the inclusion/exclusion of accrued interest on the stock data compiled on securities. In order to obtain a harmonised treatment across countries and considering that a crucial problem is how to distinguish between accrued interest and price changes, and that some conceptual problems would arise on the definition of interest rates on negotiable instruments, a flexible and simple rule is applied as follows:

10.2.3. If accrued interest is intrinsic to the accounting price as it is reported in the statistical balance sheet, it is excluded from the transaction value and, instead, indistinguishably included within "revaluation adjustments".

10.2.4. If accrued interest is excluded from the stock value of the securities to which it relates in the statistical balance sheet, it is to be classified under "remaining assets" or "remaining liabilities" as appropriate and therefore not considered when calculating flows or revaluation adjustments(8).

1.3. Other changes

11. In the context of consolidated balance sheet statistics, "other changes" are those developments between end-period balance sheets that arise other than from transactions. Other changes are grouped into two main categories "reclassifications and other adjustments" and "revaluation adjustments"(9).

12. The "reclassifications and other adjustments" category (Table 5 of this Annex, column C) comprises all changes in the balance sheet stocks that arise due to an alteration in statistical coverage (inclusion or exclusion of new MFIs if the business was transferred out of/into the MFI sector), the reclassification of assets or liabilities (by maturity, sector or instrument) due to the effect of reporting errors that have been corrected in the stocks only over a limited time range and effects of changes in structure (mergers, acquisitions).

13. The "revaluation adjustments" category is made up of two parts. Firstly, it reflects the impact of write-offs or write-downs of loans. Secondly, it reflects the impact of fluctuations in the market price of the outstanding stock of marketable securities held, sold or issued (Table 5, column E). Changes in value caused by exchange rate changes are not considered under "revaluation adjustments" but under a separate item.

14. The "exchange rate changes" category comprises any change in the stock position due to the impact of exchange rate movements on assets and liabilities denominated in foreign currency (Table 5, column D).

1.4. Non-financial assets

15. The conceptual definition of "transactions" and "other changes" given above is also applicable to non-financial assets, as is the compilation guidance provided in subsequent sections of this Manual of Procedures.

SECTION 2 - GENERAL DESCRIPTION OF THE ADJUSTMENT PROCEDURE

2.1. Calculation of flows data

16. The ECB calculates flows data by taking the difference between stock positions at end-period reporting dates and then removing the effect of developments different from transactions (Table 5 of this Annex). For each BSI, the amount outstanding at the end of the previous period (Table 5, column B) is subtracted from the amount outstanding at the end of the current period (Table 5, column A). The amounts of "reclassifications and other adjustments" (Table 5, column C), "exchange rate changes" (Table 3, column D) and "revaluation adjustments" (Table 5, column E) are then removed. The net balance represents the "flows" during the period (Table 5, column E).

17. The use of this procedure does not preclude the possibility that transactions may be identified either directly or indirectly. While the adjustment procedure is geared towards the indirect identification of transactions, it is left open to NCBs to provide information for adjustments that are derived from the direct observation of transactions, particularly in respect of holdings of securities. Hence, financial transactions are identified by calculating the sum of purchases minus sales of securities by MFIs recorded at transaction values with this figure used to compile an adjustment for "revaluation adjustments" to be reported within the flows reporting scheme.

2.2. Identification of adjustments to "other changes"

18. A division of responsibility has been established between the ECB and the NCBs for the provision of adjustments to the "other changes" (see Table 6). At the same time, the data sources to be used and the legal status of each requirement vary depending of the type of adjustment.

2.2.1. Reclassifications and other adjustments

19. NCBs compile data on "reclassifications and other adjustments" as requested by this Guideline using supervisory information, plausibility checks, ad hoc enquiries (e.g. related with outliers), national statistical requirements, information on joiners and leavers of the MFI reporting population, and any other source available to them. The ECB receives from the NCBs adjustments data relating to "reclassifications and other adjustments". The ECB is not expected to make ex post adjustments unless the NCBs identify sharp changes in final data. In addition, the NCBs provides the ECB with explanatory notes concerning adjustments in "reclassifications and other adjustments". The ECB requires these notes to double-check the correctness of the adjustments, improve comparability, analyse euro area monetary statistics and as a complement to money and banking statistics input into other statistics. The procedures to be followed by the NCBs in the compilation of these adjustments and the explanatory notes are set out below.

2.2.2. Exchange rate changes

20. For the purposes of submitting statistical data to the ECB, the NCBs ensure that asset and liability positions denominated in foreign currencies are translated into euro using the market exchange rate on the last day of the period. One common rate is used - the ECB reference exchange rate(10).

21. Movements in exchange rates against the euro that occur between end-period reporting dates give rise to changes in the value of foreign currency assets/liabilities when expressed in euro. As these changes represent holding gains/losses and are not due to financial transactions, these effects need to be removed from the flows data.

22. The adjustment is calculated by the ECB according to the rules contained in this Guideline and following the procedures in the Money and Banking Statistics Handbook for the compilation of flows statistics(11).

2.2.3. Revaluation adjustments

23. The "revaluation adjustments" are compiled by NCBs on the basis of data reported by MFIs according to Regulation ECB/2001/13. The statistical requirement addressed to the actual reporting population under that Regulation concerns exclusively the "revaluation adjustments", covering both the write-offs/write-downs of loans and "price revaluations" in respect of holdings of securities in the reference period.

24. Reporting agents are subject to a reporting requirement formed by the "minimum requirements" identified in Regulation ECB/2001/13, Annex I, Part 2, Table 1A. These "minimum requirements" are considered as the minimum required in order to compile and estimate adjustments in respect of the full set of data required by the ECB. NCBs are permitted to collect additional data not covered by the "minimum requirements". These additional data may refer to the breakdowns contained in Regulation ECB/2001/13, Annex I, Part 2, Table 1A other than the minimum requirements.

25. NCBs collect the data on the "revaluation adjustments" submitted by MFIs and compile a full set of data to be sent to the ECB according to Table 5, column E. In this process, NCBs may need to calculate the adjustments from the transactions, security-by-security data or other data reported by the MFIs and/or estimate the adjustments in respect of some of the breakdowns not reported by the MFIs because they are not considered as "minimum requirements".

26. Those NCBs that have granted a derogation to reporting agents in respect of the reporting frequency and/or timeliness of the "price revaluation of securities" in accordance with Article 4.7 of Regulation ECB/2001/13 submit to the ECB a complete set of monthly data based on estimates with the same timeliness as for stock data required in that Regulation, and submit revised "revaluation adjustments" data once actual data had been received.

27. Those NCBs that have granted a transitory derogation to reporting agents in respect of the reporting timeliness of monthly "revaluation adjustments", in accordance with Article 7 of Regulation ECB/2001/13, submit to the ECB a complete set of monthly data based on estimates with the same timeliness as for stock data required in that Regulation, and submit revised "revaluation adjustments" data once actual data had been received (see Table 5). The derogation policy of each NCB and estimates procedures will be monitored through surveys of national practice.

SECTION 3 - DETAILED DESCRIPTION OF THE MONTHLY FLOWS ADJUSTMENTS

28. Each NCB submits separate adjustment data covering its balance sheet and the other MFIs' balance sheet. Separate reporting of these data gives the ECB the flexibility to provide a separate presentation of specific European System of Central Banks (ESCB) positions (e.g. external reserves). Separate provision is relatively easy, as the adjustments are expected to be compiled separately. Adjustments to the ECB balance sheet are also internally compiled. The NCBs submit adjustments in respect of all items on the MFIs' balance sheet (Table 5 of this Annex) at monthly intervals.

The adjustments for movements in exchange rates are to be calculated by the ECB (included in Table 5, column D). For this reason, adjustments (columns C and E) provided by the NCBs in respect of balances denominated in foreign currencies exclude the effect of changes in the exchange rate.

29. In principle, the NCBs send all "reclassifications and other adjustments". In any event, the NCBs send all "reclassifications and other adjustments" above EUR 50 million. This threshold is intended to help the NCBs decide whether to make an adjustment or not. However, when information is not readily available or of a poor quality, a decision can be made either to do nothing or to make estimates. For this reason, flexibility is needed in the operation of such a threshold, not least because of the heterogeneity of existing procedures for calculating adjustments. For example, where relatively detailed information is collected regardless of the threshold, it may be counterproductive to try to apply such a threshold. Importantly, this threshold does not apply to the data to be reported by MFIs to NCBs, i.e. "revaluation adjustments" to be reported according to Regulation ECB/2001/13.

30. The NCBs compile MFI balance sheet data as at the last day of the month. In principle, the balance sheet is drawn up as at the last calendar day of the month, meaning that local bank holidays are ignored. However, it is accepted that in many cases this will not be possible and that the balance sheet will be drawn up at the end of the last working day, which is in accordance with local (national) market or accounting rules.

31. Flows and adjustments are subject to the same double-entry accounting system as stocks. In all cases, adjustments have a counterpart which, in many cases, is likely to be "capital and reserves" or "remaining liabilities", depending on the operation and the local accounting rules.

32. The NCBs submit information on "reclassifications and other adjustments" and "revaluation adjustments" so that these non-transaction effects can be removed in the calculation of flows statistics. This information comprises the amount by which each item of the balance sheet is adjusted. Accompanying notes explain the most significant reclassification adjustments.

3.1. Reclassifications and other adjustments

33. The "reclassifications and other adjustments" (Table 5, column C) comprise the effect of changes in the composition of the statistical reporting population, changes in structure, changes in the classification by sector of the counterparties of MFI reporting agents and in the classification of assets and liabilities, and the effect of correcting reporting errors.

3.1.1. Changes in statistical coverage

34. Changes in the composition of the MFI sector may give rise to the transfer of business across economic sector boundaries. Such transfers do not represent transactions and are therefore identified - and their impact included - as an adjustment in the column "reclassifications and other adjustments".

35. An institution that joins the MFI sector may transfer business into the sector, whereas an institution leaving the MFI sector may transfer business out of the sector. However, to the extent that the joining institution starts its business ex novo after having joined the MFI sector, this represents a transaction flow that is not removed from the statistical flow(12); similarly, where a leaving institution runs down its business prior to leaving the MFI sector, this is captured in the statistical flow.

36. The impact of a transfer of business into/out of the MFI sector on the consolidated balance sheet depends, inter alia, on whether there is full monthly reporting by all MFIs or "tail" reporting by some MFIs. Where all MFIs are subject to full monthly reporting (i.e. there is no "tail"), an institution joining the MFI sector will report its first balance sheet after a suitable interval (usually at the end of the month in which it joins or at the next end-quarter). Similarly, the balance sheet of an institution leaving the MFI sector will be removed at the time of its departure (to coincide with the last reported balance sheet) or perhaps later, for example if monthly data are carried forward to the next end-quarter. To the extent that the business reported on this first/last balance sheet is transferred into/out of the MFI sector, an adjustment may be made in the month in which this transfer occurs. Where institutions join or leave as MFIs in the reporting "tail", the impact on the consolidated balance sheet will depend on whether or not the monthly balance sheet is grossed up and, if it is, on the grossing-up procedure that is used.

37. Most of the information needed to make an adjustment for changes in statistical coverage should be available from within the statistical reporting system. However, it may be necessary for the NCBs to collect ad hoc information from institutions entering the MFI sector in order to determine whether business reported on the first balance sheet has been transferred from outside the MFI sector or built up after entry. Similar information is collected from those institutions leaving the MFI sector.

38. The NCBs identify institutions that join or leave the MFI sector and determine the effect of these entries or exits on the aggregated balance sheet of the MFI in accordance with the guidance outlined in Table 8. The net effect of the joiners or leavers on the aggregated balance sheet of the MFI sector is calculated by aggregating the opening balance sheets of new entrants and the closing balance sheets of the leavers and, for each item, taking the difference between the two. This net figure is entered under "reclassifications and other adjustments" (Table 5, column C). A net addition of business to the MFI sector is entered with a positive sign, a net removal of business with a negative sign. Compilers are aware that in certain circumstances there can be an effect on the counterparties' reporting, so this effect must also be included in the adjustments, in this case as a change in sector. For instance, if an MFI surrenders its authorisation but continues to operate as "another financial institution", funded through the interbank market, then there will be an artificial rise in MFI lending to "other financial institutions", which will require an adjustment (covered by "changes in the classification of counterparty sector"). As the procedures for changes in the MFI sector envisage that entities join (or leave) the MFI sector at any time, the NCBs must be in a position to make this adjustment on a monthly basis (depending on the statistical compilation procedures employed).

3.1.2. Changes in structure

39. A change in structure is the appearance and disappearance of certain financial assets and liabilities arising from corporate restructuring. It refers typically to mergers, acquisitions and divisions. When a corporation disappears as an independent legal entity because it is absorbed by one or more other corporations, all financial assets and liabilities that existed between that corporation and those that absorbed it disappear from the system.

40. The information source by which to identify these adjustments is the final balance sheet of the old institutions and the first balance sheet of the new institutions.

41. The NCBs identify the outstanding balances between the institutions that are restructured. These amounts are created or netted due to the merger, acquisition or division and are not real transactions. Therefore, they are considered as "reclassifications and other adjustments". Revaluation effects can be associated with changes in structure and should be compiled separately.

42. For a complete analysis of changes in structure, together with other developments arising from mergers, acquisitions and splits, see Appendix 2.

3.1.3. Reclassification of assets and liabilities

43. A change in the domestic sector or instrument classification of their counterparties will lead reporting MFIs to reclassify asset/liability balances vis-à-vis these counterparties within the balance sheet. Such a reclassification results in a change in the reported stock position in the period in which the transfer takes place. As this change is a book-entry transfer of business between sectors and instrument classes and does not represent a transaction, an adjustment must be introduced to remove its impact from the flows statistics.

44. Changes in classification occur for a number of reasons. A change in the sectoral classification of counterparties may occur because a public sector body is transferred to the private sector or because mergers/demergers alter the principal activity of corporations. Securitisations almost always involve financial transactions; however, where they involve only an accounting change, they would be included here.

45. It may be difficult for NCBs to identify the reclassification of assets and liabilities because they will normally be indistinguishable from other movements within the balance sheet. In view of this, the NCBs should focus on identifying changes through the reported balance sheet (plausibility checking) or by using supervisory information, ad hoc additional information (e.g. related to outliers), national statistical requirements, information on joiners and leavers of the MFI reporting population, and any other source available to them. Where potential changes due to reclassifications have been identified, reporting MFIs are asked for ad hoc information on the precise impact on the reported balance sheet. As reclassifications will usually be identified outside of the standard reporting network, it is accepted that NCBs focus on removing significant changes.

46. In principle, the NCBs identify changes in stocks that are due to reclassifications on a monthly basis. The net amount identified is entered under "reclassifications and other adjustments" (Table 5, column C); a net increase in stocks due to sectoral reclassification is entered with a positive sign, a net decrease in stocks with a negative sign.

3.1.4. Adjustments of reporting errors

47. A revision policy is already in place for MFI monthly balance sheet statistics. While revisions are in principle accepted at any point in time, revisions to the previous month's data are accepted as a matter of routine (in addition to revisions to data for the current month); revisions to data for the previous two to three months will also arise on a routine basis due to the application of the grossing-up procedure and may also occur due to the identification and correction of reporting errors.

48. The NCBs immediately correct reporting errors in the stock data as soon as the errors have been identified. Where the error occurs once only (i.e. affects a single period) or affects back series only over a limited time range, corrections may be made that totally remove the error from the data. In these circumstances, no break in series will occur. However, where the error affects historical data prior to September 1997 and no correction of past data is made or is made only for a limited time range, then a break will occur between the first period with a corrected figure and the last period containing the uncorrected figure.

49. Reporting errors are identified within the statistical reporting system, so that there should be no need to seek additional information sources.

50. The NCBs identify the size of the break that occurs and enter an adjustment under "reclassifications and other adjustments" (Table 5, column C).

3.2. Exchange rate adjustment

51. The ECB calculates a standard adjustment using data already submitted to it in accordance with Regulation ECB/2001/13. This adjustment is calculated using currency proportions derived from a breakdown of assets and liabilities into major currencies that are available separately (cf. Regulation ECB/2001/13, Annex I, Part 2, Table 4)(13). However, the instrument breakdown in this table is less detailed than in Table 1 and the data are only available quarterly, with a longer delay. The ECB removes the effect of exchange rate movements using a so-called "standard adjustment". This is calculated in a series of steps in order to permit the estimate of the adjustment. In each of these steps a number of assumptions and simplifications are made in order to permit the application of the adjustment.

51.1. The first step is to identify balances denominated in each of the key non-European Union (EU) foreign currencies (USD, JPY and CHF) and in other EU currencies (GBP, DKK and SEK)(14). As separate currency-by-currency breakdowns are only available on a quarterly basis (at the end-quarters), the end-month breakdown is calculated using proportions derived from data available for the previous end-quarter.

51.2. Currency-by-currency data are only available at end-quarter reporting dates, whereas the currency adjustments must be calculated at end-months. Furthermore, currency-by-currency data will be received with a delay of 28 working days, which is 13 working days later than the receipt of stocks and of adjustments of the month of the end-quarter. Hence, the currency shares in the total foreign currency balance must be carried forward into the intervening and end-quarter months. Actual data on currency proportions replace projected data for the end-quarter month when new quarterly data are received. It is assumed that the proportions of each currency remain stable during the months after the quarterly reporting, although it is noted that the split euro/non-euro is available at monthly frequency in respect of most of the items, minimising the possibility of error.

51.3. It is also assumed that the size of currencies other than the euro (USD, JPY, CHF, GBP, DKK and SEK) in the MFI balance sheet is small. Furthermore, detailed currency-by-currency data are available only in respect of the limited breakdown of Regulation ECB/2001/13, Annex I, Part 2, Table 4. In order to overcome this difficulty, the same currency proportions calculated in respect of the items in this table are applied to the more detailed breakdowns contained in Annex I, Part 2, Table 1.

51.4. The second step is to convert these breakdowns for the current and previous end-months into their currency of denomination. It is assumed that the end-month exchange rate has been used to translate non-euro denominated assets into euro for all items.

51.5. The third step is to calculate the difference in stocks within the currency of denomination of the stocks. The resulting value represents the change in stocks with the exchange rate effect removed. Price revaluations are not removed as they are reported under a separate adjustment.

51.6. The fourth step is to translate this value into euro using the average exchange rate during the month. This value represents the real transaction if there were no other adjustment, assuming that the average exchange rate represents the average exchange rate of the sales and purchases, issues and redemptions of the period. The amount to be added to column D is the difference between the two balance sheets less this value.

52. In normal circumstances, errors arising from the use of Table 4 of Annex I, Part 2 of Regulation ECB/2001/13 are small (currency proportions change slowly; balances denominated in unidentified currencies should be modest). However, to allow for the possibility that the standard adjustment can occasionally give a less accurate picture of the impact of exchange rate changes, provision has been made for the ECB to apply ad hoc adjustments in consultation with the NCBs. In these cases, the NCBs are asked to provide additional information on currency proportions.

3.3. Revaluation adjustments

53. The category "revaluation adjustments" covers both the write-offs/write-downs of loans and price revaluations in respect of securities issued and/or held which are reported in accordance with the requirements set out in Regulation ECB/2001/13.

3.3.1. Write-offs/write-downs of loans

54. The adjustment in respect of the "write-offs/write-downs" is reported in order to remove from the flows statistics 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. This adjustment should also reflect the changes in the level of loan-loss provisions if an NCB decides that the outstanding stocks should be recorded net of provisions. Write-offs recognised at the time the loans are sold or transferred to a third party are also included, where identifiable.

55. Reporting agents are subject to a reporting requirement formed by the "minimum requirements" identified in Regulation ECB/2001/13, Annex I, Part 2, Table 1A, although NCBs are permitted to collect additional data not covered by the "minimum requirements". In any case, NCBs compile a full set of data to be sent to the ECB according to Table 5, column E. In this process, NCBs may need to calculate and/or estimate the adjustments in respect of some of the breakdowns not reported by the MFIs because they are not considered as "minimum requirements". The counterpart of the write-off/write-down adjustment will be one or other of the items "capital and reserve"/"remaining liabilities".

56. In allocating the adjustments to the corresponding maturity band and counterparty sector, NCBs should take into account the accounting rules regarding bad loans (e.g. the allocation of bad loans to a certain maturity band) and the relative credit risk of each sector.

57. Where there is insufficient information to allocate the adjustment, it may be broken down into Regulation ECB/2001/13 categories on a pro rata basis determined by the size of the stock positions.

58. Cells marked as "minimum" in Regulation ECB/2001/13 will be reported to the ECB even if they are not directly compiled because the NCB collects more detailed information in respect of the write-offs/write-downs. In such a case, the minimum cells are calculated as the sum of the components.

3.3.2. Price revaluation of securities

59. The adjustment in respect of the price revaluation of securities refers to fluctuations in the valuation of securities that arise because of a change in the price at which securities are recorded or traded. The adjustment includes the changes that occur over time in the value of end-period balance sheet stocks arising from holding gains/losses. It may also contain valuation changes that arise from transactions in securities i.e. realised gains/losses.

60. Price revaluations affect only a limited range of BSIs: on the liabilities side, the item "debt securities issued" and, on the assets side, "securities other than shares" and "shares and other equity" and their counterparts which are mainly "capital and reserves" and "remaining liabilities". Deposits and loans have fixed nominal values and are therefore not subject to price changes.

61. The nature and extent of "revaluation adjustments" are determined by the method of valuation adopted. Although the guidance notes recommend that both sides of the balance sheet are recorded at the market value, in practice a variety of different valuation methods may be employed on both the liabilities and the assets sides. The guidance notes suggest that this is acceptable as long as the book value does not diverge significantly from the market value.

62. On the liabilities side of the balance sheet, the most common accounting practice is for marketable securities to be entered on the balance sheet with a fixed value, such as nominal, issue or redemption value. It is not common for reporting agents to use a market-related valuation. For this reason, Regulation ECB/2001/13 does not require the reporting of the price revaluation in respect of the item "debt securities issued" by MFIs (they are not marked as "minimum") and considers that they are assumed to be zero (therefore reported as nil to the ECB by the NCBs) unless there is evidence to the contrary.

63. On the assets side of the balance sheet, holdings of securities may be recorded using market price, purchase price, the lower of market or purchase price or redemption value in accordance with standard accounting practice. The content of the adjustment will depend on the valuation method applied (for further details see the guidance notes).

64. The Regulation allows flexibility in terms of the type of data needed to calculate the price revaluation of securities and the form in which these data should be collected and compiled. The decision on the method will be left to the NCBs, based on options in this Guideline. The options so far identified that would be available to NCBs are the following:

64.1. MFIs to report adjustments: MFIs report the adjustments applicable to each item, reflecting the valuation changes due to change in prices. NCBs that choose this method aggregate the adjustments reported by MFIs for the submission of data to the ECB.

64.2. MFIs to report flows: MFIs accumulate flows during the month and transmit to the NCB the value of purchase and sale of securities. The compilation and submission to the NCB of net flows is perfectly acceptable. NCBs that receive transactions data have to calculate the "revaluation adjustment" as a residual from the difference between the stocks and the transactions and other adjustments, and submit the revaluation adjustment to the ECB in accordance with the ECB Guideline.

64.3. Security-by-security reporting: MFIs report to NCBs all relevant information on holdings of securities, such as the nominal (face) value, accounting (book) value, market value, sales and purchases, on a security-by-security basis. This information permits NCBs to obtain accurate information on the "revaluation adjustment" to be submitted to the ECB. This method is intended to accommodate NCBs that already follow such an approach in collecting data at a local level.

65. In principle, NCBs are restricted to the above methods. However, other methods can also be used if they are shown to be capable of delivering data of comparable quality.

66. NCBs are permitted to collect from reporting agents additional data not covered by the "minimum requirements". In any case, the NCB submits to the ECB a full set of data according to Table 5, column E. In this process, NCBs may need to calculate the adjustments from the transactions, security-by-security data or other data reported by the MFIs and/or estimate the adjustments in respect of some of the breakdowns not reported by the MFIs because they are not considered as "minimum requirements". The counterpart of the write-off/write-down adjustment will be one or other of the items "capital and reserve"/"remaining liabilities".

67. In addition, the NCBs submit the data which constitutes "minimum requirements" in Regulation ECB/2001/13 to the ECB. If these data are not directly compiled they will be estimated from the data reported by MFIs. For this purpose, if no other information is available it can be assumed that the revaluations corresponding to securities over two years is equal to the total amount of revaluation adjustment in respect of the holdings of securities other than shares issued for each sector.

SECTION 4 - MONTHLY FLOWS ADJUSTMENTS - SPECIAL ADAPTATIONS

4.1. ECB/NCB balance sheet statistics

68. In order to compile the monetary aggregates and their counterparts as flows statistics, the ECB must receive adjustment data covering the entire MFI sector, including the ECB/NCBs. Hence, the full requirements specified in this Manual of Procedures also apply to the ECB/NCBs, with the following caveats:

69. In accordance with the bridging exercise, the requirement for balance sheet data has been slightly modified to reflect the special activities of the ECB/NCBs. Certain items have been removed: no data are required on the breakdown of repos or deposits with periods of notice. Other items have been added: on the liabilities side "counterpart of SDRs" and on the assets side "gold and gold receivables" and "receivables from drawing rights, SDRs, other", as stocks for these items are also required in this Guideline. The ECB/NCBs submit adjustment data for each of these items.

70. Adjustments. In principle, the ECB/NCBs submit adjustments to the ECB according to the procedures outlined in this Manual of Procedures. In practice, some modifications can be identified:

70.1. "Reclassifications and other adjustments." The adjustments to "changes in statistical coverage" are not relevant. However, the ECB/NCBs may have positions subject to reclassifications and revisions, in which case adjustments are provided.

70.2. "Adjustments to exchange rate changes." In accordance with Regulation ECB/2001/13, Annex I, Part 2, Table 4, currency-by-currency data are provided from end-December 1998. For the purposes of calculating the exchange rate adjustment, back and historic data may be sent. In the case of the ECB, the exchange rate adjustment is not estimated using the standard procedure but directly reported from the accounting data.

70.3. "Revaluation adjustments." In accordance with the agreed procedure, the ECB/NCBs provide data on the size of this revaluation. The ECB's/NCBs' balance sheet is presented on a monthly basis at market value for statistical purposes. As a consequence, revaluation adjustments should be reported every month.

71. Threshold. A threshold of EUR 5 million is set for the NCBs' "reclassification and other adjustments" data. This threshold is needed because NCB balance sheets are reported separately and may be published separately (within the consolidated balance sheet of the ESCB).

4.2. Money market funds

72. In principle, the NCBs provide adjustments in respect of "reclassifications and other adjustments" and "revaluation adjustments" in accordance with the reporting scheme for money market funds (MMFs). In certain circumstances these procedures may need to be adapted. Nevertheless, Article 4.6 of Regulation ECB/2001/13 provides NCBs with the possibility of granting a derogation to some or all MMFs in respect of the reporting of the "revaluation adjustments".

73. If this derogation is not applied or not applied to all institutions the following rules apply:

73.1. The assets side of the MMFs balance sheet does not require any special treatment as it is already fully covered by the main part of this Manual of Procedures.

73.2. The liabilities side consists almost entirely of the item "money market fund shares/units". MMFs are institutional units in their own right and, hence, cannot be considered as transparent. As a consequence, the treatment of the assets side of the MMFs balance sheet has no direct implications for the treatment of the liabilities side. Furthermore, the treatment is similar to that given to similar instruments on the liabilities side.

73.3. MMFs are included in the list of MFIs because MMF shares/units are close substitutes for deposits. Therefore, MMF shares/units receive the same treatment as deposits. Financial transactions in deposits comprise flows into/out of deposit accounts due to customer credits/debits and the receipt of interest. As deposits have a fixed nominal value, there are no holding gains and losses. Hence, all changes in stocks between two periods represent, with the exception of "reclassifications and other adjustments", financial transactions.

73.4. As far as MMF shares/units are concerned, customer credits/debits to/from deposits have their equivalent in the purchase/sale of shares/units; the receipt of interest on deposits has its equivalent in changes in the value of shares/units. As changes in the value of MMF shares/units usually occur daily, this instrument is similar to deposits where interest is received daily. This is explained by the ease with which MMF shares/units can be liquidated. As deposits, all changes in the stock of MMF shares/units are to be treated as financial transactions (again, with the exception of "reclassifications and other adjustments").

74. In summary, if the derogation in respect of the "revaluation adjustments" is not applied, MMF assets are treated in accordance with the common procedure(15); under liabilities, to calculate the "money market fund shares/units" flow, it is enough to exclude the "reclassification" adjustments from the difference between the balances. No revaluation adjustment is reported for this instrument.

4.3. General government liabilities (and assets)

75. Stock data are to be collected in respect of the deposit liabilities (and assets) of the general government. For the purposes of compiling flows statistics, adjustments data are in principle supplied in accordance with the requirements established for the MFI balance sheet statistics. In practice, changes other than transactions (i.e. due to exchange rate or market price changes) are unlikely to occur. These data are reported as indicated in Tables 3 and 5.

4.4. Memorandum items

76. Flows are also calculated in respect of memo items on the residency breakdown of the holders of securities issued by MFIs, in order to integrate these data in the regular production of money and banking statistics and in the calculation of monetary aggregates. For that reason reclassification adjustments, exchange rate adjustments and revaluation adjustments are calculated in respect of these memo items. These data are reported as indicated in Tables 3 and 5.

4.5. Transitional period on the revaluation adjustment

77. Regulation ECB/2001/13 established that, for a transitional period of 12 months, the requirements on write-offs/write-downs of loans and price revaluations on securities data may be reported to the ECB with a delay of one further month from the close of business on the 15th working day following the end of the month to which the data relate. Nevertheless, those NCBs which apply the transitional provision continue to send data on the monthly revaluation adjustments series that were previously covered by Guideline ECB/2002/5 of 30 July 2002 concerning certain statistical reporting requirements of the European Central Bank and the procedures for reporting by the national central banks of statistical information in the field of money and banking statistics(16), with the same timeliness as for the corresponding stock series. Provisional or estimated data may be provided and then revised in the following monthly data transmission.

SECTION 5 - CALCULATION OF FLOWS ON THE QUARTERLY DATA

5.1. Introduction

78. A structural analysis of the quarterly stock data contained in Regulation ECB/1998/16, Annex I, Part 2, Tables 2 and 3 could provide the information needed to assess the monetary policy implications only to a limited extent. As a consequence, the compilation of flows statistics was extended to also cover these quarterly tables in Guideline ECB/2002/5. It is noted that Regulation ECB/2001/13 does not cover the reporting of revaluation adjustments in respect of quarterly data.

79. Given that part of the data previously reported on a quarterly basis as part of Regulation ECB/1998/16, Annex I, Part 2, Tables 2 and 3 is reported on a monthly basis according to Regulation ECB/2001/13, Annex I, Part 2, Table 1, and considering the need to continue the calculation of flows statistics in respect of those items that remain to be reported on a quarterly basis i.e. items contained in Regulation ECB/2001/13, Annex I, Part 2, Table 2, NCBs are required to provide adjustment data in respect of the quarterly data as detailed below, by using estimates if needed.

80. For completeness, this requirement is extended to the reporting of adjustments in respect of data on the NCBs, including historical data at least from and including January 1999.

5.2. Procedure to calculate flows statistics

81. The procedure for the calculation of flows for the quarterly Table 2 is similar to that applied to the monthly Table 1 as described in Sections 2 and 3. The ECB calculates financial transactions on quarterly data by taking the difference between stock positions at end-quarter reporting dates and then removing the effect of developments different from transactions. These non-transaction effects are divided into three types, "reclassifications and other adjustments", "exchange rate changes" and "revaluation adjustments". Adjustment series are created for each of the effects above.

82. Similar to the procedure applied to Table 1 contained in Section 2, the "exchange rate changes" adjustment is also calculated by the ECB in respect of Table 2. A "standard adjustment" to Table 2 is obtained by using the information contained in the quarterly Table 4 and the "exchange rate adjustments" calculated for Table 1(17). An "ad hoc adjustment" can be implemented if necessary also for Table 2.

83. The definitions contained in Section 3, in respect of Table 1, are also applicable to the "reclassification" quarterly adjustment and the "revaluation adjustment" (write-offs/write-downs and price revaluations) quarterly adjustment submitted by the NCBs in respect of Table 2. The list of adjustments to be submitted is included in Table 2 of this Annex.

84. Relevant quarterly adjustments are reported in two cases.

84.1. Firstly, when an adjustment is submitted for the monthly table (Table 1). In this case, the monthly adjustment may affect the breakdown items contained in Table 2. In other words, where an adjustment is reported in Table 1 this implies that adjustments are reported in respect of items contained in Table 2. Consistency is ensured between the two sets of data on a quarterly basis (in other words, the sum of the monthly adjustments must equal the quarterly adjustment). If a threshold is established for the quarterly adjustments, or the quarterly adjustments cannot be identified in full or to the same level of detail as the monthly adjustment, the adjustment is calculated so as to avoid discrepancies with the adjustment reported in respect of the monthly data.

84.2. In respect of the "price revaluation of securities", the exclusion of the valuation changes that arise from transactions in securities (i.e. the application of the so-called "balance sheet method", see the guidance notes) could in principle cause inconsistencies between monthly and quarterly adjustments. Under this method, only revaluations affecting securities reported as stocks at both the end of the present and at the end of the current and previous reporting should be considered. As a consequence, a shift in the reporting frequency would give rise to differences in the adjustment reported. To avoid this undesired effect and to ensure consistency between quarterly and monthly adjustments, the calculation of the "price revaluation of securities", where the "balance sheet method" is applied, should be done on a monthly basis irrespective of whether the data are reported monthly or quarterly. In other words, the quarterly adjustment would be calculated as the sum of monthly adjustments, ensuring consistency between monthly and quarterly adjustments. Where the underlying data are not available on a monthly basis, estimates are accepted in order to ensure consistency between the monthly and quarterly adjustments. On the contrary, the inclusion of valuation changes that arise from transactions in securities (the application of the so-called "transaction method", see the guidance notes) would provide quarterly adjustments that are fully consistent with the monthly data. Under the "transaction method", all revaluations affecting securities are reported, without regard to the stocks at the beginning or end of the period. As a consequence the quarterly adjustments should coincide with the sum of the monthly adjustments.

84.3. In addition, adjustments may be needed for the quarterly tables even if no adjustment is reported on the monthly Table 1. This is the case when a reclassification takes place at the quarterly level of detail but is cancelled out at the more aggregated monthly level. It may also be applicable to "revaluation adjustments", when the different components of a monthly item move in different directions. Consistency is also ensured between monthly and quarterly data in these cases. Regarding "price revaluation of securities", consistency is ensured by applying the "balance sheet approach" on a monthly basis, not only in respect of the monthly tables but in respect of the quarterly tables as well.

85. The extent to which NCBs supply adjustments for the quarterly statistics depends on their ability to identify or estimate to a reasonable degree of accuracy the detailed sectoral/instrument classification of existing (monthly) adjustments. With respect to "reclassifications and other adjustments", information is available. In particular, the NCBs have sufficiently detailed information to easily allocate large one-off adjustments (e.g. a reclassification due to a reporting error) to specific quarterly items. Likewise quarterly adjustments due to changes in the reporting population do not imply difficulties for the NCBs. In respect of "revaluation adjustment", write-offs and revaluations are more difficult to obtain due to the lack of the appropriate breakdowns in the original data sources. In view of this, it is expected that the "revaluation adjustment" is based at least in part on the application of estimates. The provision of estimates is accompanied by explanatory notes explaining the method used (e.g. missing breakdowns are estimated on a pro rata basis by using stock data).

86. In order to ensure consistency between adjustments for quarterly Table 2 data and those for monthly Table 1, the adjustments to Table 1 refer to a one-month period, while the adjustments to Table 2 refer to a one-quarter period. Adjustments to the quarterly data are equal to the aggregation of three monthly periods, e.g. the quarterly adjustment reported in March should be consistent with the sum of the monthly adjustments of January, February and March. Since quarterly flows adopt the same framework as monthly flows, including the use of the "balance sheet method" on a monthly basis also for the quarterly flows, they have to be consistent with them over time.

(1) OJ L 333, 17.12.2001, p. 1.

(2) OJ L 330, 6.12.2002, p. 29.

(3) November 2002.

(4) Published by the ECB in December 1999, to be updated in 2003.

(5) The European System of Accounts 1995, contained in Annex A to Council Regulation (EC) No 2223/96 of 25 June 1996 on the European system of national and regional accounts in the Community, OJ L 310, 30.11.1996, p. 1, as last amended by Regulation (EC) No 359/2002 of the European Parliament and of the Council, OJ L 58, 28.2.2002, p. 1.

(6) In accordance with the ESA 95 and other international statistical standards.

(7) Nevertheless, it is recognised that write-offs associated with transactions are not always reported, which implies a deviation from this principle that is accepted in Regulation ECB/2001/13 and the guidance notes thereto.

(8) The definition and valuation of financial transactions for the purposes of compiling flows statistics for euro area monetary aggregates and counterparts differs in some aspects from those provided for in the ESA 95 to calculate financial accounts (flows). The ESA 95 states that financial transactions arising from timing differences between accrued or distributive transactions or financial transactions on the secondary market and the corresponding payment are classified as "F.79 Other accounts receivable/payable" (paragraphs 5.128 and 5.129). By contrast, the ESA 95 also states that "preferably the counterpart financial transaction of interest accruing on financial assets should be recorded as being reinvested in that financial asset". The recording of interest will, however, have to follow national practice. If interest accrual is not recorded as being reinvested in the financial asset, it should be recorded in "other accounts receivable/payable" (paragraph 5.130). In the balance of payments, accruals should be treated as an increase in the value of the financial instrument. As a consequence, a deviation arises when accrued interests are included in "remaining assets" or "remaining liabilities". The treatment of accrued interest on negotiable instruments in the context of MFI balance sheet statistics (both stocks and flows) may be subject to further examination.

(9) The definition and classification of "other changes" is largely consistent with the ESA 95. "Reclassifications and other adjustments" is broadly equivalent to "other changes in volume" (K.3-K.10 and K.12), whereas "revaluations" may be transferred to "nominal holding gains/losses" (K.11). An important deviation concerns the inclusion of "loan write-offs" within "revaluations", whereas in the ESA 95 they are regarded as "changes in volume" (paragraph 5.09). In fact, the reporting scheme for the derivation of flows permits data to be compiled in accordance with the ESA 95 because loan "write-offs/write-downs" is the only entry under the column "revaluation adjustments" in respect of the item "loans". The inclusion of "loan write-offs" within "revaluations" is also a deviation from the international investment position (i.i.p.) rules. In the i.i.p. these should be treated as "other adjustments" and not as "price or exchange rate changes".

(10) See the ECB press release of 7 July 1998.

(11) The adjustments corresponding to the ECB's own balance sheet are reported by the ECB Directorate Internal Finance.

(12) This criterion applies in borderline cases, for example the establishment of a new bank that takes over the operations previously carried out by a representative office on behalf of a non-resident bank gives rise to a transaction flow that is not removed from the statistical flow.

(13) See Table 4 of this Annex.

(14) No adjustment is made for balances denominated in the remaining currencies. Data on USD, JPY and SFR were reported according to Table 5 of Regulation ECB/1998/16 of 1 December 1998 concerning the consolidated balance sheet of the monetary financial institutions sector, OJ L 356, 30.12.1998, p. 7, as from December 1998 and on a voluntary basis by NCBs using other national data sources as from September 1997. Data on GBP were reported to the ECB by NCBs on a voluntary basis as from August 2001, where possible including back data, with a similar structure as the reporting of other currencies in Table 4 of Regulation ECB/2001/13 and as from January 2003 as part of Table 4 of Regulation ECB/2001/13. The ECB will calculate the foreign exchange adjustment for the SEK and the DKK as well.

(15) The counterpart of the revaluation on the assets side, in the case of MMFs, is not "money market fund shares/units" but "remaining liabilities".

(16) OJ L 220, 15.8.2002, p. 67.

(17) Further details will be contained in the Addendum to the Money and Banking Statistics Handbook for the compilation of flow statistics.

Appendix 1

RULES APPLIED TO COMPILE HISTORICAL DATA

General rule

1. The NCBs submitted to the ECB end-month balance sheet data as from end-June 1998 in accordance with Regulation ECB/1998/16 of 1 December 1998 concerning the consolidated balance sheet of the monetary financial institutions sector(1) as amended by Regulation ECB/2000/8(2), with best estimates back to end-September 1997 and available data back to the early 1980s. To ensure consistency with this reporting, the NCBs submitted adjustments to compile flows statistics starting with data for July 1998, best estimates back to October 1997 and available data back to the early 1980s. Furthermore, NCBs also provided explanatory notes for "reclassifications and other adjustments" according to the same timetable reference period.

2. In phasing in the requirements, the NCBs focused on the provision of adjustments that remove the most significant non-transaction effects from those balance sheet items (BSIs) that were likely to be included in the definition of the euro area-wide monetary aggregates. Significant "reclassifications and other adjustments" based on available data were supplied at least in respect of these items with effect from July 1998. Significant "reclassifications and other adjustments" to historical data prior to September 1997 were supplied on the basis of available data covering periods as far back as possible (i.e. from the early 1980s), but at least covering periods from end-September 1997.

3. For "reclassifications and other adjustments" to other BSIs and for all "revaluation adjustments", the NCBs supplied significant adjustments to current data at least from end-June 1998 with adjustments to historical data at least from and including September 1997. As it was recognised that the NCBs needed time to implement new reporting systems, full adjustments to items included in monetary aggregates and other items were required as from end-December 1999.

4. In addition, NCBs might report data relating to Table 5, Annex I, Part 2 of Regulation/ECB/1998/16 for the period from September 1997 to September 1998.

5. The phasing-in timetable established above represented the minimum that NCBs were required to achieve. Where possible, NCBs implemented these matters earlier. For example, in respect of some adjustments (such as those to "reclassifications and other adjustments"), it made sense to start reporting certain adjustments in respect of all BSIs at the same time (e.g. those related to statistical coverage).

6. High priority items were: currency; deposits vis-à-vis non-monetary financial institutions (MFIs) in the euro area; debt securities; money market paper(3); money market fund (MMF) shares; MFI holdings of securities other than shares issued by MFIs; and money market paper.

Revaluation adjustment

7. The reporting of write-offs/write-downs and price revaluations by the MFIs in respect of the monthly balance sheet was established as from January 2003 by Regulation ECB/2001/13 concerning the consolidated balance sheet of the monetary financial institutions sector(4) as amended by Regulation ECB/2002/8(5). Previously this information was only required as part of Guideline ECB/1998/NP27 of 22 December 1998 concerning certain reporting requirements of the European Central Bank and the procedures for reporting by the national central banks of statistical information in the field of money and banking statistics and its updates and no requirement was directly imposed on the MFIs. In consequence the data were reported by NCBs to the ECB by using different available national data.

Write-offs/write-downs

8. The NCBs used various data sources to identify write-offs/write-downs, such as the profit and loss account, statements on transactions, data on adjustments reported by MFIs or special surveys. However, evidence suggested that this information might not be complete. In these cases, estimates were used to fill gaps. For example, missing breakdowns were estimated using weights based on outstanding stocks; data available with a longer delay or lower frequency were introduced late as revisions or were divided to obtain the required (monthly) frequency.

Price revaluations

9. "Price revaluations" (previously called "other price revaluations") affected only a limited range of BSIs: on the liabilities side, the items "debt securities issued" and "money market paper" and, on the assets side, "securities other than shares", "money market paper" and "shares and other equity" and their counterparts which were mainly "capital and reserves" as contained in Annex I, Part 2, Table 1 of Regulation ECB/1998/16.

10. The nature and extent of the "price revaluation" is determined by the method of valuation adopted. Although the ECB Money and Banking Statistics Compilation Guide - Guidance provided to NCBs for the compilation of money and banking statistics for submission to the ECB(6) - recommended that both sides of the balance sheet were recorded at the market value, in practice a variety of different valuation methods were and are employed on both the liabilities and the assets sides. The Compilation Guide suggested that this was acceptable as long as the book value did not diverge significantly from the market value.

11. On the liabilities side of the balance sheet, the normal accounting practice is for marketable securities to be entered with a fixed value, such as nominal, issue or redemption value. It is not common for reporting agents to use a market-related valuation. On the assets side of the balance sheet, holdings of securities may be recorded using market price, purchase price, the lower of market or purchase price or redemption value in accordance with standard accounting practice.

12. Where security issues or holdings were given a market-related value, NCBs were requested to provide adjustments. Where securities were recorded at a constant price, an adjustment could be sent if the transaction took place at a different price. In general, it was expected that debt securities with a short original maturity (below two years) or money market paper would be subject to rather infrequent and modest changes in value. For this reason, there might be no need to provide adjustments for these items.

13. Where market valuation is used, continuous and possible sizable changes will occur in the value of securities recorded on the balance sheet, reflecting the pattern of fluctuation in market prices. Other valuation methods (such as the lower of purchase/market value, issue price, etc.) will tend to give rise to less frequent and somewhat smaller recorded valuations.

14. Revaluation effects are not observable directly from the balance sheet statistics, and given that Regulation ECB/1998/16 did not establish how the adjustments had to be reported, they had to be identified indirectly. Three approaches were possible:

14.1. Information could be available from specially reported data relating to the securities portfolio (e.g. in complementary accounting statements).

14.2. It could be possible to derive the necessary data from information contained in the profit and loss account. The way in which value changes are recognised in the profit and loss account depends on the purpose for which the securities are held. Value changes in the trading portfolio (which are usually equal to market values) are entered under "net profit or net loss on financial operations"(7). Value changes in the investment portfolio/fixed financial assets (usually entered at book value) are recorded under "value adjustments (and readjustments) in respect of transferable securities held as financial fixed assets, participating interest and shares in affiliated undertakings"(8). The difficulty was that the profit and loss account could not provide the level of detail required. Furthermore, the data could not be available on a monthly basis and, even if they were, changes in valuation are often not recognised at this frequency.

15. Estimates could be derived using price indices for individual securities or classes of security. However, this approach assumed the availability of a sufficiently detailed breakdown of the MFI securities portfolio. The application of index figures reflecting market prices could be used as a proxy for estimates. As this information is normally available only annually or bi-annually, estimates could be used to fill the gaps. As the situation differed from country to country, the NCBs were to adapt available national data sources.

16. In respect of the application of price revaluation adjustment to MMFs, the assets side of the MMFs balance sheet did not require any special treatment as it is already fully covered by the main part of the Manual of Procedures contained in Guideline ECB/2000/13 of 13 November 2000 concerning certain statistical reporting requirements of the European Central Bank and the procedures for reporting by the national central banks of statistical information in the field of money and banking statistics and no exemption was allowed. The liabilities side consists almost entirely of the item "money market fund shares/units", in respect of which no revaluation adjustment was reported(9).

Quarterly data

17. While all euro area NCBs were in a position to provide the relevant quarterly reclassifications adjustments, the provision of write-offs/write-downs and "revaluation adjustments" on the quarterly data proved more difficult. Taking into account these difficulties, data were submitted according to the following plan:

17.1. All euro area NCBs sent the relevant "reclassifications and other adjustments" referred to stock data contained in Regulation ECB/1998/16, Annex I, Part 2, Tables 2 and 3, including historical data at least from and including September 1997.

17.2. Where available, euro area NCBs sent the relevant "revaluation adjustments" adjustments on Regulation ECB/1998/16, Annex I, Part 2, Tables 2 and 3, including historical data from and including September 1997.

(1) OJ L 356, 30.12.1998, p. 7.

(2) OJ L 229, 9.9.2000, p. 34.

(3) The item "money market paper" does not exist as from January 2003; financial instruments previously classified as money market paper are reported within the item 'securities other than shares' according to Regulation ECB/2001/13.

(4) OJ L 333, 17.12.2001, p. 1.

(5) OJ L 330, 6.12.2002, p. 29.

(6) April 1998.

(7) Article 32.1 of Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions, OJ L 372, 31.12.1986, p. 1.

(8) Article 34 of Directive 86/635/EEC.

(9) The counterpart of the revaluation on the assets side, in the case of MMFs, is not "money market funds shares/units", but "remaining liabilities".

Appendix 2

EFFECTS OF MERGERS, ACQUISITIONS AND DIVISIONS ON FLOWS COMPILATION

Merger of two or more monetary financial institutions (MFIs) into a new MFI

When a merger takes place, two different types of non-transactions may arise. Firstly, and probably most important, a change in the value of assets and liabilities may occur. Such a revaluation/devaluation is not a transaction, so the amount involved is recorded under "revaluation adjustments". In addition, any outstanding balances between the two merged institutions are cancelled. According to the ESA 95(1) (paragraph 6.30) this cancellation is not a financial transaction and therefore an adjustment to remove its impact from the flows statistics is included under "reclassifications and other adjustments" (with a negative sign)(2). Where valuation methods of assets and liabilities are different, a revaluation/devaluation of the netted items is also involved.

The information sources for the identification of these adjustments are the final balance sheets of the two merged institutions and the first balance sheet of the new institution. Ideally, the merged institutions are asked for balance sheet information on both an unmerged and a merged basis as at the time when the merger takes place. In this way, the difference between the two separate unmerged balance sheets and the merged balance sheet entirely represents non-transaction flows. However, growth rates are calculated by the European Central Bank on the implicit assumption that reclassification adjustments take place at the end of each month. Therefore it is correct to base adjustments on the last balance sheets reported to the national central bank by the separate institutions and the first balance sheet reported by the merged institution one month later. In this case the effect of the merger and the transactions that occurred during the month between these two observations are reported together as an adjustment.

Acquisition of one MFI by another MFI

This operation is very similar to a merger and both types of non-transaction identified above can arise. However, there is one difference: instead of having three balance sheets from three different institutions, in this case there are two balance sheets from the acquiring institution and one balance sheet from the acquired institution. However, the procedure for identifying the impact of the acquisition is the same as in a merger. Again, ideally, acquiring and acquired institutions are asked for balance sheet information on both a pre-acquisition and post-acquisition basis as at the time when the acquisition takes place. However, a solution in full accordance with the calculation of growth rates consists in an adjustment that is made on the basis of the last balance sheets reported by the separate institutions and the first post-acquisition balance sheet of the acquiring institution.

Division of one MFI into two different MFIs

This operation is the opposite of a merger. However, any change in the valuation of assets/liabilities has the same impact as in a merger. Here as well, balances vis-à-vis other MFIs can include amounts between the two institutions that are not due to transactions. These amounts are included as an adjustment in "reclassifications and other adjustments" (with a positive sign).

The information available in this context is different. If two new institutions are created, there is one balance sheet from the previous institution and two balance sheets from the new institutions. The envisaged procedures outlined above can be made applicable to this case by taking the time of the division into account instead of the time of the merger, and using the information relevant in the case of a division.

Mergers, acquisitions and divisions when one of the institutions is not an MFI

In all three cases, where one institution is not an MFI, there is also a change in the MFI population(3). The impact of one institution joining/leaving the MFI sector may complicate the impact of any revaluation and changes in positions vis-à-vis both MFIs and other resident sectors, making it difficult to distinguish one type of adjustment from another.

In principle, data are sought from all institutions involved, although it is recognised that data on the balance sheet of the non-MFI may not be available. Otherwise an estimate of the transactions of the institution that was an MFI before this operation and remains so thereafter is made (perhaps on the basis of the trend presented by data available for previous months). The rest of the difference between the two balance sheets is included in "reclassifications and other adjustments".

Effects on monetary/credit aggregates of mergers, acquisitions and divisions

The probability of monetary/credit aggregates being affected by these developments is low, but it cannot be ignored. The main reasons why they may be affected are:

- Changes in the reporting population: these are not caused by the merger/acquisition/division itself, but only by a change in sector of an institution.

- Revaluation: a revaluation can be associated with a merger/acquisition and affect almost all items. It is expected to affect more the assets side of the balance sheet.

- Netting of balances between two institutions: this development can only modify monetary/credit aggregates if the valuation methods of assets and liabilities are different. In such a case, only the change in value has any effect on monetary/credit aggregates, while the "change in structure" (netting) is not expected to have any impact on these aggregates.

(1) The European System of Accounts 1995, contained in Annex A to Council Regulation (EC) No 2223/96 of 25 June 1996 on the European system of national and regional accounts in the Community, OJ L 310, 30.11.1996, p. 1, as last amended by Regulation (EC) No 359/2002 of the European Parliament and of the Council, OJ L 58, 28.2.2002, p. 1.

(2) In the ESA 95 mergers are considered as a change in structure, see "changes in sector classification and structure" (K.12.1).

(3) A change in the reporting population does not necessarily imply a change in the number of reporting institutions. It is the business that was not reported and that is now that makes the difference.

Appendix 3

TREATMENT OF DEBT ASSUMPTION

Definition of debt assumption

1. Debt assumption is an operation that usually involves central government replacing public corporations (part of the other resident sectors) as the debtor in respect of loans originally granted by banks (the monetary financial institution (MFI) sector). This financial operation can also take place between other institutional sectors. In this case the treatment would be similar.

2. As debt assumption has an impact on the MFI balance sheet, it is important to ensure the correct treatment of the financial aspects of the operation within money and banking statistics. This Appendix outlines the required statistical treatment of debt assumption.

Statistical treatment

3. Debt assumption involving a triangular relationship between the central government, the other resident sectors and the MFI sector is recorded as follows(1). The debt assumption by central government is treated as a capital transfer from central government (the entity assuming the debt) to the other resident sectors (debtor). The financial counterpart of the capital receipt by the other resident sectors is a decrease in MFI loans to the other resident sectors (i.e. the repayment of the other resident sectors' original debt to the MFI sector), with the financial counterpart of the capital payment by the central government recorded as an increase in MFI loans to central government.

4. Hence, in the flows statistics compiled in respect of the MFI balance sheet two separate financial transactions are shown: the other resident sectors' repayment of debt to the MFI sector and, simultaneously, the granting of a loan by the MFI sector to central government. The absence of any movement of cash between the parties concerned alters neither the economic significance of the operation nor its statistical treatment.

5. Within the MFI balance sheet and related statistics compiled in accordance with Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(2) as amended by Regulation ECB/2002/8(3), debt assumption is treated as follows:

5.1. For MFI balance sheet statistics, the act of debt assumption is automatically recorded within the balance sheet as a decline in the stock of MFI loans to the other resident sectors matched by an increase in MFI loans to the (general) government sector within the monthly balance sheet statistics (Table 1). In the more detailed sectoral breakdown, the operation appears as a fall in MFI loans to non-financial corporations (Table 1) or, where the public corporation is a financial enterprise, to other financial intermediaries and an increase in MFI loans to central government (Table 2).

5.2. For adjustment data for the compilation of flows, in euro area money and banking statistics, (financial) transaction flows are calculated as the difference in the outstanding stocks less any adjustments for non-transactions. Hence, the fall in MFI loans to the other resident sectors and the increase in MFI loans to general government are implicitly recorded as financial transactions, without the need for any further intervention in the figures. There is no requirement for NCBs to provide any adjustment data in respect of these financial operations.

Example with accounting entries

6. The first part of this example presents the account entries during the whole process related to debt assumption in the form of T-diagrams. The second part, in the next section, compares debt assumption with other payments made by the central government to the other resident sectors, and how they are reflected in accounting terms.

7. The origin of this operation is a loan initially granted by a bank (MFI) to a publicly owned corporation (in the other resident sectors). The loan is usually guaranteed by the central government. When the loan is granted, the following stylised entries take place(4):

>TABLE>

8. At a later date, the corporation is unable to pay back the loan, so that the central government assumes the debt. From then onwards, the debtor is no longer the other resident sectors, but the central government. The entries are as follows(5):

>TABLE>

9. Therefore, in the MFI balance sheet there is a simply a change in the counterparty sector of the loan. This change is real, because it obeys the rules relating to a real transfer between central government and the other resident sectors. The capital account entry is made because of the capital transfer that takes place.

10. Cash is not involved in the above example, but if it were, the final situation would be the same. In the event of the central government financing the assumption of the debt by running down deposits, rather than by increasing loans, a triangular movement would occur with no final net result, as shown below.

In the first step, the central government borrows money from the MFI:

>TABLE>

In the second step, the central government makes a cash transfer to the other resident sectors:

>TABLE>

In the third step, the other resident sectors use the cash received from the central government to finance the repayment of the debt to the MFI:

>TABLE>

As shown above, the cash appears twice with different signs in each balance sheet. Therefore the net effect is nil.

Other payments by central government

11. For the purposes of comparison with debt assumption operations, the accounting entries corresponding to other transfers by central government are presented below. A transfer from central government to the other resident sectors usually takes place in the form of a payment in cash/deposit. The central government has deposits with banks or with the central bank, and these deposits are used to make payments for expenditure. Therefore, when the central government makes a payment as a consequence of a transfer to the other resident sectors, the entries are as follows:

>TABLE>

12. The features of this transfer are the same as those in the case of a debt assumption, with the entries differing only to the extent that different financial instruments are used in the operation. For monetary analysis, the difference is that a debt assumption by the central government impacts on the credit aggregates (loans to the other resident sectors fall, while loans to central government rise), while the same capital transfer paid in cash impacts on the monetary aggregates (deposits held by central government - which is in the money-neutral sector - fall, while deposits held by the other resident sectors - which is in the money-holding sector - rise). In both cases, however, there is a financial transaction, so that no adjustment is needed.

(1) The ESA 95 [the European System of Accounts 1995, contained in Annex A to Council Regulation (EC) No 2223/96 of 25 June 1996 on the European system of national and regional accounts in the Community, OJ L 310, 30.11.1996, p. 1, as last amended by Regulation (EC) No 359/2002 of the European Parliament and of the Council, OJ L 58, 28.2.2002, p. 1] treats debt assumption as a capital transfer, i.e. "the counterpart transaction of debt assumption...is classified in the category capital transfers" (paragraph 5.16) and, by definition, the financial counterpart of a capital transfer is a transaction. While the interpretation of the ESA 95 provided here and the proposed treatment of debt assumption within MFI balance sheet statistics is fully in line with the treatment of debt assumption within the euro area financial accounts, attention is drawn to the existence of certain exceptions to the rule that debt assumption is treated as a capital transfer (listed in the ESA 95 paragraphs 5.16, 6.29 and 6.30). However, these exceptions only apply where the debt assumption involves the central government absorbing a public corporation, i.e. subsuming the corporation into central government. In this case, the operation should not be treated as a financial transaction but as a sector reclassification (from the other resident sectors to central government). In order to remove the impact of this sector reclassification from the flows, national central banks (NCBs) must submit an adjustment for this reclassification.

(2) OJ L 333, 17.12.2001, p. 1.

(3) OJ L 330, 6.12.2002, p. 29.

(4) The sign conventions are as follows: + means an increase, - means a decrease, -- means no change in that item.

(5) The terminology used for the accounts is that of the MFI balance sheet. Therefore "capital" means "profit and loss account" in the case of the other resident sectors and "net lending or borrowing" in the case of central government.

Appendix 4

TREATMENT OF SECURITISATION AND LOAN TRANSFERS IN THE CONTEXT OF THE DERIVATION OF FLOWS STATISTICS

Introduction

1. "Securitisation" is defined as a "process whereby finance can be raised from external investors by enabling them to invest in parcels of specific financial assets". It involves the monetary financial institution (MFI) either selling loans to third parties, which use these loans to back the issue of securities, or acquiring negotiable securities as a replacement for loans.

2. A "loan transfer" is an operation similar to a securitisation in which MFIs sell loans to investors in a process that does not involve the issue of securities. The economic purpose of this operation and its statistical treatment is, however, in certain respects rather similar to a securitisation.

3. This Appendix presents the treatment of securitisation and loan transfers in the context of the derivation of flows statistics. Each operation is described, its economic purpose explained, and its statistical treatment defined with the aid of T-diagrams. The Appendix concludes with a reference to the issue of MFI's asset-backed securities and revaluations in the context of securitisation.

Securitisation

4. This operation consists of the MFI either selling loans to an intermediary and the subsequent (or simultaneous) issue of securities by that intermediary backed by the loans or acquiring securities issued by the debtor as a replacement for a loan (without involving any intermediary). Both types of operation give rise to the same result in the MFI balance sheet. The former is much more common. However, the latter will be explained first, as it is less complex.

Securitisation without intermediary and loan transfers

5. Description: This operation takes place when a "new security is issued [by the original debtor] as replacement for the original asset, which is effectively liquidated" (ESA 95(1), paragraph 5.63) and this new security is simultaneously sold to third party investors.

6. Economic sense: The operation involves the creditor MFI being repaid the original loan by the debtor. This repayment is financed by the debtor issuing securities. The securities issued by the debtor could in theory be held for a short time by the creditor MFI, but are usually sold directly to the investors.

7. Some doubts exist as to whether this type of operation is very widespread, because only large corporations and public bodies are able to issue securities in practice.

8. If the operation does not involve the transformation of the loan into securities (i.e. if the instrument sold to the investors remains non-negotiable), then a loan transfer is deemed to occur. A loan transfer would nevertheless usually be performed by fragmenting the original loan into smaller units, which would be sold by the creditor MFI, together with the benefits/risks, to third parties.

9. Statistical treatment: From the point of view of a creditor MFI, securitisation usually involves a sale of the loans for cash - the MFI receives cash from the debtor in repayment of a loan. This is treated as a decrease in "loans to non-MFIs" and an increase in "cash/deposits". The debtor finances this repayment of the loan out of the proceeds arising from the issue of securities(2). The MFI might possibly receive from the debtor the issued securities rather than cash. In that case, the MFI will treat the counterpart to the decrease in "loans" as an increase in "securities other than shares". The MFI would normally then sell the new securities to third party investors. In both these cases, the MFI is permitted to remove the loan/securities from its balance sheet if the "risks and rewards" of ownership are fully transferred to the third parties. In the case of a loan transfer, a change in the balance sheet takes place when the sale to the third parties is completed.

10. For statistical purposes, the creditor MFI's sale of the loan is to be treated as a financial transaction. In cases where the loans are securitised, the MFI creditor accepts either cash or (temporarily) the new securities issued by the debtor in repayment of the loan. In cases where the loans are not securitised (a loan transfer), the MFI will usually receive cash from the debtor (financed by the sale of the loan to third party investors). These operations are treated as financial transactions. As these operations are transactions (true flows), no adjustment is reported. This treatment is consistent with the ESA 95 (paragraph 5.62k), which specifies that the conversion of loans into securities "involves two financial transactions: the liquidation of the loan and the creation of the new securities".

11. Illustration: A securitisation/loan transfer is simply the sale of a loan to a third party. It is reflected in the MFI balance sheet as a sale of the loan with a counterpart entry in cash (or deposits).

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12. In the alternative case, the operation can be divided into two steps:

13. Step 1: The starting point is the loan that appears on the MFI balance sheet. When the securitisation takes place the creditor MFI receives as repayment for the loan newly created negotiable instruments (securities) issued by the debtor.

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14. Step 2: The MFI sells the securities to a third party investor in exchange for cash. The securities then disappear from the MFI balance sheet.

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Securitisation through a financial intermediary

15. Description: Securitisation takes place where the "original asset [loan] is transferred [by the creditor] to another institutional unit and the new securities replace the original asset [loan] on the original institutional unit's balance sheet" (ESA 95, paragraph 5.63) and these new securities are simultaneously (or subsequently) sold to third party investors. In practice, the operation may be structured in such a way that the securities issued by the financial intermediary are sold direct to third party investors.

16. Economic sense: The aim is for the creditor MFI to release resources by transferring assets to third parties. In this case the original asset (loan) is sold to a special financial intermediary. This financial intermediary, called a "financial vehicle corporation" (FVC) (ESA 95, paragraph 2.55), is usually created for the sole purpose of holding the securitised assets. The MFI sells the asset to be securitised to the FVC in exchange either for cash or the securities issued by the FVC.

17. Statistical treatment: From the point of view of the creditor MFI, the operation involves an exchange of assets (as in the case above). The MFI receives a new asset (cash or securities) for the sale of the loan. Therefore, in the MFI's balance sheet, the exchange is reflected as a decrease in "loans" and an increase in "cash/deposits" or "securities". It is noted that this treatment is only applicable where the MFI creditor transfers all the risks and rewards of ownership of original loans to the FVC. Where the risks and rewards of ownership remain with the MFI, then it must be treated as an on-balance-sheet securitisation (see below).

18. For statistical purposes, the creditor MFI's sale of loans is to be treated as a financial transaction (i.e. as a real flow), with no adjustment to be reported.

19. Illustration: Usually this type of securitisation takes place as a "triangular" operation. The MFI owns a loan and sells it to the FVC which finances the purchase via the issue of securities backed by the loan. It would be reflected in the balance sheets as follows:

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20. Of course, the MFI could receive the securities issued by the FVC instead of cash, in which case the operation is divided into two steps as follows:

21. Step 1: The loan is sold to the FVC in exchange for securities issued by the FVC:

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22. Step 2: Later, the MFI sells the securities (this step is presented for the sake of clarity). It is reflected as follows (no operation takes place in the FVC):

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Asset-backed securities

23. Description: Related to securitisation is the issue of asset-backed securities. This operation consists of the issue of securities by the MFI creditor that are backed by loans on the books of that institution. Asset-backed issues are not considered as securitisation in the ESA 95(3).

24. Economic sense: The purpose of this type of operation is for the MFI creditor to raise funds from external investors by enabling investors to invest indirectly in parcels of specific assets via the purchase of securities issued in the name of, and on the account of, the MFI creditor but with the backing of these loans. This type of operation does not involve any change in the relationship between the original creditor and debtor. Eventually, the creditor MFI may be released from all rights and obligations in relation to the other two parties. If so, the operation must be treated as a securitisation.

25. Statistical treatment: In principle, this operation is no different from the issue of debt securities with an additional off-balance-sheet guarantee (i.e. the operation is treated in the same terms for statistical purposes regardless of the involvement of collateral). As a consequence, the issue of securities is deemed to be a transaction. No adjustment is reported. If the creditor MFI is subsequently released from all obligations to the final investor, it means a payment of the debt with the loan recorded on the asset side. That is also a financial transaction.

26. In summary, the issue and sale of asset-backed securities are financial transactions and, as a consequence, no adjustment is reported.

27. Illustration: The statistical treatment is reflected in the balance sheet, step-by-step, as follows:

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28. The MFI issues asset-backed securities. In principle, the operation is finished.

29. Eventually, the MFI can be released from any obligation to the creditor (investor in securities) by repaying its obligation with the loan recorded on the asset side. In that case the operation becomes a securitisation:

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Write-offs and securitisation

30. A write-off may be attached to a securitisation. This is the case when bad loans are securitised. If the bad loans are provisioned and the provisions included within the liability side, or not provisioned at all, at the time that the loans are securitised the MFI receives in the item "debt securities" (or cash) less than the gross amount of the securitised loans. The difference between the accounting value of the loan and its market value when it is exchanged for securities is a loss for the MFI. The operation is as follows:

31. The MFI sells to the FVC a bad loan that is traded at 50 % of its value for debt securities issued by the FVC. The loan was previously provisioned but recorded in gross terms, i.e. the provision was recorded on the liability side under "capital and reserves".

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32. In fact a write-off has taken place at the time the loan was securitised. Therefore an adjustment, by the amount involved in the write-off (50), is reported to correctly calculate the flow. Where a write-off takes place at the same time as the securitisation, an adjustment is reported for this write-off if available (see also the Guidance notes to the Regulation ECB/2001/13 on the MFI balance sheet statistics(4)).

(1) The European System of Accounts 1995, contained in Annex A to Council Regulation (EC) No 2223/96 of 25 June 1996 on the European system of national and regional accounts in the Community, OJ L 310, 30.11.1996, p. 1, as last amended by Regulation (EC) No 359/2002 of the European Parliament and of the Council, OJ L 58, 28.2.2002, p. 1.

(2) The instruments issued by the debtor are classified as securities only where they meet the necessary conditions in terms of negotiability and marketability. According to Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector, OJ L 333, 17.12.2001, p. 1, as amended by Regulation ECB/2002/8, OJ L 330, 6.12.2002, p. 29, the item "securities other than shares" includes "negotiable loans that have been restructured into a large number of identical documents and that can be traded on secondary markets".

(3) Even though the term "securitisation" is used in business to refer to asset-backed operations, in the area of money and banking statistics the term refers only to the ESA 95 definition of securitisation.

(4) European Central Bank, November 2002.

Appendix 5

NUMERIC EXAMPLE ON THE QUARTERLY FLOWS

Monthly stock data reported for December, January, February and March and quarterly stock data reported for March

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1. Quarterly stocks are consistent with the monthly stocks reported for the last month of the corresponding quarter. In the example above, the monthly stocks in March are equal to the sum of the quarterly stocks for March i.e. the monthly stocks in March of "loans to domestic other resident sectors" are equal to the sum of the quarterly breakdown. It is noted that a linear check of corresponding monthly and quarterly items is possible within the same reporting period.

Monthly adjustment data reported for January, February and March and quarterly adjustments data reported for the first quarter

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2. Quarterly adjustments are consistent with the monthly adjustments reported. In the example above, NCBs calculate the quarterly adjustments for the monthly series as the aggregation of the monthly adjustments included within the quarter. It is noted that a linear check of corresponding monthly and quarterly items is not possible within the same reporting period i.e. the checking rule for stock data cannot be applied.

3. To obtain the quarterly stocks and adjustments, the ECB will calculate the flows applying the same procedure as for the monthly adjustments. In other words, quarterly flows are calculated as the difference in stocks minus adjustments. In terms of this example, the quarterly flows referring to the first quarter would be obtained as the end-March stock minus the end-December stock and minus the first quarter adjustments (reported at the March reference period submission).

Monthly flows data obtained for January, February and March and quarterly flows data calculated for the first quarter

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TABLE 1

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TABLE 2

Regulation ECB/2001/13, annex I, part 2, table 2: items for which quarterly adjustments are required

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TABLE 3

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TABLE 4

Regulation ECB/2001/13, annex I, part 2, table 4: currency breakdown used for the calculation of the exchange rate adjustment

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TABLE 5

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TABLE 6

Division of responsibilities (between the ECB and NCBs) and legal background for the compilation of data

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TABLE 7

Contents of reclassifications and other adjustments

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TABLE 8

Changes in statistical coverage

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TABLE 9

Link to the ESA 95

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ANNEX XI

TRANSMISSION PROCEDURES REGARDING INTERNATIONAL MONETARY FUND REPORTING REQUIREMENTS STEMMING FROM FORMER FORMS 10S AND 20S

Introduction

1. Without prejudice to the statutory obligations of the national central banks (NCBs) vis-à-vis the International Monetary Fund (IMF), the NCBs may use the services of the European Central Bank (ECB) as a gateway for transferring money and banking statistics data to the IMF. These additional data are required by the IMF to complete the country pages in its publication International Financial Statistics. The aim of this Annex is to set out the technical arrangements for the transmission of these additional data. It should in no way be interpreted as a statement of statistical requirements of the ECB.

Background

2. The data transmission to the ECB covers four datasets.

2.1. There are two datasets that NCBs have to submit directly or indirectly to the IMF. These cover supplementary data on NCBs' positions vis-à-vis the ECB ("Form 10S") and on other monetary financial institutions' (hereinafter "OMFIs") positions vis-à-vis the ECB and the domestic NCB ("Form 20S").

2.2. The data transmission covers a third dataset requested by the IMF relating to NCBs' positions vis-à-vis the other NCBs of the Eurosystem.

2.3. The last dataset covers supplementary data on OMFIs' positions vis-à-vis other NCBs of the Eurosystem, which is reported on a voluntary basis(1).

3. These datasets are provided to the ECB within the framework of the regular transmission of balance sheet items (BSI) data in accordance with the reporting scheme attached as Appendix 1. This reporting scheme is divided into two tables. Table A gathers NCB balance sheet data (stocks) and incorporates the data so far transmitted under IMF Form 10S (first dataset) together with the new IMF dataset (cells marked "new requirements")(2). Table B includes OMFIs balance sheet data (stocks) covering the data currently transmitted in IMF Form 20S (second dataset) together with the additional data items relating to positions with other (non-domestic) NCBs of the Eurosystem reported on a voluntary basis (cells marked "optional").

Data requirements

4. This reporting scheme mirrors the IMF's requirements as established in IMF Forms 10S and 20S and adds both the IMF's reporting requirements of the third dataset(3) and the new optional series. The only deviation consists of the exclusion of a few series where the statistical phenomena do not exist (e.g. other MFIs' holdings of shares and other equity issued by the ECB).

5. The transmission procedures are attached as Appendix 2.

(1) The current data transmission to the IMF under Form 20S only covers OMFIs' positions with the domestic NCB. As the cross-border positions are unlikely to be significant and taking account of lack of separate data identifying these positions, the reporting of these cells is optional.

(2) Cells S1, S4 and S9.

(3) It should be noted that as in the current Form 20S, the reporting of OMFIs' positions vis-à-vis the ECB (if any) under cells S14, S15, S18, S19, S22 and S23 remains optional.

Appendix 1

Reporting scheme

TABLE A

NCB data (stocks)((Subject to bilateral agreement between the ECB and the NCBs, flow data may be provided.))

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TABLE B

OMFIs data (stocks)((Subject to bilateral agreement between the ECB and the NCBs, flow data may be provided.))

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Appendix 2

Transmission procedures regarding international monetary fund reporting requirements stemming from former forms 10s and 20s

1. The reporting scheme and the coding structure

The balance sheet items (BSI) key family is used to define the series keys for the supplementary BSI data to be reported by the national central banks (NCBs) to the European Central Bank (ECB). The main characteristics of this reporting scheme are outlined below.

Balance sheet items

The positions of the NCBs and other monetary financial institutions (MFIs) vis-à-vis the Eurosystem are reported for the following BSIs:

- deposits,

- loans,

- securities other than shares,

- shares and other equity.

As regards the NCBs' balance sheet, the following item is also reported:

- loans - of which transfer of foreign currency reserves.

This item corresponds to the international reserves-related deposits placed by the NCBs with the ECB and includes the NCBs' euro-denominated claims equivalent to the transfer of foreign currency reserves from the NCBs to the ECB. The value A24 from the code list CL_BS_ITEM is used to define "loans - of which transfer of foreign currency reserves".

Counterparty area

The reporting scheme for the supplementary data to be transmitted by the NCBs allows the allocation of NCBs' and other MFIs' (hereinafter "OMFIs'") positions vis-à-vis the NCBs of the Eurosystem and the ECB according to the residency criterion. Positions vis-à-vis domestic NCBs/the ECB and vis-à-vis NCBs of the other participating Member States and the ECB are separately identified(1).

Balance sheet counterparty sector

In order to identify separately the positions vis-à-vis the ECB and the other NCBs of the Eurosystem, the following two codes from the code list CL_BS_COUNT_SECTOR can be used:

- ECB: 1110,

- NCB: 1120.

Currency of transaction

The code Z01, "all currencies", for the currency of transaction of the corresponding BSI, is used to report all the items for the NCB and the OMFIs sectors.

2. Requirements for the NCB and the OMFIs sectors

Table A_NCB and Table B_OMFIs in Appendix 1 include the BSI series for the supplementary data to be reported by the NCBs to the ECB.

NCB balance sheet

The transmission to the ECB consists of two datasets of supplementary NCB BSIs, which cover the NCB's positions vis-à-vis the ECB, previously reported to the International Monetary Fund (IMF) under "Form 10S", and the NCB's positions vis-à-vis the other NCBs of the Eurosystem. The series are shown in Appendix 1, Table A_NCB.

OMFIs balance sheet

The statistical requirements for the OMFIs sector include the positions vis-à-vis the ECB and the domestic NCB that were previously reported to the IMF under the scheme "Form 20S". The reporting of the OMFIs' positions vis-à-vis the ECB remains optional.

In addition to these, some extra series reflecting the positions vis-à-vis the NCBs of the other participating Member States are included in the statistical requirements. As these cross-border positions might be insignificant for some Member States and since separate data may not be available, the reporting of these cells is also optional.

Optional series are reported only when available and they are shown in Appendix 1, Table B_OMFIs marked with a star.

3. Regular reporting of the data

The supplementary money and banking series identified in this reporting scheme will be transmitted by the NCBs to the ECB within the framework of the monthly regular transmission of BSI data. The frequency and timeliness defined in the reporting scheme for high priority memorandum items according to Regulation ECB/2001/13 of 22 November 2001concerning the consolidated balance sheet of the monetary financial institutions sector(2) as amended by Regulation ECB/2002/8(3) (cf. Annex IX) also apply to the series defined here.

The data transmissions will coincide with the regular BSI data reporting to the ECB, which takes place by the fifteenth working day following the end of the month to which the data refer.

(1) Domestic positions vis-à-vis the ECB apply only for data relating to the NCB or other MFIs submitted by the Deutsche Bundesbank.

(2) OJ L 333, 17.12.2001, p. 1.

(3) OJ L 330, 6.12.2002, p. 29.

ANNEX XII

REGULAR REPORTING ON SECURITISATION AND OTHER TRANSFERS OF LOANS TO THIRD PARTIES

Introduction

1. In the field of data analysis on securitisation and other transfers of loans to third parties, three types of data can be provided by national central banks (NCBs) in this regular reporting scheme covering all possible cases of available information:

1.1. Gross flow. This is the amount of loans granted by monetary financial institutions (MFIs) to the "other resident sectors" that are securitised/transferred by other means by MFIs during the reference period, i.e. amounts arising directly from the sale of loans to third parties (non-MFIs or non-residents) during the reference period. The third parties are usually (resident or non-resident) financial vehicles, which issue securities to finance the credits acquired. No allowance is made for the redemption or repurchase of loans sold off earlier.

1.2. Net flow. This is the net change in the stock of securitised/transferred loans originally granted by MFIs to the other resident sectors but subsequently securitised/transferred to third parties and which therefore no longer appear on the MFI balance sheet. The third party is usually a (resident or non-resident) financial vehicle, which issues securities to finance the credits acquired. The net flow is equal to the new gross securitisations/transferred loans (i.e. sales of MFI loans to third parties) minus loan repayments made by the borrower or loans bought back by the originating MFI during the reference period.

1.3. Stock. This refers to the outstanding amount of loans originally granted by MFIs to the other resident sectors that have been securitised/transferred (i.e. sold to third parties) and which therefore no longer appear on the MFI balance sheet. The difference between the end-period stocks is equal to the net flow (developments other than from transactions are not considered for the sake of simplicity).

2. It is noted that no additional information is collected on the holdings by MFIs of securities issued by financial vehicle corporations (FVCs)(1). MFIs may buy securities issued by the FVCs, with the result that the impact of securitisations on total MFI credit may be somewhat less than the immediate and direct impact on the item "loans" on the balance sheet of MFIs.

Data requirements

The data transmission to the European Central Bank (ECB) includes the following information:

- Gross flows: Amount of loans originally granted by other MFIs (hereinafter "OMFIs") to domestic other resident sectors and subsequently sold to third parties.

Where data on gross flows are not available, data on net flows of loans originally granted by MFIs and sold to third parties, if available, are provided as follows:

- Net flows: Changes in the outstanding amount of loans originally granted by OMFIs to domestic other resident sectors and subsequently sold to third parties(2).

In both cases stock data, where available, are reported:

- Stocks: Outstanding amount of loans originally granted by OMFIs to domestic other resident sectors and subsequently sold to third parties.

For the three types of data above, loans sold to an FVC (i.e. securitised through an FVC) and transferred to other agents (involving securitisation or not) are reported separately. The loan is understood to be sold to the non-MFI sector, and therefore triggers the related reporting only insofar as it no longer appears on the balance sheet of the MFI which had originally granted the loan to the other resident sectors or in any OMFI's balance sheet.

The series are reported to the ECB according to the reporting standards defined for balance sheet items (BSI) statistics and included as Annex XIII. In principle, data transmissions coincide with the regular reporting of monthly BSI data to the ECB; that is, transmission takes place by the fifteenth working day following the end of the month to which the data refer.

SUPPLEMENTARY FLOW DATA TO BE PROVIDED AT A MONTHLY FREQUENCY ON THE BASIS OF AVAILABLE DATA

TABLE A

OMFIs: Securitisations of loans to the non-MFI Sector through an FVC

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Table B

OMFIs: Securitisations, debt assumptions and loan transfers to the non-MFI sector without FVCs

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Data should be compiled having regard to the definitions of securitisation, loan transfer and debt assumption given in Annex X, Appendices 2 and 3.

EXAMPLE OF PROVISION AND USE OF DATA ON SECURITISATION

1. Firstly, a simple example is presented. Suppose the following evolution of securitised loans in a given month (same data as in the last row of the table on the next page).

Month t-1

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Month t

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Additional information for month t

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Information, if available, to be reported for this month (t). In this example operations take place through an FVC.

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2. Secondly, a table presents the two alternatives for the use of data in terms of time series.

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(1) As defined in the European System of Accounts (ESA) 1995, contained in Annex A to Council Regulation (EC) No 2223/96 of 25 June 1996 on the European system of national and regional accounts in the Community, OJ L 310, 30.11.1996, p. 1, as last amended by Regulation (EC) No 359/2002, OJ L 58, 28.2.2002, p. 1, paragraph 2.55(f).

(2) The net flow is equal to the new gross sales minus loan repayments made by the borrower or loans bought back by the originating MFI during the reference period.

ANNEX XIII

REPORTiNG STANDARDS FOR THE ELECTRONIC EXCHANGE OF STATISTICAL DATA

ECB BALANCE SHEET ITEMS STATISTICS

KEY FAMILY IDENTIFIER: ECB_BSI1

MFI balance sheet statistics for the purpose of the production of the consolidated balance sheet

1. The ECB_BSI1 key family and corresponding code lists

The balance sheet items (BSI) key family refers to euro area harmonised balance sheet statistics reported by the monetary financial institution (MFI) sector to the European Central Bank (ECB). Data from individual MFIs (except national central banks (NCBs)) on BSIs are collected and aggregated at the national level by NCBs. The NCBs and the ECB also compute their own BSIs statistics. The BSIs statistics of the NCBs/the ECB and those of other MFIs (hereinafter "OMFIs") are reported separately on a gross basis by NCBs to the ECB which, in turn, first builds the country-by-country aggregated balance sheet of the MFI sector and then the euro area consolidated balance sheet of the MFI sector(1) and the relevant euro area monetary aggregates(2).

Consolidated monthly data on the MFI sector balance sheet are used by the ECB to compile euro area monetary aggregates and counterparts. Further breakdowns of key BSIs are reported on a quarterly basis as an additional piece of information to support the monetary analysis.

The dimensions and attributes identified for the BSI key family are described in detail below.

For BSI statistics, 11 dimensions are specified as being essential in order to identify the time series(3):

TABLE 1

BSI key family (ECB_BSI1): Series dimensions

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These dimensions are statistical concepts that take their values from code lists. In some rare cases the description of the coded values in the code lists may not correspond exactly to the agreed wording of Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(4) as amended by Regulation ECB/2002/8(5). This is the case when a code list, or a subset of its values, is an internationally agreed list which already exists (e.g. the residence of the counterparty).

The same key family enables representation of a supplementary set of data requested for the compilation of the euro area monetary aggregates: the central government assets and (close substitutes of) deposit liabilities, presented in Annex VII.

2. Dimensions

A description of the dimensions of the BSI key family is set out below, following the same sequence in which they appear in the series key. Information is also given concerning the length (value format, indicating the number of characters) of each dimension and the reference code list (indicated in capital letters as CL_EN*). For example, according to Table 1, the dimension REF_AREA (reference area) takes its values from the CL_AREA_EE code list.

2.1. Dimension No 1: Frequency (FREQ; length: one character)

This dimension indicates the frequency of the reported series. The code list used is CL_FREQ. The code values used in the BSI key family are "M" for monthly data and "Q" for quarterly data, and they are a subset of the values specified in this code list.

2.2. Dimension No 2: Reference area (REF_AREA; length: two characters)

This dimension represents the country of residence of the reporting institutions (MFIs). The associated code list CL_AREA_EE contains the standard ISO country list and also some additional code values as described in Section 2.8 (dimension No 8: Counterparty area). Only a subset of its values are used to define the reference area in the BSI key family.

2.3. Dimension No 3: Adjustment indicator (ADJUSTMENT; length: one character)

This dimension indicates whether a seasonal adjustment and/or a working day adjustment have been applied. The corresponding code list is CL_ADJUSTMENT. The code values currently used in the BSI key family are "N" for neither seasonally nor working day adjusted and "Y" for working day and seasonally adjusted.

2.4. Dimension No 4: Balance sheet reference sector breakdown (BS_REP_SECTOR; length: one character)

This dimension indicates the reporting sector and is linked to the code list CL_BS_REP_SECTOR. In this code list MFIs are divided into NCBs/ECB ("N")(6) and OMFIs (credit institutions, money market funds and other institutions) ("A"), in consideration of the separate balance sheets which the ECB consolidates.

In consideration of the request for data on deposit liabilities and assets of the central government, the code value "G" for central government is used.

Other code values are also included in this code list for the purpose of calculating and disseminating euro area monetary aggregates series by the ECB. In particular, the code value "M"(7) for the MFI sector at the euro area level (NCBs + ECB + OMFIs) is used by the ECB to define the series of the MFIs' aggregated balance sheet and some of the monetary aggregates series, while the code value "V" for central government and MFIs is used for those monetary aggregates series that also include the deposit liabilities and assets of the central government.

2.5. Dimension No 5: Balance sheet item (BS_ITEM; length: three characters)

This dimension represents the BSI of the MFI balance sheet as defined in Regulation ECB/2001/13 and takes its values from the code list CL_BS_ITEM. This is the core dimension of the BSI key family. Code values of assets and liabilities are identified by the prefix "A" or "L" and, also in this case, the values are organised and coded following, wherever possible, a hierarchical relation among the items. Additional BSIs specific to NCBs (and the ECB) are identified by the letter "C", after the prefix "A" for assets and after the prefix "L" for liabilities.

2.6. Dimension No 6: Original maturity (MATURITY_ORIG; length: one character)

This dimension represents the original maturity of the BSI in the MFI balance sheet and is linked to the code list CL_MATURITY_ORIG.

2.7. Dimension No 7: Data type (DATA_TYPE; length: one character)

The dimension is described by the code list CL_DATA_TYPE and indicates the type of data to be reported: gross stocks ("31"), reclassifications and other adjustments ("5"), exchange adjustments ("6")(8) and other adjustments (other revaluations and loan write-off/write-down) ("7"). Other code values have been defined to allow for the derivation of flows from the stocks and the appropriate adjustments and for the calculation of the index of notional stocks used for the derivation of annual growth rates. These additional code values are used by the ECB for the dissemination of the euro area aggregates.

2.8. Dimension No 8: Counterparty area (COUNT_AREA; length: two characters)

This dimension represents the area of residence of the counterparty of the MFI BSI. The code list associated with this concept is CL_AREA_EE, which contains the standard ISO country list and additional code values used specifically for the euro area (e.g. U6 - "domestic" - used when the counterparty area is the same country as the reporting MFI). For the BSI statistics a subset of code values is used: the 15 European Union (EU) Member States codes plus some additional area codes.

2.9. Dimension No 9: Balance sheet counterparty sector (BS_COUNT_SECTOR; length: four characters)

This dimension represents the sectoral breakdown of the counterparty of BSIs and is linked to the code list CL_BS_COUNT_SECT. This code list is taken strictly from the sectoral breakdown requirement for BSIs set out in the first place in Regulation ECB/1998/16 of 1 December 1998 concerning the consolidated balance sheet of the monetary financial institutions sector(9) as amended by Regulation ECB/2000/8(10) and then in Regulation ECB/2001/13. The values are organised and coded according to the hierarchical structure of the sectors with the aim of being user oriented and providing a tool for easy administration of the data.

For Tables 2 and 4 of Annex I to Regulation ECB/2001/13, the split "banks"/"non-banks", when applied to counterparties resident in non-participating Member States, corresponds to the breakdown "MFIs"/"non-MFIs", as specified in the said Regulation. In Table 3 the split "MFIs"/"non-MFIs" is used instead to classify counterparties resident in non-participating Member States.

2.10. Dimension No 10: Currency of transaction (CURRENCY_TRANS; length: three characters)

This dimension describes the currency in which the MFI BSIs are denominated and is linked to the code list CL_CURRENCY. For MFI BSIs a subset of code values is used.

2.11. Dimension No 11: Currency of denomination of the series (SERIES_DENOM; length: one character)

This dimension specifies whether the reported series is expressed in national or in the common (euro) currency. It has two values ("N", national and "E", euro) that are represented by the code list CL_SERIES_DENOM. This dimension is critical to differentiate the series representing the same economic phenomenon which are reported in the different stages of economic and monetary union (EMU). For example, for the EU countries that are not members of the EMU, data are reported in the national currency. As from the time they join the EMU, the same BSI series will be expressed in the common currency and reported in euro.

3. The attributes

In addition to the 11 dimensions defining the key, a set of attributes has been defined(11). These are attached at various levels of the exchanged information(12). Table 2 reports the list of coded and uncoded attributes defined for the BSI statistics key family, together with their level of assignment, the format and the code lists from which the values of the coded attributes are taken.

Furthermore, each of these attributes is characterised by certain technical properties, which are listed in Table 3.

TABLE 2

Coded and uncoded attributes defined for the ECB_BSI1 key family

>TABLE>

TABLE 3

Common attributes properties for the ECB_BSI1 key family: Euro area NCBs reporting to the ECB

>TABLE>

Paragraphs 3.1, 3.2 and 3.3 present a description of each attribute, the reference code list (indicated in capital letters as CL_EN*) is included whenever it applies.

3.1. Attributes at sibling level

Mandatory:

- TITLE_COMPL (uncoded): The title complement attribute is set, stored and disseminated by the ECB (it is in English with a maximum length of 1050 characters). If an NCB would like to make a modification, this can be made after consultation with the ECB. The revision will be implemented by the ECB.

- UNIT (code list: CL_UNIT): This attribute provides the unit of measurement of the reported data. Euro area Member States report the data in euro and the ECB will set this attribute to euro (UNIT = "EUR"). In the case of non-participating Member States the value of this attribute is equal to the corresponding national currency (UNIT = "DKK" for Denmark, "SEK" for Sweden and "GBP" for the United Kingdom).

- UNIT_MULT (code list: CL_UNIT_MULT): The unit multiplier attribute provides information on whether the series is expressed in millions (UNIT_MULT = "6"), billions (UNIT_MULT = "9") etc. NCBs report data in millions and the ECB will set the value to 6 (UNIT_MULT = "6").

- DECIMALS (code list: CL_DECIMALS): This attribute indicates the number of decimals given for the values of the observations. NCBs report the data with zero decimal digits, as specified in Regulation ECB/2001/13 (hence DECIMALS = "0"). The ECB will set the appropriate values of this attribute.

Conditional:

TITLE (uncoded): The series title allows only a maximum of 70 characters. In view of the limited space, the title complement attribute is used instead as the mandatory attribute. The title attribute could in the future be used for the construction of short titles, and would be stored and disseminated by the ECB.

NAT_TITLE (uncoded): NCBs may use the national title attribute in order to provide a precise description and other supplementary or distinguishing specifications in their national language (text up to 350 characters). It may be set and modified by NCBs at any time. Although the use of upper and lower case letters does not cause problems, NCBs are asked to limit themselves to the Latin-1 character set.

AGG_EQU (discontinued): This attribute was initially included in the set of those used for the ECB_BSI1 key family, but is now removed from this list.

COMPILATION (uncoded): This attribute is used for any textual explanation of the compilation methods used, particularly if they diverge from the ECB rules and standards (text up to 1050 characters).

3.2. Attributes at time series level

Mandatory:

COLLECTION (code list: CL_COLLECTION): This attribute provides an explanation of the time when observations are collected (e.g. beginning, middle or end of period) or an indication of whether data are averages over the period or end-of-period observations. The ECB sets the collection attribute for BSI statistics to "E" end-of-period (COLLECTION = "E") for stock series and to "S" summed through period (COLLECTION = "S") for adjustment and flows series.

AVAILABILITY (code list: CL_AVAILABILITY): This attribute indicates the institutions to which the data can be made available. When special treatment for specific observations is needed, the observation confidentiality attribute can be used (see below).

Conditional:

DOM_SER_IDS (uncoded): This attribute makes it possible to refer to the code used in national databases to identify the corresponding series (formulae using national reference codes can also be specified). It may be sent and modified by a reporting NCB at any time (text up to 70 characters).

UNIT_INDEX_BASE (uncoded): This attribute indicates the base reference and the base value for indices. The value is only used for the series of the index of notional stocks derived by the ECB and disseminated to the European System of Central Banks. For this purpose it was initially set by the ECB to "Index Dec98=100" and was changed to "Index Dec01=100" on the occasion of the dissemination by the ECB of October 2002 data.

BREAKS (uncoded): This attribute provides a description of breaks and major changes over time in the collection, reporting coverage and compilation of the series. In the case of breaks, it is desirable to state the extent to which old and new data may be considered comparable (text up to 350 characters).

3.3. Attributes at observation level(13)

Mandatory:

OBS_STATUS (code list: CL_OBS_STATUS): NCBs report an observation status value attached to each exchanged observation. This attribute is mandatory and must be provided with every data transmission for every individual observation. When NCBs revise the value of this attribute, both the observation value (even if unchanged) and the new observation status flag are reported.

The list below specifies the expected (according to the agreed hierarchy) values for these attributes for the purpose of the BSI statistics:

"A" = normal value (default for non-missing observations);

"M" = missing value, data do not exist (for non-applicable data)(14);

"L" = missing value, data exist but were not collected(15);

"E" = estimated value(16);

"P" = provisional value (this value can be used, in each data transmission, with reference to the last observation available, if this is considered provisional).

In normal circumstances, numeric values should be reported with the observation status "A" (normal value) attached. Otherwise, a value different from "A" is given according to the list shown above(17).

If an observation is qualified by two characteristics, the most important is reported. If, for example, an observation is both an estimate and a provisional value, according to the hierarchy shown above, priority is given to the estimate property and the flag "E" is used.

In the previous reporting instructions for BSI statistics, included as Annex XII to Guideline ECB/2002/5 of 30 July 2002 concerning certain statistical reporting requirements of the European Central Bank and the procedures for reporting by the national central banks of statistical information in the field of money and banking statistics(18), the value "B" denoting a break value was also used as a possible observation value. As the existence of a break value in a BSI time series is also identified by a non-zero value reported in the corresponding reclassification adjustment series, there is no need to flag the observation with a value "B". Therefore, the value "B" for break value will be removed from the list of values for the observation status attribute used for the transmission of BSI series as from the transmission of January 2003 data in February 2003.

Conditional:

- OBS_CONF (code list: CL_OBS_CONF): If an NCB wishes to differentiate between the confidentiality status of one or more specific observations, it may use the observation confidentiality attribute. The value of this attribute (if any) may be modified with the data transmission by the sender of the information. When this attribute is not set, no confidentiality restriction (OBS_CONF = F, free) is assumed.

- OBS_PRE_BREAK (uncoded): This attribute contains the pre-break observation value, which is a numeric field like the observation. In general it is provided when a break occurs. For the purpose of the BSI key family, this attribute is not requested since this information is already available from the reclassification series. It has been added to the list of attributes since it is part of the common subset of attributes for all key families.

- OBS_COM (uncoded): The observation comment attribute can be used to provide textual comments at the observation level (e.g. describing the estimate made for a specific observation due to lack of data, explaining the reason for a possible abnormal observation or giving details of a change in the reported time series). This attribute may be sent or revised by a reporting NCB at any time (text up to 350 characters).

4. Missing values and provisional values

Missing values ("-") are reported when it is not possible to report a numeric value (e.g. owing to holidays, non-existent data or because data were not collected). Moreover, it is possible to differentiate between cases of missing values due to the lack of statistical collection on the phenomenon and those due to the fact that the phenomenon does not exist.

When, owing to local statistical conditions, data for a time series are not collected either on specific dates or for the total length of the time series (the underlying economic phenomenon exists, but is not monitored statistically), a missing value is reported ("-") with observation status "L" in each period.

- When, owing to local market practices or to the legal/economic framework, a time series (or part of it) is not applicable (the underlying phenomenon does not exist), a missing value is reported ("-") with observation status "M".

- A missing observation should never be reported as a "zero", since zero is a normal numeric value that indicates a precise transaction of null amount.

If NCBs are unable to identify the exact reason for a missing value or if they cannot use the whole range of values presented in the CL_OBS_STATUS code list (so that they are not in a position to choose between "L" or "M" as a value for this attribute), the value "M" should be used(19).

Provisional values can be reported with each data transmission but only with reference to the last observation available (observation status = "P"). These observations can take definite values (observation status = "A") at a later stage. At that time the new revised values overwrite the previous provisional observations and no record of the revision is stored in the ECB database.

5. Statistical requirements

According to Regulation ECB/2001/13, the NCBs report to the ECB monthly statistical information on the balance sheet of the OMFIs and the NCB sectors separately identified, for the purpose of the regular production of the consolidated balance sheet of the MFI sector. These requirements cover end-month stocks and monthly flow adjustments data. Further details on certain items of the OMFIs and NCB balance sheet are reported with a quarterly frequency in terms of stock data.

Furthermore, this Guideline indicates some additional data requirements for the purpose of the regular production of euro area monetary aggregates.

The ECB maintains and distributes to the NCBs tables containing lists of BSI time series to be exchanged with reference to the requirements set out in Regulation ECB/2001/13 and in accordance with this Guideline. The following sets of series are reported by the NCBs to the ECB.

5.1. Stock data

a) Table 1 - OMFIs and NCBs/ECB monthly series

As described in Regulation ECB/2001/13, Table 1 of Annex I, Part 2, a set of monthly time series on the balance sheet of the MFI sector will be reported, separately for NCBs/ECB and OMFIs balance sheet data, to the ECB.

b) Tables 2, 3 and 4 - OMFIs and NCBs/ECB quarterly series

Tables 2, 3 and 4 of Regulation ECB/2001/13 present a set of time series to be regularly reported to the ECB at a quarterly frequency, which refer to more detailed breakdowns for some of the items of the monthly balance sheet of the OMFI and NCB/ECB sectors. In particular, Table 2 refers to the sectoral breakdowns of deposits, loans, securities other than shares and shares and other equities that are not reported under Table 1. Table 3 represents the EU Member States country breakdown of total deposits, loans, securities other than shares, money market fund shares/units and shares and other equities. And finally Table 4 refers to the currency breakdown of total deposits, debt securities issued, loans and securities other than shares, by the other EU Member States' and some non-EU countries' currencies.

c) Central government (close substitutes for) deposit liabilities and holdings of cash and securities - monthly series

For the purpose of the derivation of euro area monetary aggregates, additional statistical information on the monetary liabilities and holdings of cash and securities of the central government are also reported by the NCBs to the ECB on a monthly basis, as stated in Annex VII. Where the phenomenon does not exist or is insignificant, no reporting is required on de minimis grounds. In this case the NCBs should inform the ECB in advance and send, before the first data transmission, the list of applicable series that will be regularly reported.

d) Memorandum items - OMFIs and NCBs/ECB

A set of monthly time series for the OMFI and NCB/ECB sectors has been identified in Annex VIII and Annex IX as necessary to monitor the developments of some additional breakdowns of the main MFIs' BSI series. These series are reported to the ECB as memorandum items and are classified in two blocks according to their level of relevance: "high priority" memorandum items and "low priority" memorandum items. Where the phenomenon does not exist or data are not available, no reporting is required. In this case the NCBs should inform the ECB in advance and send, before the first data transmission, the list of applicable series that will be regularly reported.

e) Memorandum items to derive weighting information for MFI interest rates - OMFIs monthly series

For the purposes of the regular production of MFI interest rate (hereinafter "MIR") statistics(20), weighting information is necessary to aggregate the national MIR to MIR statistics for the euro area. For this purpose appropriate memorandum items have been established in Annex IX, for those NCBs that may be in a position to provide the required breakdowns. Starting with the reference period January 2003, these (stock) series will be reported with the same timeliness as the corresponding aggregate series included in Table 1 of Regulation ECB/2001/13.

5.2. Adjustments data

As stated in Regulation ECB/2001/13, additional statistical information is required to derive flows statistics, and in particular data on write-offs/write-downs of loans and on price revaluations of securities are reported with a monthly frequency by the NCBs to the ECB. Furthermore, this Guideline sets out additional data requirements for monthly and quarterly reclassification adjustment series and for quarterly revaluation adjustment series to be reported by the NCBs to the ECB.

a) OMFIs and NCBs/ECB monthly series

As described in Regulation ECB/2001/13, Table 1A of Annex 1, Part 2, a set of monthly revaluation adjustment series on the balance sheet of the MFI sector will be reported, separately for NCBs/ECB and OMFIs balance sheet data, to the ECB. In particular, the series reported in Table 1A as "minimum" series are also reported to the ECB on a monthly basis for control purposes, in addition to the regular reporting of the corresponding breakdown series.

In addition, a set of monthly reclassification series is also reported for all times series included under Table 1 of Regulation ECB/2001/13, in accordance with Annex X.

On the basis of the stock data reported by the NCBs, the ECB calculates the "exchange rate adjustment" and the flow series of the financial transactions for the MFI BSIs(21).

b) OMFIs and NCBs/ECB quarterly series

On the basis of the requirements set out in this Guideline and following the changes to requirements for quarterly stock data introduced by Regulation ECB/2001/13, a set of quarterly adjustment series has been identified. Therefore, adjustments data are requested for the quarterly series included in Table 2 of the Regulation, as described in Annex X.

c) Central government deposits, liabilities and holdings of cash and securities - monthly series

For the purpose of compiling flows statistics, adjustments data are also supplied on the monetary liabilities and holdings of cash and securities of the central government in accordance with the requirements established for the MFI balance sheet statistics, as stated in Annex X. Even though changes other than transactions are unlikely to occur, adjustments data should always be reported when the corresponding stock series are applicable and are included in the regular data transmission to the ECB.

d) Memorandum items - OMFIs and NCBs/ECB monthly series

A set of monthly memorandum items adjustment series is reported by the NCBs/ECB to the ECB with reference to those OMFIs and NCB/ECB stock series that are defined as "high priority" memorandum items. These are described in detail in Annex X. Adjustment data should always be reported when corresponding stock data are applicable and/or available, and when they are included in the regular data transmission to the ECB.

6. Data reporting

All statistical returns contain the amount of data specified in the relevant tables included in Regulation ECB/2001/13 or in this Guideline irrespective of the actual existence of the underlying phenomenon, with the exception of memorandum items series. This means that if a time series is not applicable it is still reported (in all data transmissions) and the values indicate missing data ("-"), as described in Section 4. For example "currency in circulation" for "OMFIs" reporting must be supplied with numeric values or "-", as appropriate. The only exception is where a whole sector does not exist in which case no data need to be provided for this sector (i.e. central government series).

6.1. Timeliness

The first data reporting according to Regulation ECB/2001/13 begins with monthly data for January 2003.

The NCBs report to the ECB the monthly balance sheet stock and adjustments data of the OMFI and the NCBs/ECB sectors, separately identified, by close of business on the fifteenth working day following the end of the month to which the data relate. Quarterly statistics are transmitted by the NCBs to the ECB by close of business on the twenty-eighth working day following the end of the month to which they relate.

a) Transitional provisions

According to the transitional provisions for the application of Regulation ECB/2001/13, presented in its Annex V, the new monthly statistical requirements on stock and adjustments data (write-offs/write-downs and price revaluations), may be reported to the ECB with a delay of a further month from the close of business on the fifteenth working day following the end of the month to which the data relate. These transitional provisions apply for a transitional period of 12 months. It is noted that this provision does not apply to the asset side item "MMF shares/units".

During the transitional period, for those monthly revaluation adjustments series that were previously covered by Guideline ECB/2002/5 and were therefore reported monthly with the same timeliness as stock data, NCBs are required to send data (based on estimates or on provisional figures) with the same timeliness as for the corresponding stock series. The series will be then revised in the following monthly data transmission with the actual data sent according to the transitional provisions.

As from the data transmission of February 2004, referring to January 2004 data, the new monthly statistical requirements on stock and adjustments data, introduced with Regulation ECB/2001/13, will be reported to the ECB by close of business on the fifteenth working day following the end of the month to which the data relate.

6.2. Historical data

Regulation ECB/2001/13 does not make any reference to the provision of historical data for the new monthly and quarterly series for which the reporting starts with reference to January 2003 data.

Stock series - Regarding the new monthly and quarterly stock series, the reporting of historical data is subject to the availability of actual data or best estimates.

Adjustment series - According to Annex V of Guideline ECB/2002/5 and with reference to Regulation ECB/1998/16, historical data for monthly adjustment series were provided starting with data for July 1998, with best estimates back to October 1997 and available back data from the early 1980s to ensure consistency with the reporting of stock data. As for the quarterly adjustment series, while the provision of historical reclassification adjustment data could easily follow the same plan as the monthly adjustment series, Guideline ECB/2002/5 recognises the difficulty in providing historical write-offs/write-downs and revaluation adjustment data that, as a consequence, were reported only when available. Along these lines is defined the reporting of historical data for the new monthly adjustment series, previously reported under the quarterly scheme.

Therefore, the reporting of historical data envisages ideally the reporting of data back to September 1997. Table 4 shows the situation with respect to the new monthly and quarterly requirements foreseen by the Regulation and by this Guideline, together with an indication of the time span for the reporting of historical data when these were available.

Details on the compilation of flows statistics and on the derivation of new monthly and quarterly adjustment data are reported in Annex X.

TABLE 4

New monthly and quarterly series: reporting of data prior to January 2003

>TABLE>

6.3. Specific data reporting issues

a) Change of definition

As stated in Regulation ECB/2001/13, the separate balance sheet category "money market paper" is removed and merged with the data category "debt securities issued" on the liabilities side of the MFI balance sheet. Instruments classified under this category are entered under "debt securities issued" and allocated according to their original maturity. A corresponding reallocation has also been made on the assets side of the MFI balance sheet. As a consequence of this reallocation, the description of the code values of the BSI categories of "debt securities issued" and "securities other than shares" from the code list CL_BS_ITEM has been revised to also include the item "money market paper". The change in the definition of the two code values "L40" and "A30" from the code list CL_BS_ITEM will take place in February 2003, since the reporting of the two items together will only start for data with reference to January 2003 onwards.

More detailed instructions for the reporting of the new BSI "debt securities issued and money market paper" and "securities other than shares and money market paper", are presented in Table 5. The first column indicates the code value for the relevant BSI, the second column shows the description of the BSI. The third and the fourth columns indicate the validity of the code values and their description. For example, for the code value "A30" the definition "securities other than shares" is valid until January 2003 (with reference to December 2002 data), while as from February 2003 for data with reference to January 2003 the correct definition will be "securities other than shares (including money market paper)". Finally, the last column shows the specific reporting instructions for each series presented.

TABLE 5

Balance sheet items - change in definition: implementation

>TABLE>

b) From quarterly reporting to monthly reporting

One of the changes introduced by Regulation ECB/2001/13 concerns the reporting on a monthly basis of some BSI series that were previously reported on a quarterly basis according to Regulation ECB/1998/16. For the series subject to a change in the reporting timeliness, some additional instructions are provided in Table 6.

Regarding the reporting of historical data and revisions to periods prior to January 2003, these should always be sent as monthly series. The revisions concerning the quarterly series should be sent as monthly data with reference to the last month of the quarter to which they refer, using the monthly series keys. As for the reporting of historical data prior to January 2003, these are reported on a voluntary basis when available and flagged as appropriate through the use of the observation status and observation comment attributes(22). Historical data that are the result of estimates based on a subsample of reporting institutions or on a partial set of instruments and/or counterparties can be sent as estimates and appropriately flagged. In this case, a description of the methods of estimation should also be provided on the occasion of the first data transmission. On the contrary, if the historical monthly series can only be derived through the use of time series techniques, they will be derived directly by the MBSD and do not need to be reported by the NCBs.

TABLE 6

Balance sheet items - change in timeliness: implementation for stock data

>TABLE>

6.4. Validation rules

In accordance with the minimum standards for the statistical reporting requirements of the ECB, as presented in Annex IV to Regulation ECB/2001/13, two general checking areas have been identified.

The first refers to linear relations, for which the mathematical result must hold and be maintained at every transmission. Accordingly, all the linear constraints between the BSIs must be fulfilled (balance sheets must balance, subtotals must add up to totals and they should not exceed the value of the total series). When the data do not fulfil one or more equations imposed, NCBs will be asked to check and revise their data. The ECB maintains and distributes to the NCBs tables containing the equations used for the linear checks.

The second focuses on qualitative checks, the results of which may require investigation by NCBs. In particular, for each BSI the absolute and the percentage(23) changes between intertemporal values may identify outliers or breaks in the time series as they are regularly monitored by the ECB. The reporting of zero values, negative values and missing values is also monitored on a regular basis. NCBs may be asked to give written explanations on the findings of the quality checks.

The two sets of checks are implemented by the ECB as part of the regular data reception procedures.

7. Revision policy

NCBs may have to revise the data referring to the previous reference month (ordinary revisions). In addition, revisions arising from, for example, mistakes, reclassifications, improved reporting procedures, etc., and referring to data prior to the previous reference month (exceptional revisions)(24) may also occur.

The Money and Banking Statistics Compilation Guide(25) sets the principles to which the revision policy should conform. In particular:

a) NCBs should not systematically revise the data for the period prior to the previous reference month. Should such revisions however take place, they are defined as exceptional revisions and the ECB will require an explanatory note;

b) in general, significant revisions not due to grossing up or to minor routine revisions are to be explained to the ECB by means of explanatory notes;

c) in transmitting revised data, NCBs must take into consideration the established timeliness of regular reporting so as not to clash with the regular production period. Exceptional revisions should be transmitted only outside the regular production cycle;

d) in general exceptional revisions will only be taken on board if satisfactory explanations are provided.

In addition to the above, in view of the need to ensure a good balance between the quality of monetary statistics and their stability, and in order to enhance the consistency between the monthly and the quarterly returns, it is recommended that exceptional revisions to the monthly data are submitted at the time of the submission of the quarterly returns.

It must be noted that, when exceptional and ordinary revisions and updates are reported in the same data file, all data are processed simultaneously. Otherwise, if exceptional revisions are reported separately during the production period, after updates and ordinary revisions have been transmitted, the ECB may decide to postpone the processing and storage of these data until after the production period. In fact, although the ECB is technically capable of processing data files (containing exceptional/ordinary revisions and/or updates) as soon as they arrive at its gateway, exceptional revisions which come in during the production period may hamper the regular data processing and so delay the whole process of producing euro area aggregates. However, if incoming exceptional revisions could improve the significance of the data at the euro area level, or correct notable mistakes, these revisions may also be accepted during the production period.

8. Return information to NCB

The ECB maintains and distributes to the NCBs tables describing the statistical series that will be returned to the NCBs.

(1) The ECB's own BSI statistics are also an element of the consolidation process.

(2) The ECB Directorate Internal Finance also reports to the ECB Directorate General Statistics its own balance sheet following these instructions.

(3) The concatenation of concrete dimension values provides the time series names (keys).

(4) OJ L 333, 17.12.2001, p. 1.

(5) OJ L 330, 6.12.2002, p. 29.

(6) As from the reporting of January 2003 data, the code value to be used for the reporting of the ECB balance sheet series is "N" as for the NCBs' balance sheet.

(7) As from the reporting of January 2003 data, the code value "U" (which was previously used for the MFI sector including ECB) is removed and the code value "M" (which was previously used for the MFI sector excluding ECB) is redefined as MFI sector (including ECB).

(8) The reporting of exchange rate adjustments series applies to the ECB only.

(9) OJ L 356, 30.12.1998, p. 7.

(10) OJ L 229, 9.9.2000, p. 34.

(11) The attributes are statistical concepts which provide users with additional coded (e.g. the unit) and uncoded (e.g. the compilation method) information about the exchanged data. "Mandatory" are those attributes which must take a value, otherwise the corresponding observations which they refer to are not considered meaningful. "Conditional" are those attributes which are given values only if they are known in the reporting institution (e.g. domestic series ID) or whenever they are relevant (e.g. breaks), and they are permitted to take empty values. Attribute values are to be exchanged only as and when they are set for the first time or they change. Only the observation status is present in every interchange, attached to each observation.

(12) The attribute AGG_EQUN will not be used for the ECB_BSI1 key family and will be removed from the key family structure definition at its next update.

(13) If the NCB wishes to revise an attribute, it will be necessary to re-submit the respective observation(s) at the same time. If any of the observation attributes are revised then, unless the NCB provides the relevant attribute value, the existing values will be replaced by the default values.

(14) The observation status "M" is always sent together with an observation value "-". See Section 4 for further information.

(15) The observation status "L" is always sent together with an observation value "-". See Section 4 for further information.

(16) The observation status "E" should be adopted for all observations or periods of data that are the result of estimates and cannot be considered as normal values.

(17) If on the occasion of the transmission of a revision (of one attribute or of the value of an observation) the observation status is not transmitted together with the value of the observation, it will be assumed that the value "A" applies for non-missing observations and the value "M" for missing observations.

(18) OJ L 220, 15.8.2002, p. 67.

(19) If for technical reasons an NCB is not in a position to use the code value "L", it must provide in a written format the list of series concerned to the ECB.

(20) According to Regulation ECB/2001/18 of 20 December 2002 concerning statistics on interest rates applied by monetary financial institutions to deposits and loans vis-à-vis households and non-financial corporations, OJ L 10, 12.1.2002, p. 24.

(21) In the case of the ECB balance sheet, the exchange rate adjustment series are provided by the Internal Finance Directorate of the ECB in accordance with Annex X.

(22) Values that are the result of estimation should be sent with an observation status (OBS_STATUS) attribute "E", and with an observation comment (OBS_COM) describing the details of the estimation procedure.

(23) Not to be applied to items which denote zero. For these, the difference applies.

(24) Defined as revisions applied to values related to a period prior to the month prior to the current reference month.

(25) European Monetary Institute, Money and Banking Statistics Compilation Guide -- Guidance provided to NCBs for the compilation of money and banking statistics for submission to the ECB, April 1998.

ANNEX XIV

GROSSING-UP PROCEDURES

The cutting-off-the-tail

1. According to Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(1) as amended by Regulation ECB/2002/8(2), the actual reporting population for the compilation of euro area money and banking statistics is the entire population of the monetary financial institutions (MFIs). In addition, Article 2(2) of the Regulation states: "[NCBs] may grant derogations to small MFIs, provided that the MFIs which contribute to the monthly consolidated balance sheet account for at least 95 % of the total MFI balance sheet in terms of stocks, in each participating Member State. NCBs shall check the fulfilment of this condition in good time in order to grant or withdraw, if necessary, any derogation with effect from the start of each year". Accordingly, the aggregated balance sheet of those MFIs that are subject to full reporting requirements for the purposes of euro area money and banking statistics must represent, as a minimum, 95 % of the total aggregated balance sheet of the MFI sector as a whole in each Member State.

2. National central banks (NCBs) that decide to relieve small MFIs of full reporting requirements collect, as a minimum, annual data relating to the total balance sheet so that they can monitor whether such MFIs still fulfil the criterion mentioned in Article 2(2). The total balance sheet amount is calculated on a gross basis. Inconsistencies across the European Union in the definition of the balance sheet total caused by differences in accounting principles are not expected to be significant and are expected to diminish over time.

Grossing up for non-full reporting MFIs

3. To ensure the quality of the euro area MFI balance sheet statistics, NCBs gross up to 100 % coverage for the non-full reporting MFIs in the compilation of the monthly and quarterly MFI balance sheet data reported to the European Central Bank.

Minimum standards for grossing up

4. The procedure for grossing up to 100 % coverage is chosen by the NCBs, provided it fulfils the following minimum standards:

- For missing breakdowns data (i.e. individual items of the balance sheet not reported by small MFIs), estimates are derived by applying ratios based on the entire reporting population or on a subset considered to be more representative of the "tail".

Where the breakdowns data are available, but with a longer delay or at a lower frequency, reported data are carried forward into the missing period(s) by 1) repeating the data when the results have proven to be adequate; or 2) applying appropriate statistical techniques if necessary due to any trend growth rate or development of seasonal patterns (i.e. where these phenomena would otherwise result in the inclusion of new observations giving rise to a large upward or downward revision in the time series).

(1) OJ L 333, 17.12.2001, p. 1.

(2) OJ L 330, 6.12.2002, p. 29.

ANNEX XV

STATISTICS ON THE RESERVE BASE

Specification of data

Monthly statistics on the aggregated reserve base, broken down according to type of liability, are calculated as end-month stocks in accordance with the categories set out in Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(1) as amended by Regulation ECB/2002/8(2). Data to produce these statistics are drawn from the data that credit institutions subject to minimum reserve requirements submit to national central banks (NCBs).

For this purpose, NCBs report to the European Central Bank (ECB), on a monthly basis, the following data, as reported by the credit institutions to them in the context of the minimum reserve system of the European System of Central Banks (ESCB):

>TABLE>

Liabilities vis-à-vis other credit institutions subject to the ESCB's minimum reserve system, the ECB and NCBs of the participating Member States are excluded from the reserve base. If a credit institution cannot provide evidence of the amount of its issues of debt securities with a maturity of up to two years held by the institutions mentioned above, it may apply a standardised deduction, defined by the ECB, to the outstanding amount of these liabilities.

With respect to the (quarterly) limited reporting of the reserve base of small credit institutions, the latest end-quarter data are used three times in the monthly data reported by the NCBs to the ECB.

The statistical requirements concern the data transmitted by the credit institutions to NCBs in the context of the ESCB's minimum reserve requirements.

The items refer to the amounts, as reported by the credit institutions to the NCBs, which have been used in the calculation of each institution's reserve base.

a) Liabilities to which a positive reserve coefficient is applied:

a.1) deposits (overnight deposits, deposits with an agreed maturity of up to two years, deposits redeemable at notice of up to two years);

a.2) debt securities with an agreed maturity of up to two years.

Data reported to the ECB on debt securities issued by credit institutions a.2) correspond to the true amount included in the reserve base, as reported to NCBs by credit institutions. Data on debt securities a.2) therefore comprise:

- the amount of debt securities with an agreed maturity of up to two years issued by credit institutions, with a standardised deduction, defined by the ECB, in the case that credit institutions have not given proof of holdings of own securities, so that the macro ratio has been applied, or

- the amount of debt securities with an agreed maturity of up to two years issued by the credit institutions, adjusted by the true amount of the credit institutions' (and ESCB's) holdings of debt securities with an agreed maturity of up to two years issued, in the case that credit institutions have presented proof.

b) Liabilities to which a zero reserve coefficient is applied:

b.1) deposits (deposits with an agreed maturity of over two years, deposits redeemable at notice of over two years);

b.2) repos;

b.3) debt securities with an agreed maturity of over two years.

The amounts reported for "debt securities with an agreed maturity of over two years" also include the amounts of debt securities held by other credit institutions subject to reserve requirements, by the ECB or by NCBs of the participating Member States.

c) Lump-sum allowance applied by credit institutions subject to minimum reserve requirements

Coding structure

For the purposes of the transmission of reserve base statistics to the ECB, certain codes have been defined and added to those described in Annex XIII:

a) For the reporting sector the code "R", included in the code list CL_BS_REP_SECTOR, is used to define the credit institutions subject to minimum reserve requirements(3).

b) The relevant counterparty sector includes all the "other MFIs" that are not credit institutions subject to minimum reserve requirements(4), all the "non-MFIs" (general government and other resident sectors) and the rest of the world. The code "3000" from the code list CL_BS_COUNT_SECTOR is used to represent this balance sheet counterparty sector.

c) No geographical breakdown is requested for the counterparty area. The code "A1" for "world", from the code list CL_COUNT_AREA, is used here.

d) Three codes included in the code list CL_BS_ITEM are defined specifically for the balance sheet items (BSI) used for reserve base statistics but not for BSI statistics and for the lump-sum allowance. Code "L2A" for "deposits with agreed maturity and deposits redeemable at notice", code "L2B" for "overnight deposits, deposits with agreed maturity and deposits redeemable at notice", and code "LSA" for "lump-sum allowance applied by credit institutions subject to minimum reserve requirements" are used here.

e) No currency breakdown is requested, and therefore the code "Z01" (all currencies combined) from the code list CL_CURRENCY is used.

f) Data are reported in euro and the code "E" from the code list CL_SERIES_DENOM is used.

Tables RR/1 and RR/2 in the Appendix show the series to be reported for the reserve base statistics.

Regular reporting of the data

The reserve base statistics comprise six time series for the credit institutions, referring to month-end stocks figures to be transmitted to the ECB, at a monthly frequency, at the latest by the seventeenth working day following the end of the reference month, via the "E9" electronic network.

Credit institutions in the tail (i.e. those exempt from full monthly reporting) report a limited breakdown to the NCBs on a quarterly basis. For these tail credit institutions, simplified reserve base statistics for the three (one-month) reserve maintenance periods are used, and the NCBs will include data for tail credit institutions according to their reporting timetable(5).

Revision policy

Revisions by the reporting institutions to the statistics on the reserve base and on the reserve requirements for a specific maintenance period are allowed only when they occur by the fourteenth calendar day of the month following the month within which the maintenance period started(6).

Revisions by the reporting institutions to the reserve base/reserve requirements that occur after the fourteenth calendar day of the month following the month within which the relevant maintenance period (late revisions) started should not lead to revisions to the statistics on the reserve base and on the reserve requirements.

(1) OJ L 333, 17.12.2001, p. 1.

(2) OJ L 330, 6.12.2002, p. 29.

(3) The reporting sector used here is smaller than the other monetary financial institutions (MFIs) sector, since other MFIs not subject to minimum reserve requirements are not included.

(4) The NCBs, the ECB and credit institutions subject to minimum reserve requirements are excluded from the counterparty sector for the euro area.

(5) The NCBs use the quarterly reserve base data from the credit institutions in the tail for the monthly figures reported to the ECB in the three data transmissions following their release.

(6) Or on the preceding NCB business day if the fourteenth calendar day is not an NCB business day. "NCB business day" shall mean any day on which a particular NCB of a participating Member State is open for the purpose of conducting ESCB monetary policy operations.

Appendix

TABLE RR/1

Series keys for monthly BSI data required to compile statistics on the reserve base

>TABLE>

TABLE RR/2

Series keys for monthly BSI data required for control purposes

>TABLE>

ANNEX XVI

DATA NECESSARY TO CALCULATE THE EURO AREA-WIDE MACRO RATIO

Specification of data

On the basis of the balance sheets submitted by the individual reporting monetary financial institutions (MFIs) to the national central banks (NCBs), the NCBs can obtain data concerning the aggregated balance sheet of credit institutions subject to minimum reserve requirements (Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(1) as amended by Regulation ECB/2002/8(2)).

For the purpose of the calculation of the euro area-wide macro ratio, the NCBs report the following end-month statistics to the European Central Bank (ECB) on a monthly basis:

- the outstanding amount of "debt securities of up to two years" agreed maturity' issued by credit institutions,

- credit institution holdings of "securities other than shares of up to two years" agreed maturity' issued by domestic and by other euro area MFIs.

For the credit institutions in the tail (i.e. those small institutions with a derogation from full monthly reporting), the grossing-up procedures described in Annex XIV are used where applicable.

Coding structure

The coding structure for the purpose of the transmission of the time series to the ECB follows the structure defined in Annex XIII and used for the transmission of balance sheet items (BSI) data. In particular, the following codes are used to define the three time series:

a) the reporting sector for the three time series to be reported is "credit institutions subject to minimum reserve requirements" and is coded with the value "R" from the code list CL_BS_REP_SECTOR;

b) for "debt securities issued up to two years" and "securities other than shares of up to two years" agreed maturity' the value "L" from the code list CL_BS_MATURITY_ORIG is used as the maturity breakdown code;

c) to ensure consistency with the established series keys for BSI reporting, the item on the assets side is reported separately for domestic and other euro area counterparty areas. The values "U6" and "U5" from the code list CL_COUNT_AREA are used.

The item on the liabilities side is reported with no distinction for the counterparty area, and the value "A1" for "world" is used;

d) no currency breakdown is requested, and therefore the code "Z01" (all currencies combined) from the code list CL_CURRENCY is used;

e) data are reported in euro and the code "E" from the code list CL_SERIES_DENOM is used.

The table "credit institutions/macro ratio" in the Appendix shows the three time series to be reported.

Regular reporting of the data

The three time series for the credit institutions, referring to month-end stocks figures, are transmitted to the ECB at a monthly frequency by close of business on the last working day of the month following the reference period.

The series need to be transmitted even if the related BSIs are not applicable in the Member State, in order to allow a consistent treatment of the items in the framework of the consolidated balance sheet(3).

(1) OJ L 333, 17.12.2001, p. 1.

(2) OJ L 330, 6.12.2002, p. 29.

(3) The correct reporting of non-applicable BSIs is outlined in Annex XIII.

Appendix

TABLE

Credit inst./macro ratio

Series keys for monthly BSI data. Data required to compile the macro ratio

>TABLE>

ANNEX XVII

LIST OF MONETARY FINANCIAL INSTITUTIONS

GUIDELINES FOR REPORTING UPDATES

Introduction

1. These guidelines provide information on the collection, validation and dissemination of the List of monetary financial institutions ("MFIs"). The List of MFIs is a compilation of institutions reflecting the national MFI sectors of the European Union (EU) Member States.

Ad hoc updates to the list of MFIs

2. Ad hoc updates are mandatory and take place if there are changes in the MFI sector, i.e. an institution joins the MFI sector ("joiner") or an existing MFI leaves the MFI sector ("leaver").

3. Ad hoc updates are also mandatory where there are any changes in attributes of existing MFIs.

4. An institution can join the MFI sector for any of the four reasons below:

- the establishment of an MFI as the result of a merger,

- the establishment of new legal entities as the result of the division of an existing MFI,

- the establishment of a new MFI,

- a change in the status of a previous non-MFI, such that it becomes an MFI.

5. An institution can leave the MFI sector for any of the five reasons below:

- the involvement of an MFI in a merger,

- the purchase of an MFI by another institution,

- the division of an MFI into separate legal entities,

- a change in the status of an MFI, such that it becomes a non-MFI,

- the liquidation of an MFI.

6. Transmission of ad hoc updates of the MFI sector is mandatory, both to ensure full consistency with the eligible counterparties for monetary policy operations (hereinafter "MPEC") and for the monthly release of the List of MFIs on the European Central Bank's (ECB's) website.

7. When reporting a new institution or an institution to be modified, all mandatory variables should be completed.

8. When reporting an institution leaving the MFI sector (which is not part of a merger) the following information should be reported as a minimum: the type of request (i.e. delete) and the identification code of the MFI (i.e. the "mfi_id" variable).

MFI id code reallocation

9. National central banks (NCBs) should not reallocate MFI id codes of deleted MFIs to new MFIs.

10. In the event that this course of action is unavoidable, the following procedure should be followed:

i) the update with the reallocated id code should be transmitted via the N13 Data Exchange System. As reallocating id codes will violate a validation check, the NCB will be informed through an acknowledgement that the update has been rejected. However, the information related to the update will be kept in a separate data store;

ii) in parallel with the abovementioned transmission, an explanation of the MFI id reallocation should be sent to the ECB via the N13 Cebamail account; please state in the subject header "MFI reallocation". Details of the reason for the reallocation including the IREF number of the file transmitted should be sent as part of the explanation;

iii) subject to the acceptance of the explanation, the ECB will manually implement the update and send an acknowledgement to the NCB via Cebamail;

iv) if the explanation is not deemed acceptable, the update will not be implemented in the MFI dataset; the ECB will send the NCB a message via Cebamail with an explanation for the refusal;

v) if Cebamail is not available, the explanation should be sent via the standard e-mail address (state in the subject header "MFI re-allocation") used for sending MFI-related queries to the ECB: mfi.hotline@ecb.int. The ECB will communicate via e-mail with NCBs for procedures (iii) and (iv) above.

Variables transmitted

11. The table below outlines the variables that are collected for the List of MFIs and whether they are mandatory or otherwise. Please refer to the section on "Validation checks" below for further details about each variable. Note that unless explicitly stated otherwise, the term "mergers" refers to domestic merger activity.

>TABLE>

Merger requests

12. Several examples are given below of the variables to use to report both domestic and cross-border mergers, between an MFI and other MFI(s)/non-MFI(s). Scenarios involving both the same dates and different dates of legal effect of merger activity are also indicated. Note that the situations below are samples and do not reflect an exhaustive list of all possible merger scenarios. Furthermore, the result specified for a situation is only one of many possible outcomes for that type of merger.

13. The "Exchange Specification for the N13 Phase II Data Exchange System" (see the section on "Reference" below) should be referred to, for appropriate guidelines on the XML reporting scheme.

>TABLE>

Frequency of transmission

14. Transmission of ad hoc updates to the ECB should be effected as soon as the changes in the MFI sector occur.

Transmission medium and file format

15. Ad hoc updates should be transmitted in XML format, via the N13 Data Exchange System.

16. In the event of failure of the N13 Data Exchange System, updates should be transmitted in XML format via the N13 Cebamail account.

17. For full details of the N13 Data Exchange System for transmission of MFI updates, please refer to the "Exchange Specification for the N13 Phase II Data Exchange System" document (see the section on "Reference" below).

Validation checks

The following data validation checks should be carried out before transmitting MFI updates to the ECB. All updates received by the ECB which pass the validation checks are automatically implemented in the MFI dataset.

General

i) All mandatory variables are completed.

ii) Values for the variable "object_request" are one of four predefined types:

- "mfi_req_new" (specifies that information on a new MFI is given),

- "mfi_req_mod" (specifies that information on modifications to an existing MFI is given),

- "mfi_req_del" (specifies that information on an existing MFI to be deleted is given),

- "mfi_req_merger" (specifies that information on institutions involved in a merger is given).

Identification code

iii) The variable "mfi_id" is comprised of two separate parts, a "host" variable and an "id" variable. The values for the two parts combined should ensure the "mfi_id" is unique for that MFI. The "mfi_id" is the primary key for the MFI dataset.

iv) The value for the variable "host" for an MFI (when part of the "mfi_id") can only be a two-character country EU ISO code.

v) A previously used id code should not be allocated to a new MFI. (In exceptional circumstances, refer to the section on "MFI id code re-allocation" above.)

vi) To ensure consistency, use the same id codes as released monthly in the List of MFIs on the ECB's website.

vii) When reporting an "mfi_id" code change, a request should be transmitted first to delete the existing MFI with the "old" code; a second request should be transmitted subsequently to establish a "new" MFI with the new "mfi_id" code.

viii) If the variable "mfi_id" is incomplete, incorrect or missing the entire request will be rejected.

Name

ix) The full, registered name of the institution at the NCB.

x) Include the company designation in the name, i.e. Plc, Ltd, Spa, etc. The company designation should be consistently reported for all names where this is applicable.

xi) The national character set should be used. Greece should use the Roman alphabet.

xii) The lower case convention should be followed to cater for accents.

xiii) Use lower case, where applicable.

xiv) If the variable "name" is incomplete, incorrect or missing the entire request will be rejected.

Address

xv) At least one of the address variables "postal_address", "postal_box" or "postal_code" should be completed. The fourth address variable, "city", is mandatory.

xvi) For the "postal_address", indicate the street name and street number of the location of the institution. Use national character sets. Greece should use the Roman alphabet.

xvii) For "postal_box", use national box convention systems. No post office box text references should be placed in front of "postal_box" numbers, which can be alphanumeric.

xviii) For "postal_code", specify the post code of the location of the institution. Use national postal systems conventions. The "postal_code" can be alphanumeric.

xix) If the set of "address" variables is incomplete, incorrect or missing the entire request will be rejected.

City

xx) For the variable "city", specify the city of location. Use national character sets. Greece should use the Roman alphabet. Use lower case, where applicable.

xxi) If the variable "city" is incomplete, incorrect or missing the entire request will be rejected.

Category

xxii) For the variable "category", indicate the type of MFI according to four predefined values: "central bank", "credit institution", "money market fund" or "other institution". Use lower case, except for initial positions, which should be in upper case.

xxiii) If the variable "category" is incomplete, incorrect or missing the entire request will be rejected.

Report

xxiv) For the variable "report", indicate if the MFI is subject to full reporting requirements ("true") or alternatively is part of the tail ("false"). Only one of these two predefined values will be accepted.

xxv) If the variable "report" is incomplete, incorrect or missing the entire request will be rejected.

Order

xxvi) For the variable "order_r", indicate the desired order of the List of MFIs, if the English alphabetical order is not applicable. Assign a numeric value to each MFI in ascending order.

xxvii) The variable "order_r" is not mandatory. If this is incomplete or missing (and all other validation checks are fulfilled), the request will be implemented in the MFI dataset.

Foreign branch checks

xxviii) A value for the variable "head_of_branch" must be completed, if the MFI is a foreign branch.

xxix) For the variable "head_of_branch", indicate the type of head office according to one of three predefined variables: "non_eu_head", "eu_non_mfi_head_" or "eu_mfi_head".

xxx) If the variable "head_of_branch" is given as "non_eu_head" (a non-EU resident head office) the host and name of the head office should be given.

xxxi) If the variable "head_of_branch" is given as "eu_non_mfi_head" (an EU resident head office, which is not an MFI) the host, name and id of the head office should be given. The id of the non_mfi can be either "OFI" (other financial institution) or a two-character ISO country code followed by a suffix referring to the appropriate sectoral classification of the ESA 95(1).

xxxii) If the variable "head_of_branch" is an "eu_mfi_head" (an MFI), the host and id of the head office should be given. Please refer to the latest month's List of MFIs available on the ECB's website for the most up-to-date MFI id information.

xxxiii) If the variable "head_of_branch" is an "eu_mfi_head" (an MFI), the name of the head office should not be given. As part of the ECB's validation checking mechanism, there is an automatic update of head office names of all EU-resident foreign branches, where the id of the head office is provided. This is done for the entire MFI dataset, each time an MFI is reported and there is a change to the "name" variable.

xxxiv) If any of the above validation checks (xii - xvii) are violated, the entire request will be rejected.

xxxv) There are two cases in which inconsistent head office information will prevail in the ECB's MFI dataset:

- if the variable "head_of_branch" is given as an "eu_mfi_head" but the id of the head office does not match that in the ECB's MFI dataset, the request will still be implemented. However, the name of the head-office will not be contained in the ECB's MFI dataset,

- if an MFI id code change request is sent, it is possible that head office information pertaining to foreign branches resident in other Member States, of that MFI, will become inconsistent.

xxxvi) To mitigate this inaccuracy, the ECB will send a list of inconsistent head office information to all or selected NCBs, several times a year, for checking purposes.

Mergers checks

xxxvii) The variable "mfi_req_merger" is mandatory, when reporting domestic or cross-border mergers.

xxxviii) The variable "submerger" is mandatory. Each group (i.e. two or more institutions) sharing the same "date" of legal effect of merger activity should be reported under a separate "submerger" tag.

xxxix) When the variable "submerger" is specified, a value for the variable "date" should be completed. Completion of the variable "date" is mandatory.

xl) At least one institution involved in a merger should be an MFI (i.e. it is not possible to report mergers only between non-MFIs).

xli) If there is no change in the attributes of an MFI as a result of merger activity, this MFI should be reported as a modification (i.e. "mfi_req_mod"). This is in order to ensure that all MFIs involved in a merger are reported.

xlii) The variable "involved_mfi" is mandatory only when reporting cross-border mergers (i.e. the "involved_mfi" will contain information on the institution resident in another Member State).

xliii) If an institution is specified as an "involved_mfi", the variable "mfi_ref" should be completed.

xliv) The variable "mfi_ref" is comprised of two parts: "mfi_id" (which consists of the "host" and "id" of the institution) and "name".

xlv) Cross-border merger information will not be implemented in the ECB's MFI dataset, unless complete merger requests from all involved Member States have been reported and validated.

xlvi) If an institution is specified as an "involved_non_mfi", the "non_mfi_id" and "name" should be completed.

xlvii) The "non_mfi_id" of an "involved_non_mfi" is comprised of two parts: "host" and "id", and is five characters in length. The "host" is a two-character ISO country code. The "id" is three characters in length and refers to the appropriate sectoral classification of the ESA95.

xlviii) If any of the above validation checks (xx - xxx) are violated, the entire request will be rejected.

MFI-MPEC cross-check

18. If a cross-check of data between the MFI and MPEC datasets is required, place a cross-check flag in the file being transmitted in the N13 Data Exchange System.

19. The cross-check is carried out on the complete MFI and MPEC information reported by the sender NCB (i.e. including existing MFI and MPEC information in the respective databases) and not just on the information received in the file containing the flag. The results are returned immediately in the form of an acknowledgement. The cross-check flag should be utilised in the following way:

- where MFI and MPEC data can be coordinated between respective business areas, the cross-check flag should be included only in the second file transmitted for the corresponding MFI or MPEC request,

- where coordination is not feasible, an additional message containing only the cross-check identifier should be transmitted at the end of the day. This message could be sent by one or both of the MFI-MPEC business areas,

- where a cross-check is not required immediately for MFI-MPEC consistency, the flag should not be placed in the file,

- where the check is required for execution later in the day, the data should be sent without the cross-check flag. An empty file with the cross-check flag should be sent subsequently. In this case, as there is no data to check in the empty file, the cross-check is performed at once,

- The acknowledgement will contain only the result of the cross-check between the MFI and the MPEC datasets of the sender.

20. An MFI-MPEC cross-check provides a warning only. Hence, if the cross-check fails, the request will still be implemented in the ECB's MFI dataset. Note however that inconsistent MFI-MPEC records will not be disseminated on the ECB's website at the end of each month.

Error handling

21. Upon receipt of a file containing MFI updates, an acknowledgement is transmitted immediately back to the sender. The acknowledgement is one of two types:

i) acquisition acknowledgement: this contains summary information of the MFI updates which have been processed and implemented successfully in the MFI dataset;

ii) error acknowledgement: this contains detailed information on the MFI updates and the validation checks which have failed. Please refer to the section on "Validation checks" above for specific information on whether failure of the validation check would result in a rejection of the entire request, or an implementation of the request supplemented with a warning.

22. Upon receipt of an error acknowledgement, immediate action should be taken to transmit corrected information. If correct information is dependent on updates sent by other Member States during the course of the latest month (i.e. not available on the ECB's website), please contact the ECB via the N13 Cebamail account, with specific details of information required.

Annual quality control checking exercise

23. The purpose of this mandatory annual exercise is to extensively check the existing List of MFIs at the ECB, with a particular focus on checking foreign branches.

24. The timing of the exercise is targeted towards ensuring that the end-of-year release of updated MFI sector information on the ECB's website, and subsequently as a hard-copy publication, is as accurate and up-to-date as possible.

25. The NCBs should follow the guidelines set out below in order to carry out the standardised updating procedure in a timely and accurate manner and to ensure that the information is processed in a comprehensive and efficient manner at the level of both the NCBs and the ECB.

General procedures

i) Each NCB will be sent a single Excel file, containing four worksheets (Reports 1-4) which include one blank template. These will be sent via Cebamail from the ECB and dated as at close of business on the last working day of October (time tag "T").

ii) Note that "T" refers to working days.

iii) The reports and the checks to be performed are specified below.

Report 1: The national List of MFIs

This is a country specific (national) list of MFIs, as listed in the ECB's database, which NCBs should compare with their own national list of MFIs.

- Each correct institution in this report should be ticked in the column entitled "Comments".

- If there are any differences between the two lists, then these should be specified appropriately in the column entitled "Comments". Please indicate exactly what the difference is, i.e. modification is required (which attribute is modified and what the value should be), or record should be deleted (specify why), etc. Please also specify if you will send/have sent a correction for this record via the N13 Data Exchange System and state the IREF number in the column entitled "IREF".

- If a record is missing, then the entire record details should be added to Report 1 (i.e. as an additional record). Please specify in the "Comments" column that this is a "new record" (specify why). Please also specify if you will send/have sent a correction for this record via the N13 Data Exchange System and state the IREF number in the column entitled "IREF".

Report 2: A list of foreign branches resident in the specific NCB's country

NCBs should ensure that the information on foreign branches of MFIs resident in their own countries, is complete, accurate and up-to-date.

- Each correct institution in this report should be ticked in the column entitled "Comments".

- If there are any modifications, then these should be specified appropriately in the column entitled "Comments". Please indicate exactly what the difference is, i.e. modification is required (which attribute is modified and what the value should be), or record should be deleted (specify why), etc. Please also specify if you will send/have sent a correction for this record via the N13 Data Exchange System and state the IREF number in the column entitled "IREF".

- If a foreign branch is missing, then the entire record details should be added to Report 2 (i.e. as an additional record). Please specify in the "Comments" column that this is a "new record" (specify why). Please also specify if you will send/have sent a correction for this record via the N13 Data Exchange System and state the IREF number in the column entitled "IREF".

Report 3: A list of foreign branches, of which the head office has been reported by other NCBs as resident within the specific NCB's country

This is for cross-checking the MFI sector as far as coverage of the foreign branches of MFIs is concerned. NCBs should check to ensure that all their foreign branches resident in other EU countries have been reported by other NCBs.

- Each correct institution in this report should be ticked in the column entitled "Comments".

- If there are any modifications, then these should be specified appropriately in the column entitled "Comments". Please indicate exactly what the difference is, i.e. modification is required (which attribute is modified and what the value should be), or record should be deleted (specify why), etc.

- If a foreign branch is missing, then the entire record details should be added to Report 3 (i.e. as an additional record). Please specify in the "Comments" column that this is a "new record" (specify why).

Report 4: Template for cover pages

This is a blank template, in which each NCB should specify how many cover pages it requires for the hard-copy publication of the List of MFIs, due for release in the first quarter of the following year.

iv) The NCBs have nine working days ("T+9") in which to check the reports and to confirm the accuracy of the data. Completed reports are transmitted back to the ECB via the N13 Cebamail account with indications of whether the data are correct or not (as specified above).

v) In parallel, if data are incorrect, NCBs should make corrections and transmit updates via the N13 Data Exchange System to the ECB within these nine working days ("T+9"). In the reports sent back to the ECB, the IREF number of the corrected data should be quoted in all cases. Note: NCBs can continue sending ad hoc updates, not associated with the annual quality control exercise, as usual, via the N13 Data Exchange System.

vi) Either acquisition or error acknowledgements will be transmitted automatically to the NCBs upon receipt of the corrected data, via the N13 Data Exchange System (during "T+9"). If an error acknowledgement is received, NCBs should immediately provide corrections.

vii) The ECB will spend two working days ("T+11") checking all incoming reports and corrections. As stated above, NCBs should indicate the IREF number in the returned reports, if sending corrections.

viii) NCBs will be contacted further via Cebamail if there are any outstanding issues ("T+12").

ix) NCBs have two working days to provide further corrections or explanations in the case of outstanding issues ("T+14").

x) The ECB will send a final report of the status quo concerning the MFI sector to NCBs via Cebamail ("T+15"). A summary of the results of the annual quality control exercise is also provided.

xi) All remaining outstanding issues will be discussed at the following Working Group on Money and Banking Statistics meeting.

Summary table

xii) The table below provides a summary of the dates, tasks, mediums of transmission and responsible organisations for the annual quality control exercise concerning the List of MFIs.

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Contingency procedures

xiii) Contingency procedures enter into force in the following cases:

for MFI sector reports

- if the Cebamail system is not available for transmitting the MFI sector reports, the ECB will send these (in Excel format) via e-mail. NCBs should also use e-mail(2) to send back the completed reports to the ECB,

for MFI updates and corrections

- if the N13 Data Exchange System is not available for transmitting corrections, NCBs, where applicable, should submit the information using the XML data format, via the Cebamail system,

- if the Cebamail system is not operational for file transfer of MFI updates/corrections, NCBs should use e-mail(3) to send updates in XML data format,

xiv) if any NCB is closed on any day on which the abovementioned procedures have to be carried out, that NCB shall ensure that the procedures are initiated and completed according to the above timetable before the day or days of its closure.

Dissemination

Monthly updating on the ECB's website

26. On the last working day of each calendar month, a snapshot of the MFI dataset as at 17.00 ECB-time is taken. Note that inconsistent MFI-MPEC records will not be part of the snapshot.

27. The list of MFIs is made available to the public one day after the snapshot has been taken: namely, if the snapshot is taken at 17.00 ECB-time on a Friday, the updated MFI sector information will become available at 12.00 am ECB-time on Saturday morning.

28. At the same time that the list of MFIs is released on the ECB's website each month, a similar list will be sent to the NCBs via the N13 Data Exchange System.

Annual hard-copy publication

29. Once a year, the ECB will publish a hard-copy version of the List of MFIs, with a reference date as at the end of December of the previous year. This publication will be available to the general public, before the end of the first quarter of the following year, from the reference date. The ECB will disseminate one master hard-copy, together with the relevant number of cover pages required, to NCBs via the postal system. In parallel, a.pdf version of the publication will be sent to the NCBs via Cebamail. The.pdf version will also be published on the ECB's website.

Reference

30. "Exchange Specification for the N13 Phase II Data Exchange System". This document deals with the exchange of files between NCBs and the ECB. It covers the exchange protocol, the exchange infrastructure and file formats exchanged making up the interface between the ECB's and NCBs' internal systems. The document consists of two major parts, the "Functional" part and the "Technical" part. Each is described below:

Functional part

- functional details (logical exchange protocol, i.e. sequence of acknowledgements expected on sending of information, etc.),

- logical data model,

- structure of information to be exchanged,

- contents (not formatting) of acknowledgements,

- business validation rules, i.e. the validation of logical information (e.g. the maturity date should be a future date), but not syntax validation, and the reflection of these rules in error acknowledgements.

Technical part

- physical exchange systems to be used (FTPC/X400 services on the ESCB-net); exact use of these systems,

- technical view of the exchange protocol,

- exchange format definition (i.e. the "XML Schema").

Appendix

31. List of two-character ISO country codes.

(1) The European System of Accounts 1995, contained in Annex A to Council Regulation (EC) No 2223/96 of 25 June 1996 on the European system of national and regional accounts in the Community, OJ L 310, 30.11.1996, p. 1, as last amended by Regulation (EC) No 359/2002 of the European Parliament and of the Council, OJ L 58, 28.2.2002, p. 1.

(2) The address is: mfi.hotline@ecb.int.

(3) The address is: mfi.hotline@ecb.int.

Appendix

List of ISO Country Codes

This list states the country names (official short names in English) in alphabetical order as given in the ISO 3166-1 and the corresponding ISO 3166-1-alpha-2 code elements. It is updated whenever a change to the official code list in the ISO 3166-1 is effected by the ISO 3166/MA.

This list contains 239 official short names and code elements. The source is: www.iso.org.

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ANNEX XVIII

STATISTICS ON OTHER FINANCIAL INTERMEDIARIES EXCEPT INSURANCE CORPORATIONS AND PENSION FUNDS

REPORTING INSTRUCTIONS FOR THE COMPILATION OF STATISTICS FOLLOWING A SHORT-TERM APPROACH

1. Objective

The requirement for statistical information on "other financial intermediaries except insurance corporations and pension funds" (hereinafter "OFIs") is twofold. Firstly, it is important to collect data on OFIs in order to monitor their role in financial intermediation outside the monetary and financial institutions (MFIs) sector. Activities undertaken by OFIs are similar and complementary to those undertaken by MFIs and, in particular, given that for European Central Bank (ECB) statistical purposes balance sheet data on OFIs totally or partially owned by MFIs are not included in the MFIs' balance sheets, it is necessary to collect statistical data relating to OFIs in order to complete the statistical picture of the euro area. Secondly, the ECB needs to monitor OFIs in order to ensure that the list of MFIs remains up to date, accurate, as homogeneous as possible and sufficiently stable for statistical purposes. As mentioned in Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(1) as amended by Regulation ECB/2002/8(2), financial innovation might affect the characteristics of financial instruments and induce OFIs to change the focus of their business.

The aim of this Annex is to provide guidance on the completion of the reporting forms for the transmission to the ECB of data relating to OFIs.

2. Compilation of euro area aggregates and type of statistical data to be provided

2.1. Compilation of euro area aggregates

The transmission of data relating to OFIs is to be done following a short-term approach, that is, on the basis of currently available data at national level. It follows that statistical information to be provided might not always be fully available in accordance with the definitions and specifications outlined below. In cases where the reported data deviate from the definitions set out in this Annex, national central banks (NCBs) are requested to provide explanatory notes to the ECB(3). In accordance with this approach, and on the basis of the conceptual framework outlined below, NCBs should provide actual data where currently available. Where actual data are not available or cannot be processed, national estimates should be provided. As a fallback solution, in respect of certain specific breakdowns where national estimates cannot be provided, the ECB may make estimates/assumptions on a case-by-case basis.

In view of the additional burden that the computation of national estimates would place on NCBs, efforts should be mainly concentrated on a limited number of key statistical data. Indeed, the short-term approach aims to concentrate efforts on one specific subcategory of OFIs (see Section 3.2.a): investment funds. No specific additional efforts are required for the provision of data in respect of security and derivative dealers (SDDs), financial corporations engaged in lending (hereinafter "FCLs") or other OFIs (residual), in the case that actual data are not collected at national level.

2.2. Type of statistical data to be provided

Two types of indicators should be provided: key indicators and supplementary information

- Key indicators to be transmitted for the compilation of euro area aggregates. All participating Member States should transmit these detailed data when actual data are available. When no actual data are available for the required breakdowns or for the agreed frequency, timeliness or time range, estimates should be provided if feasible.

- Supplementary information to be transmitted as "memo items". These data should be transmitted by countries for which further detail is currently available. They refer to breakdowns for which users have expressed a requirement and in respect of which the compilation of an euro area aggregate was initially not deemed feasible.

3. Conceptual framework

3.1. Reporting population

The European system of national and regional accounts (hereinafter the "ESA 95"(4)) defines OFIs (S.123) as "non-monetary financial corporations and quasi-corporations (excluding insurance corporations and pension funds) principally engaged in financial intermediation by incurring liabilities in forms other than currency, deposits and/or close substitute for deposits from institutional units other than MFIs".

The borderline with MFIs is determined by the non-existence of liabilities in the form of deposits held by non-MFIs, while the borderline with pension funds and insurance corporations is determined by the non-existence of liabilities in the form of insurance technical reserves.

The reporting population for the short-term approach will comprise all types of OFIs resident in the participating Member States. The term "resident" is as defined in Council Regulation (EC) No 2533/98 of 23 November 1998 concerning the collection of statistical information by the European Central Bank(5). Hence, the reporting population comprises:

- institutions located in the territory, including subsidiaries of parent companies located outside that territory, and

- resident branches of institutions that have their head office outside that territory.

3.2. Classification of sub-categories of OFIs

In view of the heterogeneity of the activities undertaken by OFIs and differences in the availability of data by type of OFIs, four sub-categories of OFIs have been identified for which data should be separately transmitted: 1) investment funds (except money market funds (MMFs)); 2) SDDs; 3) FCLs; and 4) other OFIs. Differences in the statistical details required will be outlined in this document.

The categories/groupings on the basis of which data should be provided are listed and defined below:

a) Investment funds, except MMFs

Investment funds are organised financial arrangements that pool investor funds for the purpose of acquiring financial or non-financial assets. Investment funds classified as OFIs include all types of investment funds except those included in the MFI sector. They can have different legal structures (contractual, corporate and unit trusts) and can be open or closed-end. Furthermore, they may be established either as an individual fund or as an umbrella fund (multiple compartment fund comprising various sub-funds).

Data in respect of investment funds should be provided for:

Total investment funds: Data to be provided for total investment funds should cover all types of investment funds operating in the country. Key indicators and also a number of memo items should be provided.

Investment funds by type: Data to be transmitted should provide a breakdown by type of investment fund:

- Investment funds broken down by type of investment:

Data for investment funds by type of investment are to be separately reported for 1) equity funds; 2) bond funds; 3) mixed funds; 4) real estate funds; and 5) other funds.

In principle, investment funds by type of investment are to be classified according to the type of asset in which the investment portfolio is primarily invested. If the investment portfolio is primarily invested in shares and other equity, funds should be allocated to the "equity funds" category; if in debt securities, to the "bond funds" category; and if in real estate, to the "real estate funds" category. Funds investing in both equity and bonds with no prevalent policy in favour of one or the other instrument should be allocated to the "mixed funds" category(6). Where no classification in the above categories is feasible, funds should be included in the residual category "other funds".

With respect to the "funds of funds" (funds investing primarily in investment fund shares), the guidance is to allocate them in the category of funds in which they primarily invest. If this allocation is not deemed feasible, funds of funds should be allocated in the residual category "other funds".

The criteria for classifying investment funds by type are derived from the public prospectus, fund rules, instruments of incorporation, established statutes or by-laws, subscription documents or investment contracts, marketing documents, or any other statement with similar effects.

At a later stage, consideration may also be given to collecting data relating to the number of investment funds broken down by type of investment.

- Investment funds broken down by type of investor:

Data for investment funds broken down by type of investor are to be reported for 1) general public funds the units/shares of which are sold to the public; and 2) special investors funds the units/shares of which are reserved for certain types of investors. Data for these types of funds should only be reported as memo items.

b) Security and derivative dealers

SDDs, classified as OFIs, are financial corporations principally engaged in the following financial intermediation activities:

- trading of securities on their own account, through the acquisition and sale of those securities for the account and risk of the intermediary for the exclusive purpose of benefiting from the margin between the acquisition and selling price,

- trading on their own account, through a financial intermediary authorised to operate on the stock market, or on other organised markets.

With respect to SDDs, key indicators should be provided. Details on the breakdown to be provided are illustrated in this Annex.

c) Financial corporations engaged in lending

These financial corporations, classified as OFIs, are principally specialised in asset financing for households and non-financial corporations. Corporations specialising in financial leasing(7), factoring, mortgage lending and consumer lending are to be included in this category. These financial corporations may operate under the legal form of a building society, municipal credit institution, financial vehicle corporation created to be a holder of securitised assets, etc.

With respect to FCLs, key indicators should be provided. Specific details on the breakdowns to be provided are given in this Annex.

d) Other categories of OFIs

Financial corporations included in this residual category are other types of financial corporations that do not specialise in any of the areas of activities that apply to the other three OFI categories. For example, corporations such as financial holding corporations, venture capital companies or development capital companies are to be included in this category. NCBs are required to specify the types of institutions allocated to this category in the explanatory notes provided.

With respect to this subcategory of OFIs, only total assets is required as a memo item.

4. Statistical reporting requirements

4.1. Balance sheet items

The compilation of key statistical indicators for the OFI sector requires a specific financial instrument breakdown. To the extent possible, instrument, geographical and sectoral breakdowns follow the reporting scheme defined for the MFI sector. However, the breakdown is in practice less detailed than the breakdown required for the MFI balance sheet statistics.

Furthermore, in view of the heterogeneity of the activities undertaken by financial corporations classified as OFIs and in view of the differences in current availability of data by subcategory of OFIs, the balance sheet breakdowns required vary according to the type of OFI subcategory.

Instrument and maturity breakdown: The table below provides an overview of the required instrument breakdown by type of OFI subcategory. Specifications to these instrument breakdowns are described in the paragraphs below. In principle, the instrument breakdown is to be provided as key indicators for all subcategories of OFIs (except for "investment funds by type of investors" and "other OFIs").

Overview of the instrument and maturity breakdown

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A: Investment funds

B: SDDs

C: FCLs

D: Other OFIs

Assets

0. Total assets/liabilities: Total assets should be reported in respect of all OFI sub-categories. Total assets should equal the sum of all items separately identified on the assets side of the balance sheet and should also equal total liabilities.

1. Deposits: The item "deposits" is separately required for all types of investment funds reporting separately and for SDDs. In the case of FCLs, this item should be allocated to "other assets".

This item(8) consists of two main sub-categories:

- Transferable deposits: Deposits (in national or in foreign currency) which are immediately convertible into currency or which are transferable by cheque, banker's order, debit entry or the like, both without any kind of significant restriction or penalty (ESA 95, paragraphs 5.42-5.44).

- Other deposits: All holdings in deposits other than transferable deposits. Other deposits cannot be used to make payments at any time and they are not convertible into currency or transferable deposits without any kind of significant restriction or penalty. This subcategory includes time deposits, savings deposits etc (ESA 95, paragraphs 5.45-5.49).

Holdings of currency should also be included under this item. Currency comprises notes and coins in circulation that are commonly used to make payments. This item is expected to be insignificant.

Valuation rules: in line with the ESA 95, deposits should be reported at nominal value, excluding accrued interests.

2. Loans: Data relating to "loans" are to be reported separately only for the subcategory FCLs. For the sub-categories investment funds and SDDs, loans should be allocated under "other assets".

Loans are funds lent by reporting OFIs to borrowers, which are not evidenced by negotiable documents or are represented by a single document (even if it has become negotiable). This item consists of:

- loans granted to households in the form of consumer credit (loans granted for the purpose of personal use in the consumption of goods and services), lending for house purchases (credit extended for the purpose of investing in housing, including building and home improvements), and other (loans granted for purposes such as business, debt consolidation, education, etc.),

- financial leases granted to third parties,

- bad debt loans that have not yet been repaid or written off,

- holdings of non-negotiable securities,

- subordinated debt in the form of loans.

No maturity breakdown is required.

Valuation rules: in line with the treatment of loans made by MFIs, loans made by OFIs should, in principle, be recorded gross of all related provisions, both general and specific, until the loans are written off by the reporting institution, at which point the loans are removed from the balance sheet.

In accordance with the general principle of accruals accounting, interest earned on loans should be subject to on-balance-sheet recording as it accrues (i.e. on an accruals basis), rather than when it is actually received or paid (i.e. on a cash basis). Accrued interest on loans should be classified on a gross basis under the category "other assets". Accrued interest should be excluded from the loan to which it relates, which should be valued at the nominal amount outstanding on the reporting date.

3. Securities other than shares: This item is separately required for all sub-categories of OFIs, except for other OFIs.

This item refers to holdings of securities other than shares and other equity which are usually negotiable and 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 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. It also includes negotiable loans that have been restructured into a large number of identical documents and that are traded on organised markets.

Valuation rules: in line with the ESA 95, securities other than shares should be reported at market value.

A maturity split (initial maturity) "up to one year" and "over one year" of "securities other than shares" is required for the OFI subcategory "investment funds" (total investment funds and investment funds broken down by type of investment).

4. Shares and other equity (excluding investment fund shares): This item is separately required for all subcategories of OFIs, except for other OFIs.

This refers to 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. This category comprises three main subcategories:

- quoted shares, excluding investment fund shares: Shares with prices quoted on a recognised stock exchange or other form of secondary market (ESA 95, paragraphs 5.88-5.93),

- unquoted shares, excluding investment fund shares: Shares that are not quoted (ESA 95, paragraphs 5.88-5.93),

- other equity: All transactions in other equity that are not covered by quoted and unquoted shares (ESA 95, paragraphs 5.94-5.95).

Valuation rules: In line with the ESA 95, shares and other equity should be reported at market value.

5. Investment fund shares/units: Holdings of investment fund shares/units are to be reported as a separate item only for the subcategories investment funds (total investment funds and all types of investment funds) and SDDs. For the subcategory FCLs, investment fund shares/units should be allocated under "other assets".

Investment fund shares/units are shares/units issued by a specific type of financial corporation, whose exclusive purpose is to invest the funds collected on the money market, the capital market and/or the real estate market. Investment fund shares/units are exclusively liabilities of MFIs (only MMFs) and investment funds classified as OFIs.

Shares/units of investment funds issued give the holders rights regarding the capital invested and on the returns arising from such investments but usually do not give any evidence of control of the collective investment (such as voting rights or participation in management).

Valuation rules: in line with the ESA 95, investment fund shares/units should be reported at market value.

6. Fixed assets: This item consists of:

- tangible fixed assets for investment purposes (investments in dwellings, other buildings and structures, non-residential buildings). This part is identified as holdings of "real estate",

- non-financial assets, tangible or intangible, which are intended to be used repeatedly for more than one year by reporting OFIs. They include land and buildings occupied by the OFIs, as well as equipment, software and other infrastructures.

"Fixed assets" are separately identified for total investment funds and also for investment funds broken down by type of investment and by type of investor. In the case of investment funds broken down by investment, fixed assets should only be separately identified for real estate, mixed and other funds, since these three types of funds are expected to hold real estate for investment purposes. All other categories of funds broken down by investment also have fixed assets, but the amount is expected to be insignificant as they would be mainly fixed assets for own use (buildings occupied by the OFI, equipment, software and other infrastructures). Where fixed assets do not have to be reported as a separate item, they will be allocated under "other assets".

7. Financial derivatives: Data relating to "financial derivatives" are to be reported as a separate item only for the subcategories investment funds (total investment funds and all types of investment funds) and SDDs. In the case of FCLs, this item should be allocated under "other assets".

This item consists of all transactions in financial derivatives, i.e. financial assets based on or derived from a different underlying instrument. The underlying instrument is usually another financial asset, but may also be a commodity or an index (ESA 95, paragraph 5.65).

The reporting of "financial derivatives" in the OFI reporting scheme should in principle be in line with the recommended treatment in the MFI reporting scheme. In this context, the Guidance Notes to the Regulation ECB/2001/13 on the MFI balance sheet statistics(9) state that, in accordance with existing international statistical standards, financial derivative instruments that have a market value should in principle be subject to on-balance-sheet recording. Derivatives have a market value when they are traded on organised markets (exchanges) or in circumstances in which they can be regularly offset on over-the-counter (OTC) markets.

Under this item, the following financial derivatives should be reported:

- options, tradable and OTC,

- warrants,

- futures, but only if they have a market value because they are tradable or can be offset,

- swaps, but only if they have a market value because they are tradable or can be offset.

Financial derivatives that are subject to on-balance-sheet recording should be entered at their market value, which is the prevailing market price or a close equivalent (fair value).

Derivatives should be recorded on the balance sheet on a gross basis. Individual derivative contracts with gross positive market values should be recorded on the asset side of the balance sheet and contracts with gross negative market values on the liability side. Gross future commitments arising from derivative contracts should not be entered as on-balance-sheet items. It is recognised that financial derivatives may be recorded on a net basis according to different valuation methods. In the case that only net positions are available, or positions are recorded other than at market value, these positions should be reported as default.

No breakdowns (by sector, currency, etc.) are requested.

8. Other assets: This item is separately required for all subcategories of OFIs, except for other OFIs.

This item comprises assets not included elsewhere, such as:

- accrued interest receivable on loans and accrued rent on buildings,

- dividends to be received,

- amounts receivable not related to the main OFI business,

- gross amounts receivable in respect of suspense items,

- gross amounts receivable in respect of transit items,

- other assets not separately identified e.g. fixed assets, loans, deposits (depending on the subcategory of OFI).

The above list is not comprehensive and varies according to the type of reporting category (see last bullet point). Indeed, the balance sheet required by type of subcategory of OFI varies according to the activity undertaken by the subcategory of OFI. Only the main items of the balance sheet are separately identified. All amounts that cannot be allocated in one of these main balance sheet items (BSI) should be allocated in "other assets", e.g. as investment funds are not expected to grant loans, the item "loan" is not separately identified in the balance sheet. However, in the case that investment funds did in fact grant loans, this amount should be allocated in "other assets".

NCBs are required to provide details on the components of "other assets" in the explanatory notes.

LIABILITIES

0. Total assets/liabilities: Total liabilities should equal the sum of all items separately identified on the liability side of the balance sheet and should also equal total assets (see also "asset items - total assets/liabilities").

9. Deposits and loans taken: This item is to be separately identified for investment funds, SDDs and FCLs.

This item consists of:

- Deposits: Transferable deposits and other deposits (see asset side) placed with OFIs. These deposits are generally placed by MFIs.

- Loans: Loans granted to the reporting OFIs which are not evidenced by documents or are represented by a single document (even if it has become negotiable).

10. Debt securities issued: This item is to be separately reported for SDDs and FCLs. In the case of investment funds, this item is to be allocated under "other liabilities", and is expected to be insignificant.

This item refers to securities other than 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. In some countries, OFIs may issue negotiable instruments with characteristics that are similar to those of money market paper issued by MFIs. In this reporting scheme, all such instruments would be classified as debt securities.

11. Capital and reserves: This item is to be separately reported for SDDs and FCLs. In the case of investment funds, this item is to be allocated under "other liabilities".

This item comprises the amounts arising from the issue of equity capital by reporting OFIs to shareholders or other proprietors, representing for the holder property rights in the OFI 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 OFIs in anticipation of likely future payments and obligations are also included. Capital and reserves comprise the following elements:

- equity capital,

- non-distributed benefits or funds,

- specific provisions against loans, securities and other types of assets,

- operating profit/loss.

12. Investment fund shares/units issued: This item is to be separately reported only for the subcategory investment funds as only investment funds issue investment fund shares/units.

This item refers to shares or units issued by investment funds other than MMFs.

13. Financial derivatives: See "asset items - financial derivatives".

14. Other liabilities: This item is separately required for all subcategories of OFIs, except for other OFIs. This item is similar to the MFIs' "remaining liabilities" except that it excludes financial derivatives.

This item comprises liabilities not included elsewhere, such as:

- gross amounts payable in respect of suspense items,

- gross amounts payable in respect of transit items,

- accrued interest payable on deposits,

- dividends to be paid,

- amounts payable not related to the main OFI business,

- provisions representing liabilities against third parties,

- margin payments made under derivative contracts, representing cash collateral placed to protect against credit risk but remaining in the ownership of the depositor and being repayable to the depositor when the contract is closed out,

- net positions arising from securities lending without cash collateral,

- net amounts payable in respect of future settlements of transactions in securities.

The above list is not comprehensive and varies according to the type of reporting category. Indeed, the balance sheet required by the type of subcategory of OFI varies according to the activity undertaken by the subcategory of OFI. Only the main items of the balance sheet are separately identified. All amounts that cannot be allocated in one of these main items of the liability side should be allocated in "other liabilities", e.g. as investment funds are not expected to issue "debt securities", the item "debt securities" is not separately identified in the liability side. However, in the case that investment funds did in fact issue securities, this amount should be allocated in "other liabilities".

NCBs are required to provide details on the components of "other liabilities" in the explanatory notes.

ACCOUNTING RULES

Accounting rules followed by OFIs in drawing up their accounts should in principle comply with the national transposition of Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions(10) and any other international standards applicable. Without prejudice to the prevailing accounting practices in Member States, all assets and all liabilities are to be reported on a gross basis for statistical purposes. Specific guidance in the valuation methods are given under the relevant categories.

GEOGRAPHICAL, SECTORAL AND BY PURPOSE BREAKDOWN

The ECB requires, for some subcategories of OFIs and for a limited number of BSI, a geographical and sectoral breakdown similar to the MFI BSI.

Geographical and sectoral breakdowns

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Geographical breakdowns

The compilation of OFI statistics for the euro area requires the identification of counterparties located in the participating Member States with a breakdown between domestic territory and other participating Member States. The full geographical breakdown required is therefore "domestic/other participating Member States/rest of the world". In the case of non-participating Member States, the breakdown is "domestic/participating Member States/rest of the world".

The geographical breakdown required relates to BSIs of:

- Total investment funds/investment funds by type of investment policy: In particular for "securities other than shares", "shares and other equity", "investment fund shares/units" (asset side) and "investment fund shares issued" (liability side). In the case of the asset side, the information is to be provided as a key indicator, in the case of the liability side, it should be provided as memo item.

- FCLs: The item "loans" should provide a domestic/other participating Member States geographical breakdown (as a key indicator).

Sectoral breakdowns(11)

The main sectoral breakdown required is "MFI/non-MFI". The definition of MFI is well known while "non-MFI" comprises the sectors "general government"(12) and "other resident sectors".(13).

The sectoral breakdown required for the domestic data and other participating Member States data is the same. No sectoral breakdown is required for the rest of the world data.

The sectoral breakdown is required for a limited number of items:

- It should be transmitted as a "memo item" for the subsector "investment funds" (for total investment funds and for investment funds by type of investment) and only for those items for which a geographical breakdown is required.

- It should be transmitted as a "key indicator" for the subsector "financial corporations engaged in lending" in respect to the item "loans". A further identification of "loans" granted to "non-financial corporations and households" is, however, also required, only for this subcategory of OFIs and item.

Breakdown by purpose

This breakdown is only required for data relating to FCLs. It refers to the BSI "loans" and in particular to "loans" to households for which the purpose of the loan should be identified (broken down into consumer credit, lending for house purchases and other lending (residual)). This breakdown is required as a key indicator.

4.2. Adjustment data

Adjustment data should be reported only in the case of significant breaks in stocks. For example, adjustment data should be provided due to reclassifications in the context of the implementation of the ESA 95 framework. Data should be provided where currently available, on a voluntary basis.

As in the context of the MFI balance sheet statistics, flows statistics measuring the financial transactions(14) that occur during the reference period would ideally be required. However, a regular transmission of a full set of the necessary adjustment data (including both "reclassifications and other adjustments" and "revaluations and loan write-off/write-down adjustments") is not aimed at at this stage.

4.3. Reporting frequency, timeliness and time range

The reporting frequency to the ECB is quarterly.

OFI statistics are transmitted to the ECB at the latest on the last calendar day of the third month following the end of the reference period, or on the preceding NCB business day(15) if the last calendar day of the month is not an NCB business day. The exact transmission dates are communicated to NCBs in advance in the form of a reporting calendar. Historical quarterly data are to be transmitted to the ECB starting with the reference period fourth quarter 1998.

5. Electronic transmission of OFI statistics - key family identifier: OFI

The OFI key family refers to euro area OFI balance sheet statistics. It has been designed in such a way as to draw as much as possible on the key family code lists and values already defined for BSI statistics.

5.1. Dimensions

The table below describes the dimensions used in the OFI key family. For the OFI statistics, 11 dimensions have been specified as essential to identify the time series.

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Each of the 11 statistical dimensions takes its values from a corresponding code list. For example, according to the table above, the dimension REF_AREA (reference area) takes its values from the CL_AREA_EE code list. The dimensions of the OFI key family are described below, following the same sequence as they appear in the key.

Dimension No 1: Frequency (FREQ; length: one character)

This dimension indicates the frequency of the reported time series. The value used in the OFI key family is "Q" for quarterly data and is a subset of the values specified in the code list CL_FREQ. When national data are only available at a lower frequency (i.e. half-yearly or annual), NCBs estimate quarterly data. When quarterly estimates are not feasible, data are nevertheless provided as quarterly time series (i.e. annual data are provided as yyyyQ4 and half-yearly data are provided as yyyyQ2 and yyyyQ4 with the remaining quarters either not reported or reported as missing with observation status "L"(16)).

Dimension No 2: Reference area (REF_AREA; length: two characters)

This dimension represents the country of residence of the reporting institution. The associated code list CL_AREA_EE contains the standard ISO country list and some additional values (see also dimension No 8: Counterparty area). The subset of values used in the OFI key family corresponds to the 15 European Union (EU) Member States.

Dimension No 3: Adjustment indicator (ADJUSTMENT; length: one character)

This dimension indicates whether a seasonal adjustment and/or a working day adjustment have been applied. The corresponding code list is CL_ADJUSTMENT. The value used in the OFI key family is "N" for neither seasonally nor working day adjusted series.

Dimension No 4: OFI reference sectoral breakdown (OFI_REP_SECTOR; length: two characters)

This dimension indicates which type of OFI is reporting and is linked to the code list CL_OFI_REP_SECTOR. The following 11 values have been defined: total investment funds ("10"); investment funds broken down by type of investment: equity funds ("11"), bond funds ("12"), mixed funds ("13"), real estate funds ("14") and other funds ("15"); investment funds broken down by type of investor: general public funds ("1G") and special investors funds ("1S"); SDDs ("20"); FCLs("30") and other categories of OFIs ("40").

Dimension No 5: OFI balance sheet item (OFI_ITEM; length: three characters)

This dimension represents the BSI of the OFI balance sheet and is linked to the code list CL_OFI_ITEM. Values for assets and liabilities are identified by the prefix "A" or "L" and are organised and coded following, wherever possible, a hierarchical relation among the items. Since OFIs concentrate on different financial activities depending on their type, not all BSIs apply to all the types. In particular, on the asset side two different items have been defined for "other assets":

- other assets (including loans) ("A8A") which applies to all categories of OFIs except FCLs, and

- other assets (including deposits, cash, investment fund shares, fixed assets and financial derivatives) ("A8B") which applies to FCLs.

On the liability side three different items have been defined for "other liabilities":

- other liabilities (excluding debt securities, capital and reserves and financial derivatives) ("L6A") which applies to SDDs,

- other liabilities (including financial derivatives) ("L6B") which applies to FCLs, and

- other liabilities (including debt securities and capital and reserves) ("L6C") which applies to the investment funds categories.

Dimension No 6: Original maturity (MATURITY_ORIG; length: one character)

This dimension represents the original maturity of the BSI and is linked to the code list CL_MATURITY_ORIG. The maturity breakdown "up to one year" ("F") and "over 1 year" ("K") applies to the item "securities other than shares" for the investment funds categories. Conceptually, although the maturity breakdown is not required in this context, original maturity also applies to the asset items "loans" and "deposits" and the liability items "deposits and loans taken" and "debt securities issued". In these cases the value "A" is therefore used for total maturity. All other items show the value "X" for not applicable.

Dimension No 7: Data type (DATA_TYPE; length: one character)

This dimension is described by the code list CL_DATA_TYPE and indicates the type of data to be reported: gross stocks ("1") and reclassification and other adjustments ("5"). Reclassification and other adjustments comprise changes in the assets and liabilities on the balance sheet of the OFI reporting sector arising from 1) changes in the reporting population; 2) corporate restructuring; 3) the reclassification of assets and liabilities; and 4) the correction of those reporting errors which, for technical reasons, cannot be removed from the stock data for the complete relevant period.

Dimension No 8: Counterparty area (COUNT_AREA; length: two characters)

This dimension represents the area of residence of the counterparty of the OFI balance sheet. The code list linked to this concept is CL_AREA_EE, which contains the standard ISO country list and additional values (e.g. "U6" - "Domestic: same country as of the reporting OFI"). For the purpose of the OFI key family a subset of values is used: domestic (home or reference area) ("U6"); other participating Member States (all countries except the reference area) ("U5"); rest of the world ("U4") and world (all entities) ("A1"). When a country becomes a participating Member State, historical data referring to the pre-entry period are provided using the counterparty area codes Monetary Union ("U2") and all areas other than the participating Member States and reference/home area ("U8")(17).

Dimension No 9: Balance sheet counterparty sector (BS_COUNT_SECTOR; length: four characters)

This dimension represents the sectoral breakdown of the OFI BSI and is linked to the code list CL_BS_COUNT_SECTOR. Five counterparty sectors are required: MFIs ("1000"); non-MFIs ("2000"); other resident sectors - o/w non-financial corporations ("2240"); other resident sectors - o/w households ("2251") and the unspecified sector ("0000").

Dimension No 10: Currency of transaction (CURRENCY_TRANS; length: three characters)

This dimension describes the currency in which the OFI BSIs are denominated and is linked to the code list CL_CURRENCY. Only the value "Z01" is used for all currencies combined.

Dimension No 11: Denomination of the series or special calculation (SERIES_DENOM; length: one character)

This dimension specifies whether the reported series is expressed in national or in the common (euro) currency. It has two values ("N", national currency and "E", euro), that are represented by the code list CL_SERIES_DENOM. The code "E" is used by the participating Member States, while the code "N" is used by new participating Member States for the provision of historical data for the pre-entry period(18).

5.2. Attributes

In addition to the 11 dimensions defining the key, a set of attributes has been defined(19). These are attached at various levels of the exchanged information:

Balance sheet items key family (ECB_OFI): coded and uncoded attributes

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Each of these attributes is characterised by some technical properties, which are listed in the table below.

Euro area NCBs reporting to the ECB

Common attribute properties for the ECB_OFI key family

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Below is a description of each attribute including the reference code list (indicated in capital letters as CL_EN*) whenever it applies.

5.2.1. Attributes at sibling level

Mandatory:

- TITLE_COMPL (uncoded): The title complement is set, stored and disseminated by the ECB (in English with a maximum length of 350 characters). If an NCB would like to make a modification, a revision can be made after consultation with the ECB. This revision will however be made by the ECB.

- UNIT (code list: CL_UNIT): This attribute provides the unit of measure of the reported data. Participating Member States report the data in euro and the ECB sets this attribute to "EUR" (DENOM = "EUR"). In the case that a country becomes a participating Member State, the ECB sets the value of this attribute equal to the corresponding national currency in the case of historical data referring to the pre-entry period(20).

- UNIT_MULT (code list: CL_UNIT_MULT): This attribute provides information on whether the series is expressed in millions (UNIT_MULT = "6"), billions (UNIT_MULT = "9"), etc. NCBs report the data in millions and the ECB sets the value of the attribute at 6 (UNIT_MULT = "6").

- DECIMALS (code list: CL_DECIMALS): This attribute indicates the number of decimal places given for the values of the observations. NCBs report the data with three decimal places and the ECB sets the value of the attribute at 3 for all series (hence DECIMALS = "3").

Conditional:

- TITLE (uncoded): The series title allowsa maximum of only 70 characters. In view of the limited space, the TITLE COMPLEMENT is used instead as the mandatory attribute. The TITLE attribute could be used for the construction of short titles.

- NAT_TITLE (uncoded): NCBs may use this attribute in order to provide a precise description and other supplementary specifications in the national language. Although the use of upper and lower case letters does not cause problems, the exchange of accented characters and extended alphanumeric symbols still needs to be tested before regular use.

- COMPILATION (uncoded): This attribute is used for providing detailed textual explanations of the compilation methods applied and comprises information such as:

- data sources/data collection system,

- compilation procedures (including description of estimations/assumptions made),

- legal framework: information relating to the national legal framework and the links with EU directives for each type of OFI,

- deviations from the ECB reporting instructions (instrument/maturity/geographical/sectoral classification and valuation methods),

- criteria for classifying investment funds by type.

A detailed description of the information to be included under this attribute is provided in Appendix 2 (points 1 to 5).

- COVERAGE (uncoded): This attribute describes the reporting population coverage and should be specified under the series total assets/liabilities. It should describe the type of OFIs covered in the main categories. If the coverage is known to be partial, an estimation of the market share is provided. Further it should indicate whether the figures have been grossed up. Further details regarding the information to be included under this attribute are provided in Appendix 2 (point 6).

5.2.2. Attributes at time series level

Mandatory:

- COLLECTION (code list: CL_COLLECTION): This attribute provides an explanation of the time when observations are collected (e.g. beginning, middle or end of period) or an indication of whether data are averages, the highest or lowest in a given period etc. The ECB sets the OFI series as "end-of-period" (COLLECTION = "E").

- AVAILABILITY (code list: CL_AVAILABILITY): This attribute indicates the institutions to which the data can be made available. When special treatment for specific observations is needed, the observation confidentiality attribute can be used (see below).

Conditional:

- DOM_SER__IDS (uncoded): This attribute allows reference to be made to the code used in national databases to identify the corresponding series (formulae using national reference codes can also be specified).

- BREAKS (uncoded): This attribute provides a description of breaks and major changes over time in the collection, reporting coverage and compilation of the series. In the case of breaks, it is desirable to state the extent to which old and new data may be considered comparable (up to 350 characters).

5.2.3. Attributes at observation level

Mandatory:

- OBS_STATUS (code list: CL_OBS_STATUS): NCBs report an observation status value attached to each communicated observation. This attribute is mandatory and must be provided with every data transmission for every individual observation. When NCBs revise the value of this attribute, both the observation value (even if unchanged) and the new observation status value are reported.

The list below specifies the expected values (according to the agreed hierarchy) for these attributes for the purpose of the OFI statistics:

"A" = normal value,

"B" = break value,

"M" = non-applicable data(21),

"L" = data exist but are not collected(22),

"E" = estimated value/assumption,

"P" = provisional value (this attribute can be used, in particular, with each data transmission referring to the last observation)(23).

- If an observation is qualified by two characteristics, the most important is reported. If, for example, an observation is both a provisional value and the result of an estimate, priority is given to the "estimate" property, and the value "E" is used.

Conditional:

- OBS_CONF (code list: CL_OBS_CONF): If an NCB wishes to differentiate between the confidentiality status of one or more specific observations, it may use the OBS_CONF attribute. The value of this attribute (if any) may be modified at the time of the data transmission by the sender of the information.

- OBS_PRE_BREAK: This attribute contains the pre-break observation value, which is a numeric field like the observation. It is provided when a series break occurs. For the purpose of the OFI key family, this attribute is not requested since this information is already available from the reclassification series. It has been added to the list of attributes since it is part of the common subset of attributes for all key families.

- OBS_COM (uncoded): This attribute can be used to provide textual comments at the observation level (e.g. describing the estimate or assumption made for a specific observation due to lack of data, explaining the reason for a possible abnormal observation or giving details of a change in the reported time series).

6. Exchange of information

6.1. List of series

The ECB maintains and distributes to the NCBs tables containing lists with series keys of OFI time series to be transmitted. The series to be provided to the ECB are set out in Appendix 1. The following series to be reported can be distinguished:

KEY INDICATORS

The data to be reported under this category refer to:

Total investment funds and investment funds broken down by type of investment:

- Total funds: Balance sheets broken down by instrument, maturity and geographical counterparty (total of 29 series).

- Investment funds broken down by type of investment policy: Subject to minor differences, the breakdowns required are the same as those for total investment funds. The data to be reported under this category cover:

- equity funds and bond funds balance sheets (total of 28 series for each category),

- mixed funds balance sheets (total of 29 series),

- real estate funds balance sheets (total of 20 series),

- other funds balance sheets (total of 29 series).

- SDDs (total of 12 series).

- FCLs balance sheets broken down by instrument, sector and geographical counterparty and the BSI "loans" broken down by purpose (total of 32 series).

MEMORANDUM ITEMS

The data to be reported under this category refer to:

- Total investment funds: Balance sheet data broken down by sector MFI/non-MFI (total of 27 series).

- Equity funds (27 series), bond funds (27 series), mixed funds (27 series), real estate funds (15 series), other funds (27 series): Balance sheet for investment funds by type of investment broken down by sector MFI/non-MFI.

- Balance sheet data on general public funds (12 series) and special investors funds (12 series).

- Total assets/liabilities for other categories of OFI (1 series).

ADJUSTMENTS DATA

In addition to the series on stocks, the corresponding series on "reclassification and other adjustments" are required when applicable.

6.2. Data requirements

Key indicators should be transmitted by all participating Member States when actual data are available. When no actual data are available for certain breakdowns or for the agreed quarterly frequency, estimates are to be provided if feasible.

"Supplementary data" should only be transmitted by those countries for which actual data are available.

In the case that the underlying economic phenomenon exists but is not monitored statistically and therefore national estimates cannot be provided, NCBs may choose either not to report the time series or to report it as missing with observation status "L". Any time series that is not reported will therefore be interpreted as "data that exist but are not collected" and assumptions/estimates may be made at ECB level for the purpose of compiling euro area aggregates.

If the underlying phenomenon does not exist, then the time series must be reported as missing with observation status "M".

In the case of data on "reclassifications and other adjustments", data must only be reported when a reclassification or other adjustment as described in Section 4.2 occurs.

7. Revision policy

NCBs may have to revise the data transmitted the previous quarter (ordinary revisions). In addition, revisions to data on earlier quarters (historical revisions) may also occur.

The following general principles apply:

- On the occasion of all regular quarterly data transmissions, in addition to the data on the latest quarter, only "ordinary" revisions (i.e. revisions to the data transmitted the previous quarter) can be sent.

- "Historical" revisions should be limited and reported on a different date from the regular reporting. In principle, minor routine historical revisions to the data should only be provided on a yearly basis (together with the transmission of data for the fourth quarter). However exceptionally, historical revisions, which significantly improve the quality of the data, may be accepted during the year (outside the regular production cycles).

- In the case of significant revisions explanatory notes must be provided to the ECB.

(1) OJ L 333, 17.12.2001, p. 1.

(2) OJ L 330, 6.12.2002, p. 29.

(3) See Appendix 2.

(4) Contained in Annex A to Council Regulation (EC) No 2223/96 of 25 June 1996 on the European system of national and regional accounts in the Community, OJ L 310, 30.11.1996, p. 1, as last amended by Regulation (EC) No 359/2002 of the European Parliament and of the Council, OJ L 58, 28.2.2002, p. 1.

(5) OJ L 318, 27.11.1998, p. 8.

(6) In the case that, at national level, funds investing in transferable securities and real estate are classified as being "mixed funds", these funds should be allocated to the "mixed funds" category.

(7) For statistical purposes, leasing is defined as financial leasing when the leasing period covers all or most of the economic lifetime of the durable good. At the end of the leasing period, the lessee often has the option to buy the good at a nominal price (ESA 95, Annex II).

(8) It should be noted that, in the MFI balance sheet, no distinction is made between deposits and loans on the asset and liability side. Instead, all non-negotiable funds placed with/lent to MFIs (=liabilities) are deemed to be in "deposits" and all funds placed by/lent by the MFIs (=assets) are deemed to be "loans". However, the ESA 95 outlines the difference based on the criterion of who is taking the initiative for the transaction. In cases where the initiative is taken by the borrower, the financial transaction is to be classified as a loan. In cases where the initiative is taken by the lender, the transaction is to be classified as a deposit.

(9) European Central Bank, November 2002.

(10) OJ L 372, 31.12.1986, p. 1.

(11) The ESA 95 provides the standard for sectoral classification.

(12) 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 (ESA 95 paragraphs 2.68-2.70). General government includes central government, State government, local government and social security funds (ESA 95, paragraphs 2.71-2.74). For further guidance on the sectoral classification, please refer to the Money and Banking Statistics Sector Manual: Guidance for the statistical classification of customers, European Central Bank, second edition, November 1999.

(13) "Other resident sectors" comprise:

- OFIs as defined in this framework,

- financial auxiliaries,

- insurance corporations and pension funds. Non-monetary financial corporations and quasi-corporations principally engaged in financial intermediation as the consequence of the pooling of risks (ESA 95, paragraphs 2.60-2.67),

- non-financial corporations. Corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services (ESA 95, paragraphs 2.21-2.31),

- 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 (ESA 95, paragraphs 2.75-2.88).

(14) Financial transactions are defined as the difference between stock positions at end-quarter reporting dates, after removing the effect of changes that arise due to influences other than transactions. Information on these influences will take the form of adjustments that cover "other changes": "reclassifications and other adjustments" and "revaluations and loan write-off/write-down". Other changes:

- In the context of balance sheet statistics, "other changes" are those developments between end-quarter balance sheets that arise other than from transactions. Other changes are grouped into two main categories: "reclassifications and other adjustments" and "revaluations and loan write-offs/write-downs".

- "Reclassifications and other adjustments" comprise any changes in the balance sheet stock that arise due to an alteration in statistical coverage (inclusion or exclusion of new OFIs), the reclassification of assets or liabilities (by maturity, by sector or by instrument) and the effect of reporting errors that have been corrected in the stocks only over a limited time range.

- "Revaluations and loan write-offs/write-downs" is made up of two parts. Firstly, it comprises any changes in the stock positions due to the impact of exchange rate movements on assets and liabilities denominated in foreign currency. Secondly, the impact of fluctuations in the market price of the outstanding stock of marketable securities held, sold or issued and the removal from the balance sheet of loans that are subject to write-off/write-down give rise to "other revaluations".

(15) "NCB business day" means any day on which a particular NCB of a participating Member State is open for the purpose of conducting ESCB monetary policy operations.

(16) See also Section 6.2, "Data requirements".

(17) For example, in the case of Greece, the counterparty area codes "U2" and "U8" are used for data referring to periods prior to and including 2000Q4, and the codes "U5" and "U4" are used from 2001Q1 onwards.

(18) For example, in the case of Greece, the code "N" is used for data referring to periods prior to and including 2000Q4, and the code "E" from 2001Q1 onwards.

(19) Attributes are statistical concepts which provide additional coded (e.g. the unit) and uncoded (e.g. the compilation method) information about the exchanged data. "Mandatory" applies to the attributes for which all partners know the values. "Conditional" applies to the attributes which are defined only if they are known in the reporting institution (e.g. domestic series ids) or whenever they are relevant (e.g. compilation, breaks). Attribute values are to be exchanged only when they are set for the first time and whenever they change. Only the observation status is present in every interchange, attached to each observation.

(20) For example, in the case of Greece, the value of this attribute is set as "GRD" for the period up to and including 2000Q4 and as "EUR" from 2001Q1 onwards.

(21) When, owing to local market practices or to the legal framework, a time series (or part of it) is not applicable (the underlying phenomenon does not exist), a missing value is reported ("-") with observation status "M".

(22) When, owing to local statistical conditions, data for a time series are not collected either on specific dates or for the total length of the time series (the underlying economic phenomenon exists but is not monitored statistically), a missing value is reported ("-") with observation status "L" in each period.

(23) These observations take definite values (observation status "A") at a later stage. The new revised values overwrite the previous provisional observations.

Appendix 1

SERIES ON INVESTMENT FUNDS TO BE TRANSMITTED TO THE ECB

(Key indicators/memorandum items)

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SERIES ON OFIs OTHER THAN INVESTMENT FUNDS TO BE TRANSMITTED TO THE ECB

(Key indicators/memorandum items)

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Appendix 2

NATIONAL EXPLANATORY NOTES

Detailed national explanatory notes, describing the data transmitted, are extremely important since the short-term approach relies on data currently available in the participating Member States.

Although most of the information requested in the explanatory notes should in principle be transmitted via E9 under the relevant attributes, as described in Section 5.2 of this Annex, a paper version should also be provided.

The national explanatory notes should include a description of the following issues:

1. Data sources/data collection system: This will include:

- Data sources used to compile other financial intermediaries, except insurance corporations and pension funds (hereinafter "OFIs") statistics, e.g. Statistical Offices, direct reporting from OFIs and/or fund managers.

- Details on the collection systems, e.g. voluntary reports, business surveys, sampling, reporting subject to the existence of thresholds, grossing up.

2. Compilation procedures: The method used to compile data should be described, e.g. detailed description of estimates/assumptions made, how series are aggregated in the case that two series have different frequencies.

3. Legal framework: Comprehensive information about the national legal framework of the institutions should be provided. Links with European Union legislation should be specifically outlined. In the case that several types of institutions are included under the same category, the information is required for all types of institutions.

4. Deviations from the European Central Bank's (ECB's) reporting instructions: National central banks (NCBs) should provide information with respect to deviations from the reporting instructions.

Deviations from the reporting instructions may occur with respect to:

- instrument breakdown: The instrument coverage may differ from the ECB's reporting instructions. (e.g. two different instruments cannot be separately identified),

- maturity breakdown,

- geographical breakdown,

- sectoral breakdown,

- valuation methods.

5. Investment funds by type: The criteria for classifying investment funds by type should be explained (e.g. a fund is classified as an equity fund when it invests at least 60 % of its total assets in equity). Information should be provided on whether these criteria are set/defined in the public prospectus, fund rules, instruments of incorporation, established statutes or by-laws, included in marketing documents etc.

6. Reporting population:

a) Institutions included in/excluded from the reporting OFI subcategory: Are all institutions to be classified in a specific subcategory of OFI included in the data provided? All institutions included in/excluded from each OFI subcategory should be described. (e.g. total investment funds includes general public funds but excludes all special investor funds).

b) Coverage: An estimate of the data coverage (if possible in terms of total assets of the total reporting population) should be provided.

7. Breaks in historical series: Breaks and major changes over time in the collection, reporting coverage, reporting schemes and compilation of the historical series are described. In the case of breaks, it is desirable to state the extent to which old and new data may be considered comparable.

8. Other comments: Any other relevant comments or indications that the NCB wishes to state clearly.

ANNEX XIX

STATISTICS ON SECURITIES ISSUES REPORTING INSTRUCTIONS FOR THE COMPILATION OF STATISTICS OF STATISTICS FOLLOWING A SHORT-TERM APPROACH

1. Objective

Information about securities issues is an important element in monetary and financial analysis. For borrowers, securities issues are an alternative to "bank finance". Holders of financial assets may view securities issued by "non-banks" as partial substitutes for bank deposits and negotiable instruments issued by banks. Securities issues statistics therefore complement monetary statistics. Over time, shifts between direct finance (through securities markets) and indirect finance (through the banking system) may affect the transmission mechanism of monetary policy, as such shifts may change the euro area financial structure. A sectoral breakdown of the issuing activity highlights the relative importance of the demand of the public and private sectors on the capital markets and assists in accounting for movements in market interest rates, particularly in the case of medium to long-term maturities. Data on the outstanding amount of securities also indicate the depth of capital markets. Furthermore, information on securities issues in euro (by euro area residents and non-residents) is used to assess the role of the euro in international financial markets.

Securities issues statistics for the euro area provide two main aggregates:

- all issues by euro area residents in any currency, and

- all issues made worldwide in euro, both domestic and international.

Securities issues statistics are based as far as possible on already existing data at national and international level. Data are not always available fully in accordance with the definitions and breakdowns specified in this Annex. In instances where the reported data deviate from the definitions of this Annex, national central banks (NCBs) are requested to provide explanatory notes to the European Central Bank (ECB)(1).

2. Conceptual framework and data collection

Chart 1 summarises the conceptual framework within which NCBs submit securities issues statistics to the ECB. The principal distinction is drawn on the basis of the residency of the issuer(2). NCBs report all issues. The 12 Eurosystem NCBs collectively cover all issues by residents of the euro area. The Bank for International Settlements (BIS) reports issues by the "rest of the world" (hereinafter "RoW"), referring to all non-euro area residents, with issues by residents of each of the three non-participating Member States distinguished from the other RoW countries(3).

Issues are further analysed according to their currency denomination(4): "euro/national denominations" or "other currencies". Prior to 1 January 1999 "euro/national denominations" referred to the ECU and to the national currencies of the participating Member States. Since 1 January 1999, it has referred to the euro and its national denominations. NCBs report issues by their domestic residents, regardless of the currency of issue. The BIS reports for RoW residents issuing only in euro/national denominations(5).

Chart 1: Summary of the conceptual framework

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The main aggregates can be derived as sums of the data blocks: the sum of A and B provides total issues in euro, the sum of A and C total issues by euro area residents. Block D is not necessary for the derivation of the required aggregates.

The residency of issuer is used as a primary distinction because it is unambiguous and reflects the relative strength of data providers: NCBs regarding domestic issuers and the BIS regarding international issuers. On the basis of this conceptual approach, separate report forms have been designed for the BIS and NCBs. These are attached as Appendix 2.

NCBs may have incomplete data on issues by domestic residents in foreign markets, particularly those made in currencies other than the euro (Block C). NCBs complete as much of the report forms as possible from existing national data sources and reduce/fill gaps by drawing on secondary sources. It is suggested that NCBs provide data on issues in their national markets by non-domestic euro area residents. This provision of data might become more important over time, if monetary union leads to more integration of financial markets and increases competition among financial intermediaries to manage new issues. The BIS has offered to help NCBs to improve data coverage on a bilateral basis.

3. Residency of the issuer

3.1. Definition

An issuing unit is defined as a resident of the reporting country when it has a centre of economic interest in the economic territory of the reporting country - that is, when it engages for an extended period (one year or more) in economic activities in this territory(6). Non-resident issuers comprise units that are either: 1) located in the economic territory of the reporting country but which do not, and do not intend to, engage in economic activities or transactions for a period of one year or more in the territory of the reporting country; or 2) located outside the economic territory of the reporting country.

Issues by subsidiaries owned by non-residents of the reporting country but which operate in the reporting country's economic territory are classified as issues by resident units of the reporting country. Issues by head offices located in the reporting country's economic territory which operate internationally are also considered as issues by resident units. Issues by head offices or subsidiaries located outside the reporting country's economic territory but owned by residents of the reporting country are considered as issues by non-residents. For example, issues by Volkswagen Brazil are considered to have been carried out by units resident in Brazil and not in the territory of the reporting country.

3.2. Reporting requirements

As explained in Section 2 and illustrated in Chart 1, the reporting requirement is principally based on the country of residence. NCBs report all issues by their domestic residents (regardless of the currency of issue); they introduce a split between the residents of their country, i.e. domestic residents, and the residents of third countries. For each NCB "reporting country residents" are issuers in that reporting country, e.g. for Portugal this is issuers resident in Portugal. Non-resident issuers are those issuers that are located outside the reporting country, e.g. for Portugal all issuers resident outside of Portugal (regardless of the country of domicile).

The BIS provides data on RoW residents issuing in euro/national denominations. Four sets of data are required: one set each for the three non-participating Member States (Denmark, Sweden and the United Kingdom) and one set for the other RoW residents (comprising all countries outside the European Union (EU)). For the BIS "resident of the reporting country" depends on the reporting perspective. For example, in the Danish report form it refers to residents of Denmark, in the report form for "other RoW residents" it refers to issuers resident outside the EU.

To avoid double counting or gaps, the reporting of issues by financial vehicle corporations(7) is addressed bilaterally, involving the BIS and NCBs concerned. Financial vehicle corporations, such as Toyota Motor Finance Netherlands BV, fulfil the residency criteria of the ESA 95, and are therefore classified as residents of the euro area, in this example as residents of the Netherlands. Issues by such institutions are reported by NCBs and not by the BIS.

If a reporting country is unable to provide statistics in accordance with the ESA 95 (and International Monetary Fund (IMF)) definition of residency, the NCB of the country concerned is required to provide a full explanation of the criteria actually used in the explanatory notes. For example, the Deutsche Bundesbank pointed out that it covers all resident issuers engaged in economic activities in Germany, irrespective of the duration of residency ("legal residency concept").

4. Sectoral breakdown of issuers

4.1. Definition

Issuers of securities are defined as those corporations and quasi-corporations engaged in issuing securities and incurring a legal obligation to the bearers of these instruments in accordance with the terms of the issue.

A sectoral breakdown of resident and non-resident issuers of securities is required. Issues are classified according to the sector incurring the liability for the securities issued. Thus, if an investment bank markets debt securities for a municipal authority, the issuer is classified as State and local government. In the case of securities issued through financial vehicle corporations where the liability for the issue is incurred not by the financial vehicle corporation but by the parent organisation, they are attributed to the parent organisation and not the financial vehicle corporation. For example, issues by a financial vehicle corporation of Philips are allocated to the sector of non-financial corporations and reported by the Netherlands. However, this rule is only followed if the financial vehicle corporation and its parent are located in the same country. Hence, where the parent company is not a resident of the reporting country, then the financial vehicle corporation is seen as a notional resident(8) of the reporting country, and the issuing sector is "other financial intermediaries" (OFIs). For example, issues by Toyota Motor Finance Netherlands BV are attributed to OFIs of the Netherlands, because the parent company "Toyota" is not resident in the Netherlands.

The sectoral classification comprises the following nine types of issuers(9):

- ECB/NCBs

- Monetary financial institutions (MFIs) other than central banks comprise resident credit institutions as defined in Community law, and all other resident financial institutions whose business is to receive deposits/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 to make investment in securities(10).

- Other financial intermediaries comprise non-monetary financial corporations and quasi-corporations (excluding 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. Financial auxiliaries which are engaged in activities closely related to financial intermediation but not financial intermediation itself are also included(11).

- Insurance corporations and pension funds comprise non-monetary financial corporations and quasi-corporations principally engaged in financial intermediation as the consequence of the pooling of risks(12).

- Non-financial corporations comprise corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services(13).

- Central government comprises administrative departments of the State and other central agencies whose competence extends over the whole economic territory of the reporting country, except for the administration of social security funds(14).

- State and local government: State government comprises separate institutional units exercising some of the functions of government at a level below that of central government and above that of local government, except for the administration of social security funds. Local government comprises public administration whose competence extends only to a local part of the economic territory of the reporting country, excluding local agencies of social security funds(15).

- Social security funds are defined as central, state and local institutional units whose principal activity is to provide social benefits(16).

- International institutions comprise supranational and international organisations such as the European Investment Bank, the IMF and the World Bank.

If a public corporation becomes privatised by issuing quoted shares, the issuing sector is "non-financial corporations". Similarly, if a public credit institution is privatised the issuing sector is "MFIs other than central banks". The rare event of issues by households or non-profit institutions serving households are for the purpose of this exercise classified as issues by "non-financial corporations".

4.2. Reporting requirements

If a reporting country deviates from this classification or cannot separately identify all issues according to the sector of the issuer, it provides the most detailed breakdown possible in line with the above classification and explanatory notes highlighting all deviations and those sectors that cannot be separately identified. For example, if issues by OFIs cannot be separately identified from issues by non-financial corporations, then the total issues by these two sectors are transmitted as issues either by OFIs or by non-financial corporations. The classification is documented in the national explanatory notes.

The BIS follows the mappings below between the sectoral breakdown of issuers available in the BIS database and those requested in the report forms:

Chart 2: Sectoral mapping regarding the BIS database

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5. Time of recording issuance

For the purpose of the statistics being collected here, an issue is considered to have occurred when the issuer receives payment, and not when the syndicate takes up the commitment. The BIS reports these issues as "completed" issues(17).

6. Currency of issuance

6.1. Definition

The currency of issuance is defined as the currency denomination of the security. Dual currency bonds, where the bond is redeemed or the coupon paid in a different currency from the denomination of the bond, are classified according to the denomination of the bond.

Global bonds(18) are usually denominated in a single currency, to a large extent in US dollars. If a global bond is issued in more than one currency, each portion is reported as a separate issue, according to its currency of issue.

Where issues are denominated in two currencies, for example 70 % in euro and 30 % in US dollars, ideally the relevant components of the issue are reported separately according to the currency denomination. Hence 70 % of the issue are reported as issues in euro/national denominations(19) and 30 % as issues in other currencies(20). Where it is not possible to separately identify the currency components of an issue, the actual breakdown made by the reporting country is indicated in the national explanatory notes.

Quoted shares are assumed to be issued in the currency of the country of residence of the corporation; issues of shares in other currencies are negligible or non-existent. Hence, the data on quoted shares refer to all issues by euro area residents only.

6.2. Reporting requirements

For historical data prior to 1 January 1999, "euro/national denominations" referred to the ECU and to the national currencies of the participating Member States. Since 1 January 1999, it has referred to the euro and its national denominations. "Other currencies" refers to all other currencies, including the national currencies of non-participating Member States (DKK, SEK, GBP).

NCBs distinguish between issues by their domestic residents in euro/national denominations (Block A) and in other currencies (Block C). For example, Germany reports all securities issued in euro, DEM, ECU(21), and in the national currencies of the participating Member States (FRF, ITL, ATS, etc.) as issues in euro/national denominations (Block A). It reports all other issues by domestic residents denominated in all other currencies (GBP, CHF, USD, JPY, etc.) as Block C.

For historical periods prior to 1 January 1999, NCBs that are not able to draw a distinction between issues in euro/national denominations other than the local currency (including the ECU) and issues in other currencies are required to describe in the explanatory notes where issues have been classified and to indicate the total amount of issues that were not properly allocated in order to permit an assessment of the size of the distortion.

The BIS reports issues by RoW residents in euro/national denominations (Block B) but not in other currencies. The BIS database contains information on the currency of issuance and can therefore be used to distinguish issues made in euro/national denominations from issues made in other currencies.

7. Classification of issues

Issues are analysed under two broad groupings: 1) securities other than shares (excluding financial derivatives)(22); and 2) quoted shares (excluding mutual fund shares)(23). Private placements are covered as far as possible. Money market paper is included as part of securities other than shares, but derivatives and mutual fund shares are not covered by the reporting framework. Furthermore, unquoted shares and other equity are excluded since such data are not widely available within the existing framework of securities issues statistics(24). Moreover, there are doubts as to the analytical usefulness of capturing unquoted shares and other equity since such issues might not be negotiable.

7.1. Securities (other than shares)(25)

The category of securities other than shares(26) (excluding financial derivatives) consists of all financial assets which are bearer instruments, are usually negotiable and traded on secondary markets, and do not grant the holder any ownership rights to the institutional unit issuing them. This category covers financial assets which are typically represented by documents intended to circulate, and whose nominal value is determined on issue. It includes issues of bills, bonds, notes, debentures, and similar instruments normally traded in the financial markets. Instruments included in this category can be characterised as providing the holder with the unconditional right to a fixed or contractually determined variable money income in the form of coupon payments (interest) and/or a stated fixed sum on a specified date or dates or starting from a date fixed at the time of issue. Private placements are covered as far as possible. Global bonds are included.

Regarding issues of securities by MFIs, the reporting of NCBs with respect to securities issues statistics and to MFI balance sheet statistics needs to be consistent, since the coverage of instruments and issuing MFIs is the same in both cases(27).

The following instruments contained in the BIS database are classified as securities other than shares:

- certificates of deposit,

- commercial paper,

- treasury bills,

- bonds,

- Euro commercial paper (ECP),

- medium-term notes,

- other short-term paper.

In the national explanatory notes, NCBs provide information about the type of securities covered by the national data, including their national terms. Where the reported data are known to be only partial in coverage, the reporting country indicates where gaps exist. Furthermore, NCBs give rough national estimates of the coverage of securities for each category of issues by domestic residents(28).

The category of securities other than shares is divided into two sub-positions:

7.1.1. Short-term securities (other than shares)(29)

The sub-position "short-term securities other than shares" consists of all issues of securities other than shares with a short-term original maturity; short-term securities are generally issued at a discount. This sub-position does not include securities whose negotiability, while theoretically possible, is very restricted in practice.

The following instruments are included(30):

- treasury bills and other short-term paper issued by general government,

- negotiable short-term paper issued by financial and by non-financial corporations. A variety of terms are used for such paper including: commercial paper, commercial bills, promissory notes, bills of trade, bills of exchange and certificates of deposit,

- short-term securities issued under long-term underwritten note issuance facilities, and,

- bankers' acceptances.

If bankers' acceptances are negotiable and included in the reported data for short-term securities other than shares, the reporting country explains in the national explanatory notes the national procedures for recording these instruments and the nature of these instruments.

7.1.2. Long-term securities (other than shares)(31)

The sub-position long-term securities other than shares consists of all issues of securities other than shares with a long-term original maturity; long-term securities are generally issued with coupons.

The following instruments are included(32):

- bearer bonds,

- subordinated bonds, often referred to as subordinated debt,

- bonds with optional maturity dates, the latest of which is more than one year away,

- undated or perpetual bonds,

- variable rate notes,

- index-linked securities, where the value of the principal is linked to a price index, the price of a commodity, or to an exchange rate index,

- deep-discounted bonds and zero coupon bonds,

- eurobonds. Bonds that are placed simultaneously on the market of at least two countries and are denominated in a currency which need not be that of either, usually through an international syndicate of financial corporations of several countries,

- global bonds. Bonds that are issued simultaneously on the domestic and the euro market,

- privately issued bonds. Bonds restricted by bilateral agreement to certain investors, if they are at least potentially transferable,

- securities resulting from the conversion of loans,

- loans that have become negotiable de facto,

- debentures and loan stock convertible into shares, whether the shares of the issuing corporation or shares of another company, as long as they have not been converted. Where separable from the underlying bond, the conversion option(33) is excluded,

- shares or stocks that pay a fixed income but do not provide for participation in the distribution of the residual value of the corporation on dissolution, including non-participating preference shares,

- financial assets issued as part of the securitisation of loans, mortgages, credit card debt, accounts receivable and other assets.

The following instruments are excluded:

- transactions in securities as part of repurchase agreements,

- issues of securities that are non-negotiable,

- non-negotiable loans.

7.1.3. Instrument analysis of long-term securities (other than shares)

Total issues of long-term securities other than shares are further analysed according to the following instrument categories:

- Fixed rate issues include all issues where the coupon does not change during the life of the issues. In line with the BIS database, securities issued at neither straight fixed nor straight variable rates ("mixed rate issues") are also included(34), for example fixed then variable rate issues, or variable then fixed rate issues, and issues that do not have the same coupon payment over the lifetime of the securities, furthermore, step-up, step-down securities.

- Variable rate issues include all issues where the coupon is periodically refixed by reference to an independent interest rate, including indexed coupons.

- Zero coupon bonds include all issues without coupon payment. Usually such bonds are issued at discount and redeemed at par. They also include bonds issued at par and redeemed at a premium, for example bonds with the redemption value linked to an exchange rate or an index. Most of the discount or premium represents the equivalent of the interest accrued during the life of the bond.

This breakdown of long-term securities is provided for each issuing sector. The sum of the three categories shown above is in principle equal to total long-term securities other than shares. Since such a breakdown may be available for the majority but not all long-term debt securities, it is recognised that the sum of fixed rate, variable rate and zero coupon bonds might not add up to the total for long-term securities other than shares. The reporting country indicates in the national explanatory notes the type and amount of long-term securities for which no such breakdown is available.

For short-term securities other than shares such a breakdown is not required. All short-term securities are discounted papers, which are considered fixed rate issues.

7.2. Quoted shares(35)

The category of quoted (listed) shares covers all shares with prices quoted on a recognised stock exchange or other form of regulated market. Shares comprise all financial assets which represent property rights on corporations or quasi-corporations. These financial assets generally entitle the holders to a share in the profits of the corporations or quasi-corporations and to a share in their net assets in the event of liquidation. Unquoted shares and other equity are excluded.

Quoted shares include:

- capital shares issued by limited liability companies: these are securities which give the holders the status of joint owners and entitle them both to a share in the total distributed profits and to a share in the net assets in the event of liquidation,

- redeemed shares in limited liability companies: these are shares whose capital has been repaid but which are retained by the holders who continue to be joint owners and to be entitled to a share in the profits left after dividends have been paid on the remaining registered capital and also to a share in any surplus which may be left on liquidation,

- dividend shares issued by limited liability companies: these are securities

- which, according to the country and the circumstances in which they are created, have a variety of names such as founders' shares, profits shares, dividends shares, etc. and which are not part of the registered capital,

- which do not give the holders the status of joint owners in the strict sense,

- which entitle the holders to a proportion of any profits remaining after dividends have been paid on the registered capital and to a fraction of any surplus remaining on liquidation,

- preferred (preference) stocks or shares which provide for participation in the distribution of the residual value on dissolution of a corporation. These may be quoted or unquoted on a recognised exchange,

- private placements (i.e. the sale of an issue of equity securities to a single buyer or to a limited number of buyers without a public offering) are included, where possible.

Quoted shares exclude:

- shares offered for sale but not taken up on issue,

- debentures and loan stock convertible into shares: these are included once they are converted into shares,

- the equity of partners with unlimited liability in incorporated partnerships,

- government investments in the capital of international organisations which are legally constituted as corporations with share capital,

- issues of bonus shares (at the time of issuance only), that is the remittance of new shares to shareholders in proportion to their existing holdings. The same applies to split share issues, that is where the corporation or quasi-corporation increases the number of shares by some ratio or multiple. The issues of such shares are not reported; such shares are however included indistinguishably in the total stock of quoted shares(36).

If a company is privatised and the government keeps part of the shares but the other part is quoted on a regulated market, the whole value of the capital of the company is recorded as quoted shares, since all shares could potentially be traded at any time at market value. The same applies if part of the shares are sold to big investors and only the remaining part is traded on the stock exchange.

NCBs indicate in the national explanatory notes any known gaps in the coverage of quoted shares. If, for example, quoted and unquoted shares cannot be separately identified, data on all shares are reported. This is explained in the notes and an estimate of the amount of unquoted shares is given to illustrate the size of the distortion.

8. Maturity of issues

Issues of securities other than shares are classified according to whether they are short-term or long-term in nature:

- Short-term securities other than shares comprise securities that have an original maturity of one year or less, even if they are issued under longer-term facilities.

- Long-term securities other than shares comprise securities that have an original maturity of more than one year. Issues with optional maturity dates, the latest of which is more than one year away, and issues with indefinite maturity dates, are classified as long-term.

In principle NCBs' reporting with respect to the maturity breakdown applied to securities issues statistics and to MFI balance sheet statistics is consistent(37). If the strict application of the short and long-term definitions cannot be followed, NCBs indicate in the national explanatory notes where the reported data deviate. As proposed in the ESA 95, paragraph 5.22, some flexibility with respect to the maturity breakdown is permitted, i.e. in exceptional cases short-term securities have an original maturity of two years.

The methodology currently applied by the BIS differs. The BIS considers all ECP and other euronotes drawn under a short-term programme as short-term instruments, and all instruments issued under long-term documentation as long-term instruments whatever their original maturity.

A two-year maturity split as in the MFI balance sheet statistics is not considered necessary under the short-term approach.

9. Reconciliation of stocks and flows

The NCBs submit information on outstanding amounts, (gross) issues and redemptions of short-term and long-term debt securities and on quoted shares. Where data on issues and redemptions during the reporting period are not separately available, NCBs report the balance "net issues" instead.

Chart 3 illustrates in a schematic way the link between stocks (outstanding amounts) and flows (gross issues, redemptions and net issues). In practice, the link is more complex due to price and exchange-rate valuation changes, reinvested (accrued) interest, reclassifications, revisions and other adjustments(38).

Chart 3: Link between stocks and flows

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In principle, and leaving aside all adjustments, the outstanding issues at the end of the reporting period are equal to the outstanding issues at the end of the previous reporting period plus the sum of (gross) issues minus the redemptions during the reporting period. By analogy, the outstanding issues at the end of the reporting period are equal to the outstanding issues at the end of the previous reporting period plus the net issues during the reporting period.

(Gross) issues during the reporting period include all issues of debt securities and quoted shares where the issuer sells securities for cash. They concern the regular creation of new instruments. They cover the shares of corporations becoming quoted on a stock exchange for the first time, including newly created companies or private companies becoming public companies. This includes the privatisation of public corporations when their shares become quoted on a stock exchange. The issue of bonus shares is excluded(39). The exchange or transfer of securities during takeover or merger is not covered(40), unless new instruments are created. Issues of securities which can later be converted into other instruments are recorded as issues in their original instrument category; on conversion they are being redeemed from this instrument category with an identical amount then treated as reissued in the new category(41). The point in time at which issues have been concluded is defined as the time at which payment is made; the recording of issues therefore reflects as closely as possible the timing of payment for the underlying issue.

Redemptions during the reporting period cover all repurchases of debt securities and quoted shares by the issuer, where the investor receives cash for the securities. They concern the regular deletion of instruments. They cover all debt securities reaching their maturity date, as well as early redemptions. Company share buy-backs are covered, if the company repurchases all shares against cash prior to a change of its legal form, or part of its shares against cash leading to a reduction in capital. Company share buy-backs are not covered if they are investments in own shares(42).

Net issues are the balance of all issues made minus all redemptions that have occurred during the reporting period. Net issues are only provided if issues and redemption cannot be separately identified.

10. Valuation

The value of securities issues comprises a price component and, where issues are denominated in currencies other than the reporting currency, an exchange rate component.

10.1. Price valuation

Stocks and flows of quoted shares are reported at market value, stocks and flows of securities other than shares at nominal (face) value. An exception to the recording of stocks and flows of securities other than shares at nominal (face) value is made in respect of deep-discounted and zero coupon bonds, where the issues are recorded at the effective amount paid, i.e. the discounted price at the time of purchase, and the redemptions at maturity at nominal value. The outstanding amounts of deep-discounted and zero coupon bonds are the effective amount paid plus accrued interest. Early redemptions are recorded at the value of the effective amount paid plus accrued interest as at the time of redemption.

Certain differences in the price valuation procedure used across countries are accepted. Each reporting country specifies in detail in the national explanatory notes the valuation procedure used for 1) short-term debt securities; 2) long-term debt securities; 3) discounted bonds; and 4) quoted shares. If the valuation differs for stocks and flows this is also explained.

Price valuation according to the ESA 95, which requires for debt securities and shares that flows are recorded at transaction value and stocks at market value, is not applied in this context.

The existing valuation rules of the BIS are nominal (face) value for debt securities and issue price for quoted shares. For deep discounted and zero coupon bonds accrued interest is calculated.

10.2. Reporting currency and exchange rate valuation

NCBs report all data to the ECB expressed in euro, including historical series.

For the conversion into euro of securities issued by domestic residents in other currencies (Block C)(43), NCBs follow as closely as possible the exchange rate valuation principles based on the ESA 95(44):

- Outstanding issues are to be converted into euro/national denominations at the relevant mid-market exchange rate prevailing at the end of the reporting period, i.e. the close of business on the last working day of the reporting period.

- Issues and redemptions are to be converted into euro/national denominations using the mid-market exchange rate prevailing at the time of payment. If it is not possible to identify the exact exchange rate applicable for the conversion, an exchange rate that is as close as possible to the mid-market rate at the time of payment may be used.

For periods prior to 1 January 1999, NCBs follow as closely as possible these ESA 95 standards to convert all non-domestic currency issues, redemptions and outstanding amounts into the reporting countries' euro/national denomination. For the purposes of sending the data to the ECB, the whole time series are then converted into euro applying the irrevocable conversion rates as of 31 December 1998.

The BIS reports to the ECB all issues by RoW residents in euro/national denominations (Block B) in US dollars using the end-of-period exchange rate for amounts outstanding and the period average exchange rate for issues and redemptions. The ECB converts all data into euro using the same principle that was initially applied by the BIS. Prior to 1 January 1999 the exchange rate between the ECU and the US dollar is used as proxy.

11. Conceptual consistency

Securities issues statistics and MFI balance sheet statistics are linked as far as issues of negotiable instruments(45) by MFIs are concerned. The coverage of instruments and the MFIs that issue them are conceptually consistent, as well as the allocation of instruments to maturity bands and the currency breakdown. Differences exist regarding the valuation principles, which are nominal value for securities issues statistics and market value for MFI balance sheet statistics. Valuation differences excepted, for each country the outstanding amount of securities issued by MFIs reported for securities issues statistics correspond to items 11 ("debt securities issued") and 12 ("money market paper") on the liability side of the MFI balance sheets. Short-term securities as defined for securities issues statistics correspond to the sum of money market paper and debt securities issued up to one year(46). Long-term securities as defined for securities issues statistics equal the sum of debt securities issued over one and up to two years and debt securities issued over two years.

NCBs review the coverage of the securities issue statistics and the MFI balance sheet statistics and indicate to the ECB any conceptual differences. Three types of consistency checks are performed: for issues by 1) NCBs in euro/national denominations; 2) MFIs other than central banks in euro/national denominations; and 3) MFIs other than central banks in other currencies. Minor differences are possible and accepted, since the securities issue statistics and the MFI balance sheet statistics are derived from reporting systems at national level that serve different purposes.

12. Reporting frequency, timeliness and time range

The reporting frequency to the ECB is monthly.

Securities issues statistics are transmitted to the ECB no later than five weeks after the end of the months to which the data relate. The exact transmission dates are communicated to the NCBs in advance in the form of a reporting calendar.

In principle the time series transmitted to the ECB commence in January 1990. The outstanding amount of issues at end-December 1989 serves as the starting point. For the provision of data a distinction is made between "current data" starting in January 1999, "historical data" starting in January 1995, and "longer time series" starting in January 1990.

If necessary, the national explanatory notes clarify the reasons for breaks in series and revisions.

13. Electronic transmission of securities issues statistics - key family identifier: ECB_SEC1

13.1. Securities issues key family and corresponding code lists

The ECB_SEC1 key family refers to ECB statistics on securities other than shares (short and long-term) and quoted shares. It has been designed in such a way as to draw as much as possible on the key family code lists and values already defined for MUFA and BoP statistics, especially in relation to the ESA 95 concepts and definitions.

The dimensions and attributes used in the securities issues key family are described below. For the securities issues statistics, nine dimensions have been specified as essential in order to identify the time series(47):

Table 1. Securities issues key family (ECB_SEC1): Series dimensions

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Each of the nine statistical dimensions takes its values from a corresponding code list. For example, according to the table above, the dimension REF_AREA (reference area) takes its values from the CL_AREA_EE code list. A description of the dimensions of the ECB_SEC1 key family is set out below, following the same sequence as they appear in the key.

13.1.1. Dimension No 1: Frequency (FREQ; length: one character)

This dimension indicates the frequency of the reported time series. The code list used is CL_FREQ. The values used in the securities issues key family are only a subset of the values specified in this code list: M for monthly, Q for quarterly, and A for annual. The requirement is for monthly data. If monthly data are not available and no estimates can be made, then quarterly or annual data can be sent.

13.1.2. Dimension No 2: Reference area (REF_AREA; length: two characters)

This dimension represents the country of residence of the issuing sector(48). The code list associated with this concept is CL_AREA_EE. Only a subset of values is used to define the reference area for the securities issues key family, since the issuing countries are the 15 EU Member States and the RoW.

13.1.3. Dimension No 3: Securities issuing sector (SEC_ISSUING_SECTOR; length: four characters)

This dimension represents the issuing sectoral breakdown and is linked to the code list CL_ESA95_SECTOR. In the securities issues key family only a subset of ten values is used - only nine issuing sectors are distinguished, and one is for the total economy.

13.1.4. Dimension No 4: Securities item (SEC_ITEM; length: six characters)

This dimension represents the list of items set up for the MUFA in line with the ESA 95. It is linked to the code list CL_ESA95_ACCOUNT. Only a subset of values from the code list is used in the securities issues key family, since only some of the instrument categories are requested in the short-term approach for securities issues statistics. Two instrument categories in the code list refer to "memorandum items" which can be transmitted on a voluntary basis: "unquoted shares" and "other equity".

13.1.5. Dimension No 5: Securities valuation (SEC_VALUATION; length: one character)

This dimension identifies the method of valuation used for securities issues statistics and is associated with the code list CL_MUFA_VALUATION. Only a subset of values is used, since not all valuation methods in the code list are relevant to securities issues statistics.

The requirement of the short-term approach is to report securities other than shares at nominal (face) value (N) and quoted shares at market (transaction) value (M). Two further valuation methods have been defined: value including accrued interest (A) and effective amount paid (E). The value including accrued interest (A) "distributes" the interest based on the difference between the redemption and the issue price over the lifetime of the bond. The effective amount paid (E) refers to the price at the time of purchase. For redemptions and outstanding amounts the effective amount paid refers to the "historic" price at the time of purchase, i.e. unlike for market valuation the securities are not "revalued".

For long-term securities other than shares, the types of issue (fixed rate, variable rate and zero coupon bonds) might be valued using different methods, resulting in a mixed valuation for the total. For example, fixed and variable issues are typically valued at nominal value and zero coupon bonds at the effective amount paid. Generally, the relative amount of zero coupon bonds is small, so that no provision for a mixed valuation value has been made in the code list; the total amount of long-term securities is reported at nominal value (N). In cases where the magnitude of the phenomenon is significant, the value "not specified" (Z) is used for the total. In general, whenever there is a situation where mixed valuation occurs, details are provided by the NCB at the attribute level (please refer to the compilation attribute in Section 13.2).

13.1.6. Dimension No 6: Securities data type (DATA_TYPE_SEC; length one character)

This dimension has been specially tailored to fulfil the requirements of the securities issues key family according to the short-term approach. In this context, it indicates the type of data within the securities issues statistics and is linked to the code list CL_DATA_TYPE_SEC, which contains a total of four values: 1) outstanding amounts; 2) (gross) issues; 3) redemptions; and 4) net issues. Net issues are only provided if issues and redemptions cannot be separately identified.

13.1.7. Dimension No 7: Currency of transaction (CURRENCY_TRANS; length: three characters)

This dimension describes the currency in which the securities are issued and is associated with the code list CL_CURRENCY. For the securities issues key family, only a subset of values from the code list is used. Securities issued in euro or its national denominations are reported with currency dimension EUR(49), while securities issued in currencies other than euro are reported with Z06. Three additional values (DKK, SEK and GBP) are already included in the code list as these might be needed for the data transmission by the non-participating Member States.

13.1.8. Dimension No 8: Denomination of the series or special calculation (SERIES_DENOM; length: one character)

This dimension specifies the currency of denomination in which the time series is expressed and is linked to the code list CL_SERIES_DENOM. The three values euro (E), national currency (N) and US dollar (U)(50) are used for this key family. The national currency value N has been included to allow the future reporting of data by the Member States that have not yet adopted the euro in their own national denominations.

13.1.9. Dimension No 9: Series suffix in securities context (SEC_SUFFIX; length: one character)

This dimension has been specially tailored to fulfil the requirements of the securities issues key family according to the short-term approach. In this context, it allows new developments or extensions specific to securities issues statistics that might be needed in the future. At present, only one value exists, Z "unspecified" linked to the code list CL_SEC_SUFFIX.

13.1.10. Order of dimensions

The order of the dimensions is fixed in each key family. Some examples of the time series keys are provided below (refer to data blocks presented in Chart 1 and Appendix 2):

- Example for time series key in Block A: M: AT: 1000: F33100: N: 1: EUR: E: Z

Monthly: Austria: Total economy: Short-term securities other than shares: Nominal value: Outstanding amounts at the end of the period (stocks): Issued in euro and its national denominations: Euro: Suffix unspecified.

- Example for time series key in Block C: M: AT: 1220: F33200: N: 2: Z06: E: Z

Monthly: Austria: MFIs other than central banks: Long-term securities other than shares: Nominal value: (Gross) Issues (flows): Issued in foreign currencies, combined: Euro: Suffix unspecified.

- Example for time series key in Block B: M: Z8: 1230: F33201: N: 3: EUR: U: Z

Monthly: RoW (not allocated): OFIs: Long-term securities other than shares/fixed rate issues: Nominal value: Redemptions (flows): Issued in euro and its national denominations: US dollar: Suffix unspecified.

13.2. The attributes

In addition to the nine dimensions defining the key, a set of attributes has been defined(51). These are attached at various levels of the exchanged information:

Table 2. Coded and uncoded attributes defined for the ECB_SEC1 key family

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Table 3. Common attributes properties for the ECB_SEC1 key family: Euro area NCBs reporting to the ECB

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The technical description of the attributes at the sibling, observation and time series levels, for conditional and mandatory series, follows closely previous key families defined in the context of money and banking statistics, i.e.: MFI balance sheet statistics. In order to fulfil the specific needs of the securities issues statistics, the main uses of the recommended attributes are explained:

- Title: Text(52).

- Unit: Euro. US dollar for the BIS only. Non-euro currencies for the non-participating Member States only.

- Unit multiplier: 6 (millions).

- Decimals: 3 for all series.

- Collection indicator: "E" (end of period) for stocks and "S" (summed through period) for flows.

- Availability: The time series are flagged with one of the values from the CL_AVAILABILITY code list.

- Title complement: Text.

- National language title: Text.

- Domestic series ids: Text.

- Compilation: Text. When relevant, the following information is provided(53):

- Data sources/data collection system: Details of the data sources used to compile securities issues statistics (administrative sources for government issues, direct reporting from MFIs and other institutions etc.). Details of data collection and storage (whether stored on an issue-by-issue basis, or indistinguishably as amounts issued by individual issuers during a reporting period). Criteria used to identify the reporting agents.

- Compilation procedures: Method used to compile data (aggregation of individual securities issues, arrangements for existing time series).

- Sectoral breakdown of issuers: Deviations from the classification of issuers according to the sectoral breakdown defined in Section 4.

- Currency of issuance: Deviations from the currency breakdown defined in Section 6.

- Maturity of issues: Deviations from the maturity breakdown defined in Section 8.

- Price valuation: When different valuation methods are used for the various types of issue (fixed rate, variable rate and zero coupon bonds) or for the issuing sectors, resulting in a mixed valuation for the total, an explanation and an indication of the proportions used for the mixed valuation are provided.

- Redemptions: NCBs specify whether the information on redemptions is collected by direct reporting or calculated by residual.

- Breaks: Text specifying the major changes over time in the collection, reporting coverage and compilation of the series. If the length of this field (350 characters) is not sufficient, conventional short terminology is used.

- Coverage: Text. When relevant, the following information is provided(54):

- Classification of issues: Type of securities covered by the national data. If the coverage is known to be partial, the existing gaps are explained (especially regarding private placements and bankers acceptances). If unquoted shares and other equity are covered under quoted shares, this is also explained here.

- Observation status: The flag is chosen from the CL_OBS_STATUS code list.

- Observation confidentiality: The flag is chosen from the CL_OBS_CONF code list.

- Observation pre-break: This attribute contains the pre-break value and it is provided when a series break occurs (therefore, when the corresponding observation status shows the value "B").

- Observation comment: Text. This can be used to provide textual comments at the observation level (i.e.: explaining the reason for a possible abnormal observation or giving details of a change in the reported time series).

13.3. Exchange of information

13.3.1. Data requirements

Statistical returns are expected from each country for each time series which is applicable. If a particular item is not applicable in a particular country, then the ECB is notified promptly in writing and explanations are provided. If the underlying phenomenon does not exist, then the time series might be temporarily not reported. This occurrence or any other changes to the coding scheme described above are also notified. Furthermore, the ECB is informed when revisions are sent together with explanations on the nature of these revisions. This electronic reporting scheme has been set up to be broad enough to include the future reporting of data from non-participating Member States to the ECB; this is, however, not a mandatory requirement at present.

13.3.2. List of series

Appendix 2 contains the report forms for NCBs and the BIS. Two report forms refer to NCBs and one to the BIS. In principle, for each cell in each report one time series starting in January 1990 is reported to the ECB. The report forms together give information on the following four blocks(55) of data:

- Block A: Reported by NCBs. Refers to all issues in euro/national denominations by domestic residents.

- Block C: Reported by NCBs. Refers to all issues in other currencies by domestic residents.

- Block B: Reported by the BIS. Refers to all issues in euro/national denominations by RoW residents. Non-participating Member States are reported separately.

- Memorandum items: Reported by NCBs on a voluntary basis. Refers to issues of unquoted shares and other equity in euro/national denominations by domestic residents.

Each report form asks for data on outstanding amounts (A1, B1, and C1), issues (A2, B2, and C2), and redemptions (A3, B3, and C3). The report forms for NCBs also ask for information on net issues (A4 and C4) which only need to be provided if (gross) issues and redemptions cannot be separately identified.

Each report form requires information on short and long-term securities other than shares. Quoted shares are only included in the report form for NCBs (Block A), since the issue of shares is only relevant for euro area residents in euro/national denominations (and not in other currencies).

The sector "international organisations" is only relevant for issues by RoW residents in euro/national denominations (Block B) and excluded from the other report forms.

(1) See Appendix 1 for checklist.

(2) Defined in Section 3.

(3) The reporting by the BIS is included in this Guideline wherever needed for reasons of completeness and clarity. This Guideline is, however, not addressed to the BIS.

(4) Defined in Section 6.

(5) This refers to issues in national denominations of the euro. Issues by RoW residents in DKK, SEK and GBP are part of Block D and hence reporting of such issues is not required in the framework of the short-term approach.

(6) See the European System of Accounts 1995 (hereinafter "ESA 95"), contained in Annex A to Council Regulation (EC) No 2223/96 of 25 June 1996 on the European system of national and regional accounts in the Community, OJ L 310, 30.11.1996, p. 1, as last amended by Regulation (EC) No 359/2002 of the European Parliament and of the Council, OJ L 58, 28.2.2002, p. 1, paragraph 1.30.

(7) See the ESA 95, paragraph 2.55(f). Also referred to as special purpose entities or special financing institutions.

(8) See the ESA 95, paragraph 2.15.

(9) See also European Central Bank, (Money and Banking Statistics Sector Manual - Guidance for the statistical classification of customers), second edition, ECB, November 1999.

(10) See Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector, OJ L 333, 17.12.2001, p. 1, as amended by Regulation ECB/2002/8, OJ L 330, 6.12.2002, p. 29.

(11) See the ESA 95, paragraphs 2.53 - 2.59.

(12) See the ESA 95, paragraphs 2.60 - 2.67.

(13) See the ESA 95, paragraphs 2.21 - 2.31.

(14) See the ESA 95, paragraph 2.71.

(15) See the ESA 95, paragraphs 2.72 and 2.73.

(16) See the ESA 95, paragraph 2.74.

(17) In contrast to "announced" issues.

(18) Global bonds are classified as long-term securities (other than shares); see Section 7.1.2.

(19) Block A for NCBs and Block B for the BIS.

(20) Block C for NCBs and no reporting for the BIS, since the BIS only reports issues in euro/national denominations.

(21) Prior to 1 January 1999.

(22) ESA 95 category F.33.

(23) ESA 95 category F.511.

(24) Where available, data on unlisted shares and other equity may be reported on a voluntary basis as memo items.

(25) See the ESA 95, paragraphs 5.50 - 5.55; corresponds to the ESA 95 category F.33.

(26) In this Annex also referred to as "debt securities".

(27) See also Section 11.

(28) See Appendix 1.

(29) See the ESA 95, paragraphs 5.56 - 5.59; corresponds to the ESA 95 category F.331.

(30) These are examples of securities that are typically issued with a short-term maturity. The list is not exhaustive. It is possible that such typically short-term instruments are issued with a long-term original maturity, which for the purpose of this exercise are then classified as long-term securities other than shares. The maturity of issues is defined in Section 8.

(31) See the ESA 95 paragraphs 5.60 - 5.64; corresponds to the ESA 95 category F.332.

(32) These are examples of securities that are typically issued with a long-term maturity. The list is not exhaustive. It is possible that such typically long-term instruments are issued with a short-term original maturity, which for the purpose of this exercise are then classified as short-term securities other than shares. The maturity of issues is defined in Section 8.

(33) Such options are considered financial derivatives.

(34) For the long-term approach it is desirable to have a separate category for mixed rate issues.

(35) See the ESA 95, paragraphs 5.86 - 5.93; corresponds to the ESA 95 category F.511.

(36) See also Sections 9 and 10.1.

(37) See also Section 11.

(38) Although highly desirable to allow the wider application of the securities issues statistics to the work carried out by the Monetary Union Financial Accounts (MUFA) and Balance of Payments (BoP) business areas, such information, as defined in the ESA 95, is not requested here, since it cannot be derived from existing information.

(39) Not defined as a financial transaction; see the ESA 95, paragraphs 5.93 and 6.56, and Section 7.2. of this Annex.

(40) Transaction on a secondary market involving a change of the holder; not covered by these statistics.

(41) Considered as two financial transactions; see the ESA 95, paragraphs 5.62 and 6.54, and Section 7.1.2 of this Annex.

(42) Transaction on a secondary market involving a change of the holder; not covered by these statistics.

(43) Since 1 January 1999, for securities issued by domestic residents in euro (part of Block A) no exchange rate valuation is required, and securities issued by domestic residents in euro/national denominations (remaining part of Block A) are converted into euro applying the irrevocable conversion rates as of 31 December 1998.

(44) See the ESA 95, paragraph 6.58.

(45) Refers to debt securities and money market paper.

(46) Where money market paper has been issued with a maturity of more than one year, this correspondence needs to be changed accordingly.

(47) The concatenation of concrete dimension values provides the time series names (keys).

(48) For NCBs the country of residence of the issuing sector is the country of residence of the NCB.

(49) This is consistent with balance sheet statistics.

(50) The BIS may report in US dollars.

(51) The attributes are statistical concepts which provide the users with additional coded (e.g. the unit) and uncoded (e.g. the compilation method) information about the exchanged data. "Mandatory" (M) are those attributes for which all partners know their values. "Conditional" (C) are those attributes which are given values only if they are known in the reporting institution (e.g. domestic series id) or whenever they are relevant (e.g. breaks). Attribute values are to be exchanged only as and when they are set for the first time or change. Only the observation status is present in every interchange, attached to each observation.

(52) Because of the limited length of the text allowed in the "title", this attribute can be replaced by the "title complement".

(53) Refer also to Appendix 1.

(54) Refer also to Section 7 and Appendix 1.

(55) See also Chart 1.

Appendix 1

National explanatory notes

Detailed explanatory notes to aid the interpretation of the data accompany the securities issues statistics provided under the short-term approach. Each NCB submits one report describing the data provided in the context of this exercise. The report covers the topics detailed below and follows as closely as possible the proposed layout. There is, of course, a particular interest in receiving additional information on instances where data reported are not in conformity with the Guideline, or where the data are not provided, and the reasons for this. The report is transmitted to the ECB as a Word-document by Cebamail. The report is submitted not later than the data.

1. Data sources/data collection system: Details of the data sources used to compile securities issues statistics are given (administrative sources for government issues, direct reporting from MFIs and other institutions, newspapers, and data providers such as the International Financial Review etc). It is indicated whether the data are collected and stored on an issue-by-issue basis, and if so what criteria are used. Alternatively, it is indicated whether the data are collected and stored indistinguishably as amounts issued by individual issuers during a reporting period, as might be the case for direct data collection systems. Where there is direct reporting, information is provided about the criteria used to identify the reporting agents and the information to be submitted.

2. Compilation procedures: The method used to compile data in this exercise is briefly described, for example aggregation of information about individual securities issues, arrangements for existing times series whether published or not (to be specified).

3. Residence of the issuer (Section 3): It is specified whether it is possible to apply fully the ESA 95 (and IMF) definition of residency in the classification of issues. If this is not possible, or only partially possible, a full explanation of the criteria actually used is provided.

4. Sectoral breakdown of issuers (Section 4): Deviations from the classification of issuers according to the sectoral breakdown defined in Section 4 are indicated. The notes explain the identified deviations and any grey areas that might exist.

5. Currency of issuance (Section 6): If it is not possible to separately identify currency components of an issue, deviations from the rules are explained. Furthermore, NCBs that cannot distinguish for all securities between issues in local denominations, in other euro/national denominations and in other currencies, describe where such issues have been classified and indicate the total amount of issues that were not properly allocated to illustrate the size of the distortion.

6. Classification of issues (Section 7): NCBs provide comprehensive information about the type of securities covered by the national data, including their national terms. If coverage is known to be partial, the existing gaps are explained. Particular attention is drawn to the following:

- Private placements: it is indicated whether or not they are covered in the reported data.

- Bankers' acceptances: if negotiable and included in the reported data, national procedures for recording these instruments and the nature of the instruments are specified.

- Quoted shares: if unquoted shares or other equity are covered in the reported data this is indicated. An estimate of the amount of unquoted shares and/or other equity is given to illustrate the size of the distortion.

7. Instrument analysis of long-term securities (Section 7.1.3): If the sum of fixed rate, variable rate and zero coupon bonds does not add up to the total for long-term securities other than shares, the type and amount of long-term securities for which no such breakdown is available are given.

8. Maturity of issues (Section 8): The report specifies how the distinction is made between short and long-term securities. Deviations from the rules are explained.

9. Redemptions (Section 9): NCBs specify how they derive the information on redemptions. Is the information collected by direct reporting or calculated by residual.

10. Price valuation (Section 10.1): NCBs specify the method used to value 1) short-term debt securities; 2) long-term debt securities; 3) discounted bonds; and 4) quoted shares. If the valuation differs for stocks and flows this is also explained.

11. Reporting frequency, timeliness and time range (Section 12): The extent to which the data compiled for this exercise could be provided in conformity with the user requirements (for monthly data, with a timeliness of five weeks) is indicated. The length of the time series which can be provided is also given. Any breaks in the series are reported, for example differences in the coverage of securities over time.

12. Revisions (Section 12): If revisions were carried out, brief explanatory notes clarify the reason for them and their extent.

13. Estimated coverage per instrument issued by domestic residents: NCBs give national estimates of the coverage of securities for each category of issues by domestic residents, i.e. issues of short-term securities, long-term securities, and quoted shares, in local currency, other euro/national denominations including ECU, and other currencies. The estimates for "Coverage in %" indicate the share of securities covered in each instrument category as percentages of the total issuance, which should ideally be reported under the relevant heading following the reporting rules. Brief descriptions can be provided in "comments". NCBs also indicate any changes in coverage as a result of monetary union.

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STS = short-term securities other than shares.

LTS = long-term securities other than shares.

QUS = quoted shares.

Appendix 2

REPORT FORMS

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Annex XX

REPORTING STANDARDS FOR THE ELECTRONIC EXCHANGE OF STATISTICAL DATA:

MONETARY FINANCIAL INSTITUTION INTEREST

RATES KEY FAMILY IDENTIFIER: ECB_MIR1

1. Objective

On 20 December 2001, the European Central Bank (ECB) Governing Council adopted Regulation ECB/2001/18 concerning statistics on interest rates applied by monetary financial institutions to deposits and loans vis-à-vis households and non-financial corporations(1). This Regulation came into force on 31 January 2002.

Monetary financial institution (MFI) interest rates (hereinafter "MIR") provide the final link in the mechanism for the transmission of the monetary policy arising from changes in official interest rates and, therefore, are a necessary precondition for a reliable analysis of monetary developments in the participating Member States. At the same time, information about interest rate developments is needed for the European System of Central Banks (ESCB) to contribute to the smooth conduct of policies pursued by the competent authorities relating to the prudential supervision of credit institutions and the stability of the financial system.

Against this background, this Annex provides the reporting instructions for national central banks (NCBs) for the transmission of MIR statistics to the ECB.

2. Compilation of MIR statistics

For the purposes of the regular production of MIR statistics, NCBs report aggregated national monthly statistical information relating to outstanding amounts and new business as specified in Appendices 1 and 2 of Annex II to Regulation ECB/2001/18(2).

3. Transmission standard

Data are transmitted from the NCBs to the ECB via the telecommunications network "ESCB-Net" using the "GESMES/CB" message format. However, this requirement does not prevent the use of any other means of transmitting statistical information to the ECB as an agreed fallback solution.

4. Electronic transmission of MIR statistics - key family identifier: ECB_MIR1

The MIR statistics are statistics relating to those interest rates that are applied by resident credit institutions and other institutions to euro-denominated deposits and loans vis-à-vis households and non-financial corporations resident in the participating Member States. The ECB_MIR1 key family has been designed in such a way as to draw as much as possible on code lists and code values already defined in the ECB structural definitions. Nevertheless, it was necessary to introduce in some cases additional codes in existing code lists and to add new code lists for the dimensions "amount category" and "MIR data type".

4.1. Dimensions

The table below describes the dimensions defined in the ECB_MIR1 key family. For the MIR statistics, 10 dimensions have been specified as essential to identify the time series.

TABLE 1.

Dimensions defined in ECB_MIR1 key family

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Each of the 10 statistical dimensions takes its values from a corresponding code list. For example, according to the table above, the dimension REF_AREA (reference area) takes its values from the CL_AREA_EE code list. A description of the dimensions of the ECB_MIR1 key family is set out below, following the same sequence as they appear in the series key.

Dimension No 1: Frequency (FREQ; length: one character)

This dimension indicates the frequency of the reported time series. The code value used in the ECB_MIR1 key family is 'M' for monthly data and is taken from the code list CL_FREQ.

Dimension No 2: Reference area (REF_AREA; length: two characters)

This dimension represents the country of residence of the reporting institution. The associated code list CL_AREA_EE contains the standard ISO country list. The subset of code values used in the ECB_MIR1 key family corresponds to the 15 European Union (EU) Member States.

Dimension No 3: Balance sheet reference sectoral breakdown (BS_REP_SECTOR; length: one character)

This dimension represents the breakdown of the reporting (MFI) sector and is linked to the code list CL_BS_REP_SECTOR. The MIR statistics relate to those interest rates that are applied by resident credit institutions and other institutions that take deposits and give loans to households and non-financial corporations. The new code value 'B' therefore refers to all MFIs except money market funds and NCBs.

Dimension No 4: Balance sheet item (BS_ITEM; length: three characters)

This dimension represents a list of items on the balance sheet as defined in Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector(3) as amended by Regulation ECB/2002/8(4) and is linked to the code list CL_BS_ITEM. Only a sub-set of values from this code list is used in the ECB_MIR1 key family, as the MIR statistics only cover statistics relating to interest rates applied by resident credit institutions and other institutions to euro-denominated deposits and loans vis-à-vis households and non-financial corporations resident in the participating Member States.

Although the instrument categories for the MIR statistics largely follow the category breakdown of the MFI balance sheet, some aspects require further detail, such as the identification of bank overdrafts within the loan categories. For this reason, codes referring to loans excluding bank overdrafts have been introduced.

Dimension No 5: Original maturity/period of notice/initial period of fixation (MATURITY_ORIG; length: one character)

This dimension identifies the breakdown by original maturity or period of notice of the deposits or loans. In addition, for MIR statistics on new loans this dimension refers to the initial period of fixation. The associated code list CL_MATURITY_ORIG has been extended to also cover periods 1) over five and up to 10 years; and 2) over 10 years.

Dimension No 6: MIR data type (DATA_TYPE_MIR; length: one character)

This dimension distinguishes MIR statistics describing interest rates ("R" for the annualised agreed rate or narrowly defined effective rate and "C" for the annual percentage rate of charge) from those relating to the volumes of new business or outstanding amounts ("B"). The code list CL_DATA_TYPE_MIR has been created for the MIR statistics.

Dimension No 7: Amount category (AMOUNT_CAT; length: one character)

For new loans to non-financial corporations this dimension describes the amount category ("0" for loans up to and including EUR 1 million; "1" for loans over EUR 1 million). In all other cases, this dimension takes the code value "A" for the total amount. The associated code list CL_AMOUNT_CAT has been created for the MIR statistics.

Dimension No 8: Balance sheet counterparty sector (BS_COUNT_SECTOR; length: four characters)

This dimension represents the sectoral breakdown of the counterparty of balance sheet items and is linked to the code list CL_BS_COUNT_SECTOR. The MIR statistics draw only on a subset of values from this code list, as they relate only to interest rates applied vis-à-vis households and non-financial corporations.

Dimension No 9: Currency of transaction (CURRENCY_TRANS; length: three characters)

This dimension describes the currency in which the deposits and loans are denominated. For participating Member States the MIR statistics refer to euro-denominated deposits and loans. This dimension uses a sub-set of values from the code list CL_CURRENCY.

Dimension No 10: Business coverage (IR_BUS_COV; length: one character)

This dimension describes whether the MIR statistics refer to outstanding amounts ("O") or to new business ("N"), and is linked to the code list CL_IR_BUS_COV.

4.2. Attributes

In addition to the 10 dimensions defining the series key, a set of attributes provides additional qualitative information attached at various levels of the time series.

TABLE 2.

Coded and uncoded attributes defined for the MIR statistics key family (ECB_MIR1)

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In addition, each of these attributes is characterised by some technical properties, which are listed in the table below.

TABLE 3.

Euro area NCBs reporting to the ECB

Common attribute properties for the ECB_MIR1 key family

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In the following description of each attribute, the reference code list (indicated in capital letters as CL_EN*) is included, where applicable.

4.2.1. Attributes at sibling level

Mandatory:

- TITLE_COMPL (uncoded): This attribute is set, stored and disseminated by the ECB (it is in English with a maximum length of 1050 characters). If an NCB would like to make a modification, a revision can be made after consultation with the ECB. This revision will however be made by the ECB.

- UNIT (code list: CL_UNIT): This attribute provides the unit of measurement of the reported data. For interest rates the unit is percentage per annum (UNIT = 'PCPA'). The required data on business volumes are reported by the participating Member States in euro (UNIT = 'EUR'). These attributes will be set by the ECB.

- UNIT_MULT (code list: CL_UNIT_MULT): For interest rates the unit multiplier attribute will be set to zero (UNIT_MULT = 0), as these data will be given as percentages (outcome of a multiplication by 100). For the data on business volumes, this attribute provides information on whether the series is expressed in millions (UNIT_MULT = "6"), billions (UNIT_MULT = "9"), etc. NCBs report data referring to new business and outstanding amounts in millions and the ECB will set the value to 6 (UNIT_MULT = "6").

- DECIMALS (code list: CL_DECIMALS): This attribute indicates the number of decimal places given for the values of the observations. NCBs report the MFI interest rate to four decimal places (DECIMALS = "4"). The observation values on the business volumes will be transmitted without decimal places (DECIMALS = "0"). The ECB will set the appropriate values of this attribute.

Conditional:

- NAT_TITLE (uncoded): NCBs may use this attribute in order to provide a precise description and other supplementary or distinguishing specifications in the national languages (text up to 350 characters). Although the use of upper and lower case letters does not cause problems, the exchange of accented characters and extended alphanumeric symbols needs to be tested before regular use.

- COVERAGE (uncoded): This attribute is used for a detailed structured textual explanation (text up to 350 characters) of:

- the coverage of the reporting population (census/sample/combination of both), in the case of sampling,

- the stratification criteria,

- the selection procedure (equal probability/probability proportional to size/selection of biggest institutions).

The NCBs provide these characteristics of the time series reported with the first transmissions. In subsequent transmissions this information is updated only when a relevant change in the methods applied occurs.

- COMPILATION (uncoded): This attribute may be used for further detailed textual explanations (text up to 1050 characters) of the compilation methods, weighting, statistical procedures, etc.

4.2.2. Attributes at time series level

Mandatory:

- COLLECTION (code list: CL_COLLECTION): This attribute provides an explanation of the time when observations are collected (e.g. beginning, middle or end of period) or an indication of whether data are averages over the month or end of month observations. Unless NCBs state otherwise, the ECB sets the "collection" attribute by default to "E" (= end of period) for MIR statistics on outstanding amounts, and to "A" (= average of observations through period) for MIR statistics on new business.

- AVAILABILITY (code list: CL_AVAILABILITY): This attribute indicates the institutions to which the data can be made available. For the dissemination of MIR statistics at national and euro area level, this attribute will be set according to a harmonised structure. When special treatment for specific observations is needed, the "observation confidentiality" attribute can be used (see below).

Conditional:

- DOM_SER_IDS (uncoded): This attribute allows reference to be made to the code used in national databases to identify the corresponding series (formulae using national reference codes can also be specified). This attribute (text up to 70 characters) may be set and modified by a reporting NCB at any time.

- BREAKS (uncoded): This attribute provides a description (text up to 350 characters) of breaks and major changes over time in the collection, reporting coverage and compilation of the series. In the case of breaks, it is desirable to state the extent to which old and new data may be considered comparable.

4.2.3. Attributes at observation level

Mandatory:

- OBS_STATUS(5) (code list: CL_OBS_STATUS): NCBs report an observation status value attached to each exchanged observation. This attribute is mandatory and must be provided with every data transmission for every individual observation. When NCBs revise the value of this attribute, both the observation value (even if unchanged) and the new observation status flag are retransmitted.

- The list below specifies the expected values (according to the agreed hierarchy) for these attributes for the purpose of the MIR statistics:

"A" = normal value,

"B" = break value,

"M"= data do not exist (for non-applicable data, e.g. when an instrument category is inapplicable at national level)(6),

"P" = provisional value(7).

Conditional:

- OBS_CONF(8) (code list: CL_OBS_CONF): If an NCB wishes to differentiate between the confidentiality status of one or more specific observations, it may use the "observation confidentiality" attribute. The value of this attribute (if any) may be modified when transmitting the data by the sender of the information. When this attribute is not set, no restrictions regarding confidentiality (OBS_CONF = "F" (free)) are assumed.

- OBS_PRE_BREAK(9) (uncoded): This attribute contains the pre-break observation value, which is a numeric field like the observation. It is provided when a series break occurs (and the observation status is set to "B").

- OBS_COM (uncoded): This attribute can be used to provide textual comments (text up to 350 characters) at the observation level (e.g. describing the estimate or assumption made for a specific observation due to lack of data, explaining the reason for a possible abnormal observation or giving details of a change in the reported time series).

First regular transmission under Regulation ECB/2001/18 begins with monthly statistical information for January 2003 and should take place by 27 February 2003.

Two transitional arrangements have been foreseen within this Regulation until and including the reference month of December 2003. The first refers to the aggregated national monthly statistical information on new business and outstanding amounts, which may be reported to the ECB with a delay of a further two working days from the close of business on the nineteenth working day after the end of the reference month. Secondly, the aggregated national monthly statistical information on outstanding amounts may, alternatively, be reported to the ECB only once a quarter, with a delay of two working days from the close of business on the nineteenth working day after the end of the calendar quarter.

NCBs inform the ECB if they wish to apply these transitional arrangements.

5. Revision policy

NCBs may have to revise the previous reference month's values (ordinary revisions). Revisions arising from, for example, mistakes, reclassifications, improved reporting procedures etc. applied to data prior to the previous reference month (exceptional revisions)(10) may also occur.

The following general principles apply:

- Regulation ECB/2001/18 requires accurate data to be reported within the set deadlines. Accordingly, NCBs should not systematically revise the data for the period prior to the previous reference month (exceptional revisions). Should this happen, the ECB will require an explanatory note.

- In any case, significant revisions are to be accompanied by explanatory notes.

- In transmitting revised data, NCBs take into consideration the established timeliness of regular reporting of MIR statistics. Exceptional revisions should be reported outside the monthly production periods.

6. Lists of series and code lists

The ECB maintains and distributes to the NCBs lists/tables with MIR time series to be exchanged in accordance with this Annex as well as code lists referring to the key family ECB_MIR1. In due course, the ECB will maintain and distribute to the NCBs lists/tables describing the statistical series that will be returned to the NCBs.

(1) OJ L 10, 12.1.2002, p. 24.

(2) To assist NCBs in the collection and compilation of the statistical information to be transmitted to the ECB in accordance with Regulation ECB/2001/18, guidance notes are currently being developed. These guidance notes aim at ensuring a clear and consistent understanding of the statistical requirements contained in the Regulation.

(3) OJ L 333, 17.12.2001, p. 1.

(4) OJ L 330, 6.12.2002, p. 29.

(5) The four objects observation value plus OBS_STATUS, OBS_CONF and OBS_PRE_BREAK are treated as one entity. This means that NCBs are obliged to send all complementary information for an observation. (When attributes are not reported, their previous values are overwritten by default values.).

(6) When, owing to local market practices or to the legal framework, a time series (or part of it) is not applicable (the underlying phenomenon does not exist), a missing value is reported ("-") with observation status "M". A missing observation should never be reported as a "zero", since zero is a normal numeric value that indicates a precise interest rate or business volume of null amount.

(7) These observations take definite values (observation status "A") at a later stage. The new revised values overwrite the previous provisional observations.

(8) See footnote 5.

(9) See footnote 6.

(10) Defined as revisions applied to values relating to a period prior to the month preceding the current reference month.

ANNEX XXI

MONETARY UNION RETAIL BANK INTEREST RATES

Deposit rates

Fiche 1: Overnight deposits

Fiche 2/3: Deposits with an agreed maturity of up to 2 years

Fiche 2: Deposits with an agreed maturity of up to 1 year

Fiche 3: Deposits with an agreed maturity of over 1 and up to 2 years

Fiche 4: Deposits with an agreed maturity of over 2 years

Fiche 5: Deposits redeemable at notice of up to 3 months

Fiche 6: Deposits redeemable at notice of over 3 months

Lending rates

Fiche 13: Loans to enterprises up to 1 year

Fiche 14: Loans to enterprises over 1 year

Fiche 15/16: Consumer loans to households

Fiche 15: Consumer loans to households up to 1 year

Fiche 16: Consumer loans to households over 1 year

Fiche 17/18: Housing loans to households

Fiche 17: Housing loans to households at a fixed rate

Fiche 18: Housing loans to households at a variable rate

The national components are defined in the explanatory notes.

Appendix: Reporting standards for the electronic exchange of statistical data

ECB REQUIREMENT FOR EURO AREA RETAIL INTEREST RATES

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Tables 1 and 2 specify the requirements for the short-term approach to euro area retail bank interest rates.

EXPLANATORY NOTES BY INSTRUMENT AND COUNTRY

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Appendix

REPORTING STANDARDS FOR THE ELECTRONIC EXCHANGE OF STATISTICAL DATA

KEY FAMILY IDENTIFIER: ECB_RIR2

1. Interest rates key family and corresponding key lists

The interest rates key family refers to European Central Bank (ECB) statistics on the retail deposit and lending interest rates of the monetary financial institutions (MFI) sector. According to the agreed short-term approach, a focused subset of composite representative rates for deposit and loans, at the euro area level, is identified on the basis of statistical information currently available to national central banks (NCBs), which is reported to the ECB.

For deposit rates, the provision of a limited instrument/maturity breakdown on a monthly basis is required, including 1) overnight deposits; 2) deposits with agreed maturity; and 3) deposits redeemable at notice.

For interest rates charged on loans, the requirement is for a monthly split by "type" of loan (loans to enterprises, consumer credit to households and loans for house purchases), broken down by maturity and by fixed and variable rate (for lending for house purchases).

The dimensions and attributes used in the retail bank interest rates key family are described below.

For the interest rates data, ten dimensions have been specified as essential in order to identify the time series to be transmitted:

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Each of the ten statistical dimensions takes its values from a corresponding code list. For example, according to the table above, the dimension BS_ITEM (balance sheet item (BSI)) takes its values from the CL_BS_ITEM code list. The concatenation of the appropriate dimension values provides the time series names (keys).

A description of the dimensions of the interest rates key family is set out below, following the same sequence as they appear in the key.

1.1. Dimension No 1: Frequency (FREQ; length: one character)

This dimension indicates the frequency of the reported series. The code list used is CL_FREQ. According to the short-term approach, only monthly interest rates (frequency = M) are included in the set of retail interest rates to be sent by the NCBs to the ECB(1).

1.2. Dimension No 2: Reference area (REF_AREA; length: two characters)

This dimension represents the country of residence of the reporting institutions (MFIs). The code list linked to this concept is CL_AREA_EE. Only a subset of values is used to define the reference area in the interest rates key family, since the reporting countries are, at most, the 15 European Union Member States.

1.3. Dimension No 3: Balance sheet reference sector breakdown (BS_REP_SECTOR; length: one character)

This dimension represents the breakdown of the reporting (MFI) sector and is linked to the code list CL_BS_REP_SECTOR. In the interest rates key family only the code "A" for "other MFIs" is used.

1.4. Dimension No 4: Balance sheet item (BS_ITEM; length: three characters)

This dimension represents the list of items on the balance sheet as defined in Regulation ECB/2001/13 and is linked to the code list CL_BS_ITEM.

Only a subset of values from the code list is used in the interest rates key family, since only interest rates paid on deposits in euro (overnight deposits with an agreed maturity and redeemable at notice) and interest rates charged on loans (in all currencies) are requested according to the short-term approach.

1.5. Dimension No 5: Original maturity (MATURITY_ORIG; length: one character)

This dimension identifies the breakdown by the (original) maturity of BSIs and is linked to the code list CL_MATURITY_ORIG. The dimension and its values are tailored to the requirements specified for interest rates statistics(2).

1.6. Dimension No 6: Balance sheet counterparty sector (BS_COUNT_SECTOR; length: four characters)

This dimension represents the sectoral breakdown of the counterparty of BSIs and is linked to the code list CL_BS_COUNT_SECTOR. The interest rates key family requires only a subset of values from the code list used in the BSI key family. On the liabilities side, no sectoral breakdown is requested. On the assets side, a sectoral breakdown between households (separately identifying consumer credit and lending for house purchases) and enterprises is requested.

1.7. Dimension No 7: Currency of transaction (CURRENCY_TRANS; length: three characters)

This dimension describes the currency in which BSIs are denominated and is linked to the code list CL_CURRENCY. For interest rates only a subset of values is used. Interest rates on deposits (euro) will be reported with the currency dimension EUR, while interest rates on loans (all currencies) will be reported with the code Z01.

1.8. Dimension No 8: Business coverage (IR_BUS_COV; length: one character)

This dimension identifies the coverage to which the reported series refers and is linked to the code list CL_IR_BUS_COV. Two values have been identified, depending on whether the interest rate refers to the outstanding amount of the instrument in the market (O) or to the new business (N).

1.9. Dimension No 9: Interest rate (f/v) type (IR_FV_TYPE; length: one character)

This dimension identifies the nature of the rate (e.g. fixed, variable etc.). It takes its values from the CL_IR_FV_TYPE code list. Four values have been identified: fixed (F), variable (V), fixed/variable proportion (P), unspecified (Z). This dimension is required only for interest rates charged on loans. The short-term approach does not include any fixed/variable proportion rates, and only the values F, V and Z are currently used.

If no distinction is made regarding the underlying instrument's rate type (i.e. "lending to enterprises of up to 1 year"), a value Z is reported as the rate type. The value Z is used in the case of deposits.

1.10. Dimension No 10: Interest rate suffix (RIR_SUFFIX; length: one character)

This dimension identifies the type of data (e.g. interest rate, variation coefficient etc.). The retail interest rates (RIR) key family provides an opportunity to include in the retail banking interest rates database some additional information directly linked to the time series, but not expressed in terms of interest rates. It takes its values from the CL_RIR_SUFFIX code list. Five values have been identified to date: interest rates(3) (R), spreads (S), margins (M), variation coefficients (V), and key national rates(4) (K). It is worth mentioning here that the NCBs only report interest rates and key national rates to the ECB, while the spreads, margins and variation coefficients are computed and disseminated by the ECB itself.

2. The attributes

The attributes provide qualitative information about the exchanged time series and the exchanged data. The table below presents the set of attributes that apply to the RIR key family. The first column provides the attachment level of each attribute; the second and third columns provide the concept mnemonic and the concept name respectively; and the fourth and fifth columns provide the appropriate code list related to each concept (code list mnemonic and code list name respectively).

Retail interest rates key family (ECB_RIR2): coded and uncoded attributes

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In addition, each of these attributes is characterised by some technical properties, which are listed in the following table:

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M: mandatory; C: conditional.

Below is given a description of each attribute, the reference code list (indicated in capital letters as CL_EN*), whenever it applies, and the maximum length for each attribute value.

2.1. Attributes at sibling level

Mandatory

- TITLE_COMPL (uncoded): This attribute will be set, stored and disseminated by the ECB (it is in English with a maximum length of 1050 characters). If an NCB wishes to apply a modification, a revision can be made after consultation with the ECB. The revision will be implemented by the ECB.

- UNIT (code list: CL_UNIT): This attribute indicates the unit of measurement of the reported data. For interest rates the unit is the percentage per annum (PC). The attribute will be set by the ECB.

- UNIT_MULT (code list: CL_UNIT_MULT): As data are given as percentages (outcome of a multiplication by 100), the unit multiplier is set equal to 0. The attribute will be set by the ECB.

- DECIMALS (code list: CL_DECIMALS): This attribute indicates the number of decimal places given for the values of the observations. All NCBs report these data to two decimal places. The ECB will set the value of the attribute to 2 for all series.

Conditional

- COMPILATION (uncoded): A detailed, textual explanation of compilation methods used (a text up to 1050 characters long). A significant heterogeneity has been found in the compilation methods adopted by the NCBs (single value, weighted average by stocks, by transaction, by size of banks or simple average). Differences in compilation methods are acceptable if they are relevant at the national level and are advertised to the users in order to avoid any misunderstanding.

- The nature of the interest rate and the standard quality of the interest rate are also reported by the NCBs whenever they become relevant:

Nature of the interest rate = effective or nominal

- The nature of the interest rate identifies the characteristics of the interest rates as being nominal (N) or effective (E).

Standard quality of the interest rate = exact rate, proxy rate, no proxy

- The standard quality of the interest rate indicates the quality of the data provided. The NCBs are requested to report interest rates that are "representative" of MFI balance sheet categories, matching as closely as possible the definitions agreed within the framework of the 'layered approach'. When the series matches the definition, the "exact rate" is provided by the NCB. When the instrument exists in the Member State but there is no interest rate paid on it, the "exact rate" is equal to zero. Where corresponding series are not available, the 'proxy rate' should be selected. If the instrument does not exist in the Member State, no "proxy" is provided.

The NCBs provide the ECB with the characteristics of the time series reported in terms of the nature and standard quality of the interest rate series from the outset. In subsequent transmissions this information is updated only when a relevant change in these characteristics (or in the general methodology followed) occurs.

COVERAGE (institutional coverage; uncoded): The institutional coverage refers to the way the information on the rates is collected by the NCBs (a text up to 350 characters long). The survey could cover all "other MFIs", a sample of MFIs or a few selected representative MFIs. The attribute is set by the NCB and can be modified at any time.

- TITLE (uncoded): This attribute allows only a maximum of 70 characters. In view of the limited space the title complement attribute is used instead as the mandatory attribute. The title attribute may be used for the construction of short titles and is to be set and disseminated by the ECB.

- NAT_TITLE (uncoded): The national title attribute can be used by the NCBs in order to provide a precise description and other supplementary or distinguishing specifications in the national language (up to 350 characters long). It can be set and modified by the NCBs at any time. Although upper and lower cases do not cause problems, the exchange of accented characters and extended alphanumeric symbols is to be tested before regular use.

2.2. Attributes at time series level

Mandatory

- AVAILABILITY (code list: CL_AVAILABILITY): This attribute indicates the institutions to which the data can be made available. Its values are taken from the CL_AVAILABILITY code list and it will be set by the ECB. When a special treatment for specific observations is needed, the observation confidentiality attribute can be used (see below).

- COLLECTION (code list: CL_COLLECTION): This attribute provides an explanation of how observations are collected (e.g. beginning, middle or end of period) or an indication of whether data are averages, highest or lowest in the period etc. Its values are taken from the CL_COLLECTION code list. The ECB will set the RIR series as "average" (COLLECTION = "A") unless the NCBs state otherwise(5). The NCBs cannot modify the attribute.

Conditional

- DOM_SER_IDS (uncoded): This attribute makes it possible to refer to the code used in national databases which identify the corresponding series (formulae using national reference codes can also be specified). It can be set and modified at any time by a reporting NCB (up to 70 characters long).

- BREAKS (uncoded): A description of breaks and major changes over time in the collection, reporting coverage and compilation of the series. In the case of breaks, the extent to which old and new data can be considered as comparable must be stated (up to 350 characters long)(6). The attribute can be set and modified by the NCBs at any time.

2.3. Attributes at observation level

Mandatory

- OBS_STATUS(7) (code list: CL_OBS_STATUS): The NCBs report an observation status value attached to each exchanged observation. This attribute is mandatory and is provided at every data transmission for every individual observation. When the NCBs wish to revise the value of this attribute, they report both the observation value (even if unchanged) and the new observation status flag.

The list below specifies the expected values (according to the agreed hierarchy) for this attribute in the transmission from NCBs:

"A" = normal value,

"B" = break value,

"M" = data do not exist (for non-applicable data),

"L" = data exist but are not collected,

"H" = missing value due to holiday or weekend,

"E" = estimated value,

"P" = provisional value. (This attribute could be used particularly for the transmission of the latest update when provisional.)

If NCBs are unable to identify the exact reason for a missing value or cannot support the whole range of values presented in CL_OBS_STATUS (so that they are not in a position to choose between "H""L" or "M" as a value for this attribute), the value "M" is used.

If an observation is qualified by two characteristics, the most important is reported. If an observation is both a break value and the result of an estimate, priority is given to the "break" property and the flag "B" is used.

Conditional

- OBS_COM (uncoded): This attribute can be used to provide textual comments at the observation level (e.g. explaining the reason for a possible abnormal observation, or giving details of a change in the reported time series). This attribute can be set or revised at any time by a reporting NCB (up to 350 characters long).

The observation comment is provided whenever it refers to an observation status flag "B", denoting a break in the time series. In this case the information provided by the attribute becomes essential in order to identify a change in the time series and to store the necessary information on the changes over the time of the series reported.

- OBS_CONF(8) (code list: CL_OBS_CONF): If an NCB wishes to differentiate between the confidentiality status of one or more specific observations, it can use the OBS_CONF attribute. The value of this attribute (if any) can be modified at the time of the data transmission by the sender of the information.

- OBS_PRE_BREAK(9) (uncoded): This attribute contains the pre-break value, which is a numeric field like the observation. It is provided when a series break occurs (therefore, when the corresponding observation status is given the value "B"). It is set by the NCB and can be revised by the NCB at any time.

3. Exchange of information

3.1. Data requirements

- It is appropriate to specify that the statistical returns will always be provided if a time series is applicable. If the underlying phenomenon does not exist, the time series might temporarily not be reported. These requirements could change in the future.

- The statistical requirements apply only to the time series that are not already available in the Bank for International Settlements (BIS) database, since in this case the ECB will obtain them from the BIS.

3.1.1. Specific reporting requirements

These guidelines set out a comprehensive reporting framework which can already be implemented at the national level, so as to be technically ready to start regular monthly (and quarterly, when applicable) transmission to the ECB.

It is relevant to specify that:

- On the liabilities side the requirements refer to interest rates on outstanding amounts only, while on the assets side they refer to new business only. If the relevant time series does not exist for the required business coverage then the second definition can be used as proxy for the former.

Tables 1 and 2 of this Annex show the euro area retail bank interest rates that have been approved, following the completion of the short-term approach. The specific requirements as regards national components are presented in the first part of this Annex. In general, this implies the following time series:

- interest rates on overnight deposits,

- interest rates on deposits with an agreed maturity of up to one year,

- interest rates on deposits with an agreed maturity of over one and up to two years,

- interest rates on deposits with an agreed maturity of over two years,

- interest rates on deposits redeemable at notice of up to three months,

- interest rates on deposits redeemable at notice of over three months,

- interest rates on lending to enterprises of up to one year,

- interest rates on lending to enterprises of over one year,

- (or interest rates on lending to enterprises with no maturity breakdown),

- interest rates on consumer credit to households of up to one year,

- interest rates on consumer credit to households of over one year,

- (or interest rates on consumer credit to households with no maturity breakdown),

- interest rates on lending to households for house purchase at a fixed rate,

- interest rates on lending to households for house purchase at a variable rate,

- (or interest rates on lending to households for house purchase with no rate type specification).

3.2. Start of reporting and coverage of back data

Participating Member States are expected to transmit monthly back data with a starting date of January 1990 at the latest for the monthly euro area retail interest rates statistics, covering the subset of rates listed above.

For the remaining time series, specific requirements on the start of reporting and the coverage of historical series will be set up at a later stage.

4. Lists of series and code lists

The ECB maintains and distributes to the NCBs tables containing lists of interest rates time series and code lists.

(1) The requirements for the outstanding stock of loans broken down by sector, which are used as weights for the monthly retail interest rates on loans, were met by Regulation ECB/1998/16 of 1 December 1998 concerning the consolidated balance sheet of the monetary financial institutions sector, OJ L 356, 30.12.1998, p. 7, as amended by Regulation ECB/2000/8, OJ L 229, 9.9.2000, p. 34, only at quarterly frequency. The new Regulation ECB/2001/13 of 22 November 2001 concerning the consolidated balance sheet of the monetary financial institutions sector, OJ L 333, 17.12.2001, p. 1, as amended by Regulation ECB/2002/8, OJ L 330, 6.12.2002, p. 29, which replaces Regulation ECB/1998/16, will provide these sectoral breakdowns at monthly frequency as from the reference period January 2003.

(2) For deposits with an agreed maturity this dimension refers to the original maturity breakdown, while for deposits redeemable at notice the dimension refers to the period of notice.

(3) The suffix "R" describes national components or retail rates from non-participating Member States, which may be compared to the euro area rates.

(4) The suffix "K" describes key national rates other than national components or euro area comparable equivalents.

(5) The NCBs report any difference in the COLLECTION attribute to the relevant contact persons at the ECB in writing.

(6) In order to make the exchanged information on breaks more complete, the exchange of pre-break values is also supported via an additional observation attribute.

(7) The four objects observation value plus OBS_STATUS, OBS_CONF and OBS_PRE_BREAK are treated as one entity. This means that NCBs are obliged to send all complementary information for an observation. (When attributes are not reported, their previous values are overwritten by default values.)

(8) See footnote 7.

(9) See footnote 7.