BCL Circular 2006/196 of 14 July 2006 — Balance of Payments Collection: New Collection Module for Portfolio Investments

Luxembourg, 14 July 2006

To all credit institutions and to the financial services of the Post and Telecommunications Company

CIRCULAR BCL 2006/196
Balance of Payments Collection
New Collection Module for Portfolio Investments

Ladies and Gentlemen,

1. Introduction

The Grand Ducal decree of 10 November 1944, as amended by the law of 28 June 2000, mandates the Banque centrale du Luxembourg (BCL) and the Central Service for Statistics and Economic Studies (STATEC) to jointly establish a balance of payments for Luxembourg. The BCL is additionally responsible for establishing the global external position of Luxembourg. These two statistics are compiled in particular to enable Luxembourg to meet its international obligations, and notably those imposed by the European Central Bank (ECB).

In this context, the BCL is required to comply with the rules established by the ECB, and in particular with the Guideline of 16 July 2004 regarding statistical reporting obligations established by the European Central Bank concerning balance of payments and global external position statistics and the framework for the dissemination of foreign exchange reserve data (ECB/2004/15). Guideline 2004/15 indicates in particular that the BCL is required to compile, from December 2007 onwards, the "Portfolio Investments" component of the balance of payments and the global external position based on data collected on a security-by-security basis. To this end, central banks may choose between the following four collection models, defined in Annex 6 of Guideline 2004/15:

1. monthly security-by-security stocks and monthly security-by-security flows
2. quarterly security-by-security stocks and monthly security-by-security flows
3. monthly security-by-security stocks and flows calculated by central banks
4. quarterly security-by-security stocks and monthly aggregated flows.

The choice of the module was the subject of intensive consultations within the balance of payments advisory commission. The members of this commission expressed their preference for model 3), which avoids the collection of flows.

The BCL has ultimately opted for model 3), namely the collection of monthly stocks. It will produce a collection of instructions detailing the statistical obligations of credit institutions and financial services of the Post and Telecommunications Company in this matter. This latter document will be made available before the end of the current year. The general principles of the new collection module are detailed below.

Credit institutions will be required to transmit, for the first time under the new instructions, positions relating to the end of December 2007 in January 2008.

2. Principles of security-by-security collection

Credit institutions must report positions in securities recorded on their balance sheet as well as positions in securities held on behalf of their resident clients. The totals of securities positions reported in the security-by-security collection must be equivalent to the totals of the corresponding lines in statistical table S 1.1 and to the totals by resident client sector of the corresponding items in statistical table S 2.5.

Securities held by credit institutions on behalf of resident clients who are themselves subject to the "security-by-security" collection are excluded from the collection. This is the case, for example, for securities held by a credit institution on behalf of another credit institution (and therefore currently included in the off-balance sheet of statistical report S2.5). A list of economic sectors of residents for which credit institutions will not have to report securities positions will be included in the final collection of instructions.

2.1. Frequency and submission deadline

The frequency of transmission of the security-by-security collection is monthly. The currently planned submission deadline is 19 working days after the last day of the month to which the data relates.

2.2. Data to be transmitted to the BCL

For all securities positions subject to the collection, the credit institution is required to report the following variables:

• the closing date;
• the economic sector of the holder;
• the nominal capital and the currency of the nominal for debt securities for which prices are expressed as a percentage;
• the number of securities for equity securities and debt securities for which prices are expressed in currencies;
• the amount recorded on the balance sheet or off-balance sheet;
• the type of holding;
• the balance sheet code (asset, liability, off-balance sheet);
• the balance sheet line or off-balance sheet item corresponding to statistical table S2.5;
• the international identification code of the security ("International Securities Identification Number" hereinafter ISIN) if such a code has been assigned by a numbering agency;
• the security identification code used internally by the reporter if no ISIN has been assigned by a numbering agency. In this case, the following additional variables must be reported:
  o the security description; o the country of residence of the security issuer; o the economic sector of the issuer; o the currency of the security; o the type of security (debt security, investment fund shares, listed shares or unlisted shares); o the issue date for debt securities; o the final maturity date for debt securities; o the "pool factor" for debt securities; o the coupon type (fixed, floating, etc.); o the coupon frequency; o the date of the last coupon payment; o the coupon rate.

2.3. Securities subject to the collection

The definitions in force within the framework of statistical balance sheets S1.1 and S2.5 remain applicable within the framework of the "security-by-security" collection.

2.4. Quantity of securities and amount

The quantity of securities is determined according to the type of security and is expressed:

• in nominal capital for all debt securities. The currency of the nominal must be provided to indicate the currency in which the nominal capital is expressed. The gradual principal repayment ratio ("pool factor") must not be taken into account in the assessment of the nominal;
• in number of securities, in other cases. The currency must not be provided when the quantity is expressed in number of securities.

The fact that securities are traded according to a lot size must not be taken into account for the determination of the quantity. The number of individual securities must be reported independently of trading lot sizes.

The amount recorded on the balance sheet or off-balance sheet must be expressed in the currency of the establishment's balance sheet. In the case of short selling, the total amount of positions must be reported with a negative sign as well as the indication of the type of holding "short selling". Off-balance sheet securities must be valued at the market price on the day the position is established for listed securities. Off-balance sheet debt securities must be valued at the market price excluding accrued interest ("clean price").

2.5. Type of holding

For statistical purposes, a distinction must be made between the following types of holding:

Securities held without temporary transfer operations Debt securities issued Securities received under repurchase agreements Securities borrowed Securities given under repurchase agreements Securities lent Securities sold short

2.6. Transmission of data

The XML (eXtensible Markup Language) exchange format must be used for the transmission of statistical data. A syntax document will be made available to reporters.

2.7. Synoptic table of required variables

The transmission of the variables shown in grey in the table is mandatory:

Data by security	Data by security	Aggregated Data	Aggregated Data	Aggregated Data
With ISIN	Without ISIN	Totals
Balance sheet code	x
Economic sector of the holder	x
Type of security identification code	x	x
Security code number	x	x
Type of holding	x	x
Nominal capital	x	x
Currency of the nominal	x	x
Number of securities	x	x
Balance sheet line / off-balance sheet item	x
Amount recorded on balance sheet / off-balance sheet	x
Security description		x
Currency of the security		x
Type of security			x
Country of issuer			x
Economic sector of the issuer			x
Issue date (1)			x
Final maturity date (1)			x
Pool factor (1)			x
Coupon type (1)			x
Coupon frequency (1)			x
Date of last coupon payment (1)			x
Coupon rate (1)			x

(1) only for debt securities

3. Integration into the current balance of payments collection

The Ministerial decree of 13 November 1998 - publishing six regulations of the Belgian-Luxembourg Exchange Institute - remains applicable beyond 2008. In particular, reporters must therefore continue to transmit the statistical data established according to the concepts defined in the annex of Circular BCL 2001/166 "Instructions concerning the modifications to the data collection related to the balance of payments".

For all information concerning the application of this circular, please contact Mr. Germain Stammet (tel. 4774 4279) or Mr. Philippe Arondel (tel. 4774 4269). We would also be grateful if you would forward this circular to your software provider if appropriate. The BCL will organize, upon request, an information session on the new collection module.

Please accept, Ladies and Gentlemen, the assurance of our most distinguished sentiments.

BANQUE CENTRALE DU LUXEMBOURG
The Management

Serge KOLB Andrée BILLON Yves MERSCH