Annex I

DQM target

DQM metrics

Implementation

Output feed data attributes

DQM threshold basis

Target 1: Data stability – stock data

Concept: The metric shall be defined for each country of residence/sector combination as a volume weighted ‘index of change’, weighted with monetary amounts. An index value of 1 shall indicate that the respective attribute has not changed for any of the underlying securities, while an index value of 0 shall indicate that the respective attribute has changed for all securities. If an index drops below 1, individual securities shall be identified with the changed attribute that has caused the index drop with a view to verifying the change until the threshold is met. Events triggering an index change: For discrete attributes, any month-on-month difference in the attribute is considered to trigger an index change. For continuous attributes, any month-on-month difference larger than 25 % is considered to trigger an index change. Coverage: This DQM metric shall cover all investment fund shares, equity and debt securities including certificates which do not have a maturity date older than three months.

Target 1 assesses the stability of stock data. Unverified changes to CSDB attributes shall not decrease the share of stable data beyond the DQM threshold for each of the following European System of Accounts (ESA) (¹) issuer sectors:

Explicit attributes: Issue date for debt, maturity date for debt, nominal currency, quotation basis, instrument ESA class, issuer country of residence, issuer ESA sector, issuer European Classification of Economic Activities (NACE) classification, amount outstanding, number of shares outstanding for quoted shares.

Amounts outstanding or market capitalisation in euro, expressed as share of stock data.

Target 2: Data accuracy – new issues and redemptions; net issuances

Concept: The metric shall be defined for each country of residence/sector combination and shall cover new issues, redemptions and outstanding amounts of debt securities quoted in percentage. The metric shall relate the net issuance activity during the month to the outstanding amount at the end of the previous month (percentage change) and shall monitor the relative development of outstanding debt. It shall be possible to access disaggregated data down to the individual new issues and redemptions which have caused the change in outstanding amounts. These developments shall be verified until the threshold is met.

Target 2 assesses new issues and redemptions against the respective stock data. Unverified outstanding amount data of new issues and redemptions of debt securities quoted in percentage shall in net terms not exceed the DQM threshold for each of the following ESA issuer sectors:

Explicit attributes: amount outstanding. Implicit attributes: Issue date, maturity date, nominal currency, quotation basis, instrument ESA classification, issuer country of residence, issuer ESA sector.

Amounts outstanding in euro, expressed as relative development compared to respective stock data.

Target 3a: Data accuracy – support correct sector allocation and data extraction by issuer

Conceptual background: The CSDB links issuer and instrument information on a relational basis which can be described as ‘one to many’, i.e. one issuer can be related to many instruments, while each instrument is related to only one issuer. This instrument-issuer link is made via individual issuer identifiers provided by the different input data providers. These identifiers differ between the data providers as there is, so far, no common standard but they should be consistent. If input data providers provide inconsistent (clashing) issuer identifiers for the same instrument, i.e. if they disagree on the issuer, the instrument cannot be allocated to a definite issuer and ends up in a ‘clash group’. Clash groups can still be classified correctly by country and sector but there is no consistent link to the relevant issuer of the instrument. Instruments in clash groups prevent the consistent and reliable extraction of all instruments issued by a certain issuer. Instruments in clash groups increase the risk of misclassification by country of residence or sector. Concept: For each country of residence the metric shall identify the instruments in clash groups and shall relate them as a percentage share in terms of counts or in terms of monetary amounts to all instruments for that country. Coverage: The metric shall cover all instruments in the CSDB.

Target 3a assesses the correct identification of the issuer population. Where there is a disagreement on the issuer of an instrument, i.e. instruments in ‘clash groups’, such instruments shall not exceed the DQM threshold.

Explicit attributes: Issuer identifier used for grouping.

Amounts outstanding in euro referring to instruments in clash groups, expressed as a percentage share of all instruments.

Target 3b: Data accuracy – support correct sector allocation and data extraction by issuer

Conceptual background: The CSDB links issuer and instrument information on a relational basis which may be described as ‘one to many’, i.e. one issuer can be related to many instruments while each instrument is related to only one issuer. This instrument-issuer link is made via individual issuer identifiers which are provided by the different input data providers. These identifiers differ between the data providers as there is, so far, no common standard but they should be consistent. If no data provider provides an issuer identifier for a given instrument, there is a risk that this instrument will not be allocated to a definite issuer and will end up in a ‘stand-alone group’ consisting only of this instrument. Stand-alone groups may still be classified correctly by country and sector but there is no consistent link to the relevant issuer of the instrument. Instruments in stand-alone groups prevent the consistent and reliable extraction of all instruments issued by a certain issuer. Instruments in stand-alone groups increase the risk of misclassification by country of residence or sector, given that they are often provided with incomplete information. Concept: For each country of residence the metric shall identify the instruments in stand-alone groups and shall relate them as a percentage share in terms of counts or in terms of monetary amounts to all instruments for that country. Coverage: The metric shall cover all instruments in the CSDB.

Target 3b assesses the correct identification of the issuer population. Where there is no reliable information on the issuer of an instrument, i.e. instruments in ‘stand-alone groups’, such instruments shall not exceed the DQM threshold.

Explicit attributes: Issuer identifier used for grouping.

Amounts outstanding in euro referring to instruments in stand-alone groups, expressed as a percentage share of all instruments.

Target 4: Data accuracy – amount outstanding of debt securities including certificates

Concept: The metric shall aggregate amounts outstanding for debt securities including certificates by the country of residence of each issuer and by issuer sector pursuant to the concept of securities issues statistics (SEC). This aggregate shall be compared to the respective SEC figure and the percentage deviation of the CSDB data shall be calculated. Unverified and unexplained differences shall not exceed the DQM threshold.

Target 4 compares CSDB output data to external benchmark data. Unverified and unexplained differences between aggregated CSDB data and the respective information from ECB SEC or other reliable benchmarks shall, subject to the availability of such benchmark data, not exceed the DQM threshold for the same reference date for each of the following ESA issuer sectors:

Explicit attributes: Amount outstanding in euro, market capitalisation in euro. Implicit attributes: issue date, maturity date, currency, issuer ESA sector, country of residence.

Amounts outstanding or market capitalisation in euro, expressed as a percentage difference between CSDB and external benchmark.

Target 5: Data accuracy – market capitalisation equity

Concept: The metric shall aggregate market capitalisation for equity shares by country of residence of each issuer and issuer sector pursuant to the concept of securities issues statistics. This aggregate shall be compared to the respective SEC figure and the percentage deviation of the CSDB data shall be calculated. Unverified and unexplained differences shall not exceed the DQM threshold.

Target 5 compares CSDB output data to external benchmark data. Unverified and unexplained differences between aggregated CSDB information and the respective information from ECB SEC or other reliable benchmarks shall not, subject to the availability of benchmark data, exceed the DQM threshold for the same reference date for each of the following ESA issuer sectors:

Explicit attributes: Amount outstanding in euro, number of shares outstanding for quoted shares. Implicit attributes: nominal currency, issuer ESA sector, country of residence, price value for quoted shares (outlier check only).

Amounts outstanding or market capitalisation in euro, expressed as a percentage difference between CSDB and external benchmark.

Target 6: Data accuracy – issuer classification

Concept: The metric shall rank issuers for each country of residence/issuer sector combination pursuant to their total security-based liabilities (equity and debt combined). The metric shall also indicate absolute rank changes between different issuers to facilitate identification of significant outliers in outstanding amounts or market capitalisation. The country of residence and sector classification of the issuer shall be verified up to the DQM threshold. Coverage: The metric shall cover all investment fund shares, equity and debt securities which do not have a maturity date older than three months.

Target 6 assesses the statistical classification of issuers. The statistical classification of the issuers up to the DQM threshold shall be verified for each of the following ESA issuer sectors:

Issuer ESA sector, country of residence.

Amounts outstanding or market capitalisation in euro, expressed as ‘capitalisation’, i.e. amounts outstanding plus market capitalisation per issuer.