‘Article 18a

Statistics on the assets and liabilities of FVCs

1.   Scope of reporting

NCBs shall compile and report separate aggregated statistical information on assets and liabilities of FVCs in accordance with Part 15 of Annex III to this Guideline. Data shall be submitted for the following three sub-categories: (i) FVCs engaged in traditional securitisation; (ii) FVCs engaged in synthetic securitisation; and (iii) other FVCs.

For the purpose of FVC statistics traditional securitisation refers to securitisations where the transfer of risk is achieved by the economic transfer of the assets being securitised to the FVC. This shall be accomplished by the transfer of ownership of the securitised assets from the originator or through sub-participation.

Synthetic securitisation refers to securitisations where the transfer of risk is achieved by the use of credit derivatives, guarantees or any similar mechanism.

These requirements shall cover data on end-of-quarter outstanding amounts, financial transactions and write-offs/write-downs provided on a quarterly basis.

NCBs may submit to the ECB the required data on write-offs/write-downs on a best effort basis.

2.   Reporting frequency and deadline

NCBs shall report to the ECB the data on FVCs’ outstanding amounts, financial transactions and write-offs/write-downs on a quarterly basis by close of business on the 28th working day following the end of the quarter to which the data relate.

3.   Revision policy

The following general rules shall apply to the revision of quarterly data:

4.   Reporting approaches

In order to meet the statistical reporting requirements from which FVCs are exempt under Article 5(1)(c) of Regulation (EC) No 24/2009 or the European Central Bank (ECB/2008/30) (*2), the NCBs after consulting the ECB, shall decide on the most appropriate approach to compiling data on assets and liabilities of FVCs, depending on the organisation of the relevant markets and the availability of other relevant statistical, public or supervisory information in the Member State.

5.   Data sources and data quality standards

If NCBs derive data on FVC issued securities and/or FVCs’ holdings of securities from the CSDB or another securities database and/or data on assets and liabilities of FVCs from other statistical data sources, from public sources such as pre-sale reports or investor reports, or from supervisory data sources, the data quality standards described below shall apply.

As identified in Part 15 of Annex III to this Guideline, a distinction is made between anchor series, which are subject to high quality standards, comparable to data directly reported by FVCs in accordance with Annex III to Regulation (EC) No 24/2009 (ECB/2008/30) and which are verifiable ex-post as outlined in paragraph 9 and non-anchor series which may be estimated according to less stringent quality standards (*3).

If NCBs derive data on assets and liabilities of FVCs from supervisory data sources, the NCBs shall ensure that these sources are sufficiently aligned with the statistical concepts and definitions under the FVC reporting requirements. The same shall apply to data which are derived from other statistical data sources.

If data are not directly reported by FVCs in accordance with Article 5(1)(c) of Regulation (EC) No 24/2009 (ECB/2008/30), the quality of the data shall be monitored by the NCBs on the basis of the information that is available from the annual financial statements, as outlined in paragraph 9. If the cross-checks between the data derived on a quarterly basis and the annual financial statements show that high quality standards are not met, NCBs shall take the necessary measures to ensure that the data meet the required quality standards, including the possible direct collection of data under Regulation (EC) No 24/2009 (ECB/2008/30).

If data on outstanding amounts and new issues of FVC debt securities and/or FVCs’ holdings of securities are compiled from the CSDB or another securities database, the NCBs shall ensure extensive coverage of FVC issued debt securities and/or FVC’s holdings of securities and shall monitor such data on a regular basis as outlined in paragraph 10. If the coverage and quality indicators for the relevant set of securities in the CSDB or other securities database show that high quality standards are not met, NCBs shall take the necessary measures to meet the required quality standards, including the possible direct collection of data under Regulation (EC) No 24/2009 (ECB/2008/30).

6.   Loans originated and serviced by euro area MFIs and exchange of cross-border information

In accordance with Article 5 of Regulation (EC) No 25/2009 (ECB/2008/32), NCBs collect data on loans purchased by FVCs that originated from and are serviced by euro area MFIs and broken down by maturity, sector and residency of debtors, as identified in Part 15 of Annex III to this Guideline.

If the originators of the securitised loans are MFIs resident in the same country as the FVC, and these domestic MFIs continue to service the securitised assets, the NCB may compile this part of the data on the FVCs’ loan portfolio, relating to outstanding amounts and financial transactions, from data collected from domestic MFIs as specified in Article 5 of Regulation (EC) No 25/2009 (ECB/2008/32), instead of directly collecting these data from FVCs.

If the originators of the securitised loans are MFIs resident in another euro area Member State, and these MFIs continue to service the securitised assets, NCBs shall exchange the information collected from these MFIs in accordance with Article 5 of Regulation (EC) No 25/2009 (ECB/2008/32). Each NCB shall collect information in accordance with Article 5 of Regulation (EC) No 25/2009 (ECB/2008/32) on loans that originate from and are serviced by domestic MFIs and have been securitised with an FVC resident in another euro area Member State.

For the purpose of exchanging cross-border information, each NCB shall transmit information on loans originated and serviced by domestic MFIs under Article 5 of Regulation (EC) No 25/2009 (ECB/2008/32) to the ECB in accordance with Part 15 of Annex III to this Guideline.

NCBs shall report these data to the ECB by the 23rd working day following the end of the quarter to which the data relate.

The ECB shall provide, in line with the applicable legal acts protecting confidential data, the technical gateway for this exchange of cross-border information. The ECB shall redistribute the data to the NCBs concerned on the 24th working day following the end of the quarter to which the data relate.

NCBs that are involved in the exchange of data for existing securitisations shall clarify any outstanding queries and coordination issues on a bilateral basis and, if required, exchange relevant information. If there are new securitisations, the relevant NCBs may request the ECB to act as coordinator.

7.   Derogations and grossing-up

If NCBs compile data on assets and liabilities of FVCs directly from FVCs, and where relevant, based on data reported by MFIs under Regulation (EC) No 25/2009 (ECB/2008/32), and where NCBs grant derogations to FVCs in accordance with Article 5(1)(b) of Regulation (EC) No 24/2009 (ECB/2008/30), NCBs shall gross up to 100 % coverage for all FVCs when compiling the quarterly assets and liabilities of FVCs data reported to the ECB for outstanding amounts, financial transactions and write-offs/write-downs.

If NCBs compile data on assets and liabilities of FVCs from other statistical, public and/or supervisory sources they may base their compilation on a sample of FVCs as long as these FVCs account for at least 95 % of the total outstanding amount of assets of the FVC reference reporting population in a relevant Member State as represented in the list of FVCs. NCBs shall gross up to 100 % coverage when compiling the quarterly data on assets and liabilities of FVCs reported to the ECB for outstanding amounts, financial transactions and write-offs/write-downs.

8.   Explanatory notes

NCBs shall submit explanatory notes to the ECB setting out the reasons for significant revisions as well as for any revisions made pursuant to Article 18a(3)(b) of this Guideline.

9.   Monitoring the quality of data not directly reported by FVCs or MFIs

NCBs shall check the quality of the quarterly data which are not directly reported by FVCs or MFIs in accordance with Article 5(3) of Regulation (EC) No 24/2009 (ECB/2008/30), on the basis of information available from annual financial statements.

The outcome of the quality checks shall be transmitted to the ECB by the end of September each year or at the earliest point in time thereafter, in accordance with the applicable national legal practices in the FVC’s Member State of residence.

10.   Monitoring the quality of the CSDB or other securities database in the context of FVC issued securities

If the CSDB or another securities database is used as a data source for FVC statistics in accordance with paragraph 5, NCBs shall provide the ECB, on an annual basis, with indicators on the coverage and quality of the relevant set of securities in the CSDB or the other securities database, in accordance with the methodology to be separately communicated to the NCBs.

The above information shall be transmitted to the ECB by the end of February each year by taking as a reference the end-December data of the preceding year.

‘Article 20a

List of FVCs for statistical purposes

1.   Scope of reporting

The variables collected to establish and maintain the list of FVCs for statistical purposes provided for in Article 3 of Regulation (EC) No 24/2009 (ECB/2008/30) are specified in Annex VIII to this Guideline.

NCBs shall report updates of the variables specified in Part 1 of Annex VIII to this Guideline either when there are changes in the FVC sector, i.e. an institution joins the FVC sector or an FVC leaves the FVC sector, or when there is a change in an FVC’s attributes.

NCBs shall derive updates by comparing their national list of FVCs at the end of two successive end-of-quarters, i.e. they shall not take into account intra-quarter movements.

When reporting a new institution or an institution to be modified, NCBs shall complete all mandatory variables.

When reporting an institution leaving the FVC sector, NCBs shall report the following information as a minimum: the type of request, i.e. deletion, and the identification code of the FVC, i.e. the “fvc_id” variable.

Where possible, NCBs shall not reallocate FVC identification codes of deleted FVCs to new or modified FVCs.

When reporting updates, NCBs may use their national character set, provided they use the Roman alphabet. NCBs shall use Unicode to correctly display all special character sets when receiving information from the ECB via the RIAD Data Exchange System.

Prior to transmitting updates to the ECB, NCBs shall carry out the validation checks set out in Part 2 of Annex VIII to this Guideline.

2.   Reporting frequency and deadline

NCBs shall transmit to the ECB updates of the variables specified in Part 1 of Annex VIII to this Guideline, at least on a quarterly basis, within 14 working days following the reference date.

3.   Transmission standards

NCBs shall transmit updates in XML file format. The ECB shall then process the data via the RIAD Data Exchange System. In the event of failure of the EXDI and/or the RIAD Data Exchange System, updates shall be transmitted in XML format via the N13 Cebamail account. If the Cebamail system is not operational for the file transfer of FVC updates or corrections, NCBs shall transfer these files by e-mail using the XML format to the following e-mail address: birs@ecb.europa.eu

NCBs that use manual input procedures shall have in place an adequate set of controls to minimise operational errors and ensure the accuracy and consistency of the FVC updates reported via the RIAD Data Exchange System.

4.   Acquisition and error acknowledgements

On receipt of the updates, i.e. the latest available information, the ECB shall immediately carry out the validation checks as set out in Part 2 of Annex VIII to this Guideline.

The ECB shall immediately return to the NCBs: (i) an acquisition acknowledgement containing summary information of the FVC updates that have been processed and successfully implemented in the ECB’s FVC dataset; and/or (ii) an error acknowledgement containing detailed information on the FVC updates and the validation checks which have failed. In accordance with Part 1 of Annex VIII to this Guideline, the ECB shall implement, in whole or in part, an incomplete, incorrect or missing “object_request” variable or shall reject it.

On receipt of an error acknowledgement, NCBs shall take immediate action to transmit corrected information. If immediate action is not feasible, they shall have a maximum of two working days, i.e. until 17.59 Central European Time (CET) on the second working day, to report corrected information, following the deadline for reporting set out in paragraph 2.

5.   Dissemination of the list of FVCs

The ECB shall take a copy of the FVC dataset, excluding values marked as confidential, at 18.00 CET on the second working day following the deadline for reporting referred to in paragraph 2. The updated information shall become available by 12.00 CET the next day.

The ECB shall not publish values which have been marked as confidential.

At the same time as releasing the list of FVCs on its website, the ECB shall send it to the NCBs via the RIAD Data Exchange System.’;