FEEDS AND OUTPUT FEED DATA ATTRIBUTES COVERED BY THE DATA QUALITY MANAGEMENT (DQM) FRAMEWORK
Monthly output feed data: The DQM framework covers the following monthly item-by-item output feeds which support the production of statistics:
CSEC feed supporting CSEC aggregate statistics, which are securities issues statistics produced from output data from the Centralised Securities Database (CSDB), (hereinafter the ‘CSEC feed’)
External feed supporting external statistics (hereinafter the ‘EXT feed’)
Financial vehicle corporations (FVCs) feed supporting statistics on financial vehicle corporations (hereinafter the ‘FVC feed’)
Investment fund feed supporting statistics on investment funds (hereinafter the ‘IF feed’)
Securities holdings feed supporting securities holdings statistics (hereinafter the ‘SHS feed’)
Government securities funding feed supporting statistics on government securities funding (hereinafter the ‘GSF feed’)
Insurance corporations feed supporting statistics on insurance corporations (hereinafter ‘IC feed’)
Pension funds feed supporting statistics on pension funds (hereinafter ‘PF feed’)
Daily output feed data: The DQM framework covers the following daily item-by-item output feeds which support different uses and for which the European Central Bank (ECB) national central banks of the Member States whose currency is the euro (hereinafter the ‘NCBs’) will use their best efforts in ensuring the quality of the output feed data:
Feed supporting collateral management (hereinafter ‘CM feed’)
Feed supporting money market statistical reporting (hereinafter ‘MM feed’)
Feed supporting securities financing transactions data store (hereinafter ‘SFT feed’)
Output feed data attributes covered by the DQM framework:
Output feed data attribute name | Description | Applicable feed | ||||||||||
CSEC | EXT | FVC | IF | SHS | GSF | IC | PF | CM | MM | SFT | ||
International Securities Identification Number (ISIN) code | ISIN security identifier (ISO 6166). | √ | √ | √ | √ | √ | √ | √ | √ | √ | √ | √ |
Classification of Financial Instruments (CFI) code | CFI code of the instrument (ISO 10962). | √ | √ | √ | ||||||||
Central securities depository | Code of the central securities depository, i.e. where the material or immaterial security is actually stored and managed | √ | ||||||||||
European System of Accounts (ESA 2010) instrument classification | Classification of the security pursuant to ESA 2010. | √ | √ | √ | √ | √ | √ | √ | √ | √ | ||
Debt type | Type of debt instrument. | √ | √ | √ | ||||||||
Primary asset classification 2 | Primary classification of the instrument (e.g. indicating whether the instrument is a debt security, equity security or fund with some further details) | √ | √ | √ | √ | |||||||
Security is included in CSDB-based securities issues statistics (hereinafter ‘CSEC’) | An attribute which can be used to identify securities that should be included in ‘current outstanding amounts’, in line with the scope of CSEC aggregate statistics. | √ | √ | √ | ||||||||
Instrument supplementary information | Supplementary attribute indicating whether an instrument should be included in CSEC or not. | √ | √ | √ | √ | √ | ||||||
Security status | Status of the instrument. This attribute indicates whether an instrument is alive or not. | √ | √ | √ | √ | √ | ||||||
Security status date | Attribute indicating the date at which the security status attribute has changed from alive to not-alive (or from non-alive to alive). | √ | √ | √ | √ | |||||||
Asset securitisation type | Type of securing asset. | √ | √ | √ | ||||||||
Instrument seniority type | Attribute indicating whether the instrument is guaranteed or not, its rank/level, and whether it is secured or not. | √ | ||||||||||
Security is included in the Collateral and Counterparties Database | Attribute indicating whether an instrument is eligible to be pledged as collateral for Eurosystem credit operations. | √ | √ | |||||||||
Nominal currency | Nominal currency of the instrument (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 were 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 | Original maturity date, i.e. the date of the final contractually scheduled principal payment as defined in the prospectus. | √ | √ | √ | √ | √ | √ | √ | √ | √ | √ | |
Original maturity | The original maturity of an instrument in days calculated at the date the output data were produced. Empty if no maturity date is available. | √ | √ | |||||||||
Residual maturity | The residual maturity of an instrument in days calculated on the date the output data are produced. | √ | √ | √ | ||||||||
Issuer name | Name of the issuer | √ | √ | √ | ||||||||
Issuer organisation alias code | Issuer’s source alias code or issuer’s external alias code according to the alias type. | √ | ||||||||||
Issuer organisation alias type | Issuer organisation alias type indicating the data provider that has provided the alias code or external alias code. | √ | ||||||||||
ESCB issuer identifier | An issuer identification code loaded via a dedicated list corresponding to a type defined in the ESCB issuer identifier type code list. | √ | ||||||||||
ESCB issuer identifier type | The type of ESCB issuer identifier indicating the official ECB code list the identifier is part of (e.g. monetary financial institution (MFI) list, investment fund (IF) list, financial vehicle corporation (FVC) list, or insurance corporations and pension funds (ICPF) list) | √ | ||||||||||
Issuer domicile country | Country of legal incorporation (domicile) of the issuer of the security (ISO 3166). | √ | √ | √ | √ | √ | √ | √ | √ | √ | √ | √ |
ESA 2010 issuer sector | Institutional sector of the issuer pursuant to ESA 2010. | √ | √ | √ | √ | √ | √ | √ | √ | √ | √ | √ |
Issuer European Classification of Economic Activities (NACE) classification | Main economic activity pursuant to NACE. | √ | √ | √ | √ | √ | ||||||
Entity status | Entity status of the issuer of the instrument. This attribute indicates whether an issuer is alive or not. | √ | ||||||||||
Entity status date | Attribute indicating the date on which the entity status attribute changed from alive to not-alive (or from not-alive to alive). | √ | ||||||||||
Issuer legal entity identifier (LEI) | LEI code of the issuer (ISO 17442). | √ | √ | √ | ||||||||
Issuer MFI code | MFI code of the issuer. | √ | √ | |||||||||
Amount issued | Amount of the debt instrument that has been raised at issue (in face value). For a strip, this column indicates the amount the coupon/principal was stripped at. For a security issued in tranches, under the same ISIN, this column indicates the cumulative amount issued so far. The amount issued is denominated in nominal currency. | √ | √ | |||||||||
Amount outstanding | Outstanding amount (in face 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, the 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 the output data were produced. | √ | √ | √ | √ | √ | √ | |||||
Amount outstanding type | Attribute indicating whether the amount outstanding attribute captures total outstanding amounts or the number of instruments outstanding. | √ | √ | √ | ||||||||
Market capitalisation | Latest available market capitalisation. Market capitalisation is denominated in nominal currency. If nominal currency is missing, market capitalisation is denominated in euro. | √ | √ | √ | √ | |||||||
Market capitalisation in euro | Market capitalisation converted into euro using the euro exchange rate vis-à-vis nominal currency valid at the date the output data were produced. | √ | √ | √ | √ | |||||||
Tranche issue date | Date on which a new tranche of an existing security was issued. | √ | ||||||||||
Tranche issue price | Price at which a new tranche of an existing security was offered to the market. | √ | ||||||||||
Partial redemption date | Date on which an existing security was partially redeemed. | √ | ||||||||||
Partial redemption price | Price at which an existing security was partially redeemed. | √ | ||||||||||
Capital increase date | Date on which the capital increase took place | √ | ||||||||||
Capital increase price | Price at which new shares were offered to the market | √ | ||||||||||
Capital decrease date | Date on which the capital decrease took place | √ | ||||||||||
Capital decrease price | Price at which existing shares were bought back and subsequently cancelled | √ | ||||||||||
Yield to maturity | Security specific yield to maturity in percentage terms. | √ | √ | √ | ||||||||
Short name | Short name of the instrument, 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. | √ | √ | √ | √ | √ | √ | √ | √ | |||
Has embedded options | Attribute indicating whether the instrument has an embedded redemption option. | √ | ||||||||||
Quotation basis | Quotation basis of the instrument, e.g. percentage of nominal (percent) or currency per share/unit (units). | √ | √ | √ | √ | √ | √ | √ | √ | √ | √ | |
Price date | Date that the price information provided in ‘Price value’ refers to. | √ | √ | √ | ||||||||
Price value | Last available representative price of the instrument at the reference date expressed in the quotation basis and the 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 expressed in the quotation basis and the nominal currency, if applicable, of the instrument. | √ | √ | √ | √ | |||||||
Issue price | Issue price of individual securities as paid by the investors. | √ | ||||||||||
Redemption type | Redemption type, e.g. whether it is bullet, perpetual, structured, annuity, serial, irregular, or stepped. | √ | √ | |||||||||
Redemption frequency | Number of redemptions per year for a debt instrument. | √ | √ | |||||||||
Redemption currency | Currency of the payment of the principal (ISO 4217). | √ | √ | |||||||||
Redemption price | Final redemption price of individual securities. | √ | √ | √ | ||||||||
Accrual start date | Date on which the interest starts to accrue for interest paying debt instruments | √ | √ | √ | ||||||||
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. | √ | √ | √ | √ | √ | √ | √ | √ | √ | ||
Accrued income (Creditor) | Daily, security specific income, in %, calculated following the creditor approach. | √ | ||||||||||
Coupon type | Type of coupon, e.g. whether it is 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 within the reporting period or not. | √ | √ | √ | √ | √ | √ | √ | √ | |||
Last coupon frequency | Frequency per year at which the last coupon rate is paid out. | √ | √ | √ | √ | √ | √ | √ | √ | |||
Coupon currency | Coupon currency (ISO 4217). | √ | √ | √ | √ | |||||||
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 | Currency of the last dividend payment (ISO 4217). | √ | √ | √ | √ | √ | √ | |||||
Dividend Settlement date | Settlement date of the last dividend payment. The attribute permits to identify whether the dividend amount paid falls within the reporting period or not. | √ | √ | √ | √ | √ | √ | |||||
Last split factor | Split factor for stock splits (and reverse splits) of shares, defined as (number of shares before the split) / (number of shares after the split). | √ | √ | √ | √ | √ | √ | |||||
Last split date | Date as of which the stock split becomes effective. | √ | √ | √ | √ | √ | √ | |||||
Fund asset structure type | Type of (majority of) underlying assets of the fund. | √ | √ | |||||||||