ANNEX II
FEEDS AND OUTPUT FEED DATA ATTRIBUTES COVERED BY THE DQM FRAMEWORK
The DQM framework shall cover the following feeds which support different uses:
— | Feed supporting external statistics (EXT 1.0) |
— | Financial vehicle corporations feed supporting statistics on financial vehicle corporations (FVC 1.0) |
— | Investment fund feed supporting statistics on investment funds (IF 1.0) |
— | Securities-holding feed supporting securities holding statistics (SHS 1.0) |
— | Government securities funding feed supporting statistics on government securities funding (GSF 1.0) |
Output feed data attributes constituting the supported feeds:
Output feed data attribute name | Description | Applicable feed | ||||
EXT 1.0 | FVC 1.0 | IF 1.0 | SHS 1.0 | GSF 1.0 | ||
International Security Identification Number (ISIN) code | ISIN security identifier. | √ | √ | √ | √ | √ |
Instrument European System of Accounts (ESA) class | Classification of the security pursuant to ESA. | √ | √ | √ | √ | √ |
Debt type | Type of debt instrument. | √ | √ | |||
Is In securities issues statistics (SEC) | An attribute which can be used to identify securities that should be included in ‘current outstanding amounts’, in line with the definitions of ECB SEC. | √ | ||||
Instrument supplementary class | Supplementary attribute allowing identification of whether an instrument should be included in SEC or not. This attribute can take values such as 1 = ‘coupon strip’, 2 = ‘principal strip’ etc. | √ | ||||
Security status | Supplementary attribute allowing identification of whether an instrument should be included in SEC or not. This attribute can indicate whether an instrument is alive or not. | √ | ||||
Asset securitisation type | Type of securing asset. | √ | √ | |||
Is In the Eligible Assets Database | Attribute indicating whether an instrument is eligible to be pledged as collateral for Eurosystem credit operations. | √ | ||||
Nominal currency | Nominal currency of the instrument (International Standards Organisation (ISO) 4217). | √ | √ | √ | √ | √ |
Issue Date | The date on which the securities are delivered to the underwriter by the issuer against payment. This is the date when the securities are available for delivery to investors for the first time. Note: For a strip, this column indicates the date on which the coupon/principal is stripped. | √ | √ | √ | √ | √ |
Maturity date | Date on which the debt instrument is actually redeemed. | √ | √ | √ | √ | √ |
Residual maturity | The residual maturity of an instrument calculated at the date of population. | √ | ||||
Issuer domicile country | Country of legal incorporation (domicile) of the issuer of the security (ISO 3166). | √ | √ | √ | √ | √ |
Issuer ESA sector | Institutional sector of the issuer pursuant to ESA. | √ | √ | √ | √ | √ |
Issuer European Classification of Economic Activities (NACE) classification | Main economic activity pursuant to NACE. | √ | ||||
Amount issued | Amount of the debt instrument that has been raised at issue (nominal value). For a strip, this column indicates the amount the coupon/principal has been stripped at. For a security issued in tranches, under one ISIN, this column indicates the cumulative amount issued so far. Amount issued is denominated in nominal currency. | √ | ||||
Amount outstanding | Outstanding amount in nominal value. For a security issued in tranches, under the same ISIN, this column indicates the cumulative amount issued so far, net of redemptions. Values are given in nominal currency. Amount outstanding is denominated in nominal currency. If nominal currency is missing, amount outstanding is denominated in euro. | √ | √ | √ | ||
Amount outstanding in euro | Amount outstanding converted into euro using the euro exchange rate vis-à-vis nominal currency valid at the date of population. | √ | √ | |||
Market capitalisation | Latest available market capitalisation. Market capitalisation is denominated in nominal currency. If nominal currency is missing, market capitalisation is denominated in euro. | √ | ||||
Yield to maturity | Security specific yield to maturity in percentage terms. | √ | √ | |||
Short name | Short name given by issuer, defined on the basis of the characteristics of the issue and any available information. | √ | ||||
Pool factor | For mortgage backed securities, pool factor or remaining principal balance factor is the outstanding principal balance of the mortgage pool underlying the security divided by original principal balance. | √ | √ | √ | √ | √ |
Quotation basis | Quotation basis of the instrument, e.g. percentage of nominal (percent) or currency per share/unit (units). | √ | √ | √ | √ | √ |
Price value | Last available representative price of the instrument at the reference date on quotation basis and nominal currency, if applicable, of the instrument. For interest bearing securities, the clean price is provided, i.e. excluding accrued interest. | √ | √ | √ | √ | √ |
Price value type | Nature of price value, i.e. if it represents a market valuation, estimated or a default value. | √ | √ | √ | √ | √ |
Monthly average price | Average of normalised prices of the instrument available in the last 30 calendar days up to the reference date on quotation basis and nominal currency, if applicable, of the instrument. | √ | √ | |||
Redemption type | Redemption type, e.g. bullet, perpetual, structured, annuity, serial, irregular, null, stepped. | √ | ||||
Redemption frequency | Number of redemptions per year for a debt instrument. | √ | ||||
Redemption price | Final redemption price. | √ | ||||
Accrued interest | Interest accrued since the last coupon payment or since the accrual start date. For interest bearing securities, adding this value to the price value results in the so-called ‘dirty price’. | √ | √ | √ | √ | |
Accrued income factor | Daily security specific income factor in percentage, calculated following the debtor approach. The factor is based on accruals, i.e. giving the combined effect of accrued interest and income due to difference in issue and redemption price. | √ | √ | √ | √ | |
Coupon type | Type of coupon, e.g. fixed, floating, stepped etc. | √ | √ | |||
Last coupon rate | Last coupon rate in percentage per annum actually paid (annualised rate). | √ | √ | √ | √ | |
Last coupon date | Date of last coupon rate actually paid. The attribute allows for identification of whether the last coupon rate actually paid falls into the reporting period or not. | √ | √ | √ | √ | |
Last coupon frequency | Frequency per year, in which the last coupon rate is being paid out: ‘annual’ transforms into AN, ‘semi-annual’ into SA etc. | √ | √ | √ | √ | |
Dividend amount | Amount of the last dividend payment per share (in dividend amount type) before tax (gross dividend). | √ | √ | √ | ||
Dividend amount type | Dividend amount per share may be denominated in dividend currency or in number of shares. | √ | √ | √ | ||
Dividend currency | ISO 4217 code of the currency of the last dividend payment. | √ | √ | √ | ||
Dividend Settlement date | Settlement date of the last dividend payment. The attribute permits to identify whether the dividend amount paid falls into the reporting period or not. | √ | √ | √ | ||
Last split factor | Stock splits and reverse splits of shares. | √ | √ | √ | ||
Last split date | Date as of which the stock split becomes effective. | √ | √ | √ | ||