Monthly securities report – Frequently asked questions
On this page you find the answers to frequently asked questions on the monthly securities report (MSR).
- Where do I find information about my reporting obligation?
You can find information about the submission and content of your report in the MSR-manual, available on the MSR-webpage. If you cannot find the answer to your question in the manual, than we advise you to check this FAQ page.
If both the manual and FAQ do not provide the answer to your question, then your account manager is your first contact. His or her contact details were given to your institution in a letter from DNB.
- Do I need to round amounts in my report?
Yes, you need to round to whole amounts. You are allowed to report amounts up to two decimals – you will be able to submit your report without any problems. However, if you report more than two decimals, your report will be rejected by our systems.
- How do I know which adjustments will be made to the taxonomy, and when?
A new version of the MSR taxonomy will be published start of May 2020. This version will contain adjustments following the test phase of the MSR, which ends end of March 2020. After the release of this version, you will have a minimum of two months to submit a test reporting obligation based on this adjusted taxonomy. The firs ‘real’ reporting obligation, over July 2020, can be submitted from 1 August 2020.
Following the start of the MSR in 2020, adjustments to the taxonomy will only be made sporadically. In case of a new release, all reporting institutions will be made aware of this event via email at least four months in advance. All adjustments to the previous version will be outlined.
- My submission was rejected. What do I do?
If your submission is rejected, it is important to consider the error messages in your feedback report. This feedback report is available to you after the validation of your report has been finished. You find this feedback report by opening the relevant reporting obligation in DLR.
Further explanations of some frequently occurring error messages and possible causes you can find in the document ‘ MSR reporting via DLR (instructions)’.
You can find an overview of all possible error messages on the MSR-webpage in the Excel document ‘ MSR v2.0.0 – Monthly Securities Reporting Annotated templates and assertions’. This document contains a tab ‘assertions’. This tab contains a commentary on all validation rules that a cell contains. In the MSR-manual you find an explanation of the most frequently occurring error messages.
If you suspect that your report has been accidentally rejected, please contact your account manager.
- What is the difference between XML and XBRL?
XBRL is an open standard for the composition and exchange of reports and data via the internet, and is based on XML. For more information about XBRL, we would like to refer you to the website of XBRL international, www.xbrl.org.
- How do I correctly use the excel template?
You can submit your report either by submitting an XBRL file, or by filling out an Excel-template. Submitted Excel-templates are subsequently transformed into an XBRL file by our tooling. Please note that to use the template the following requirements should be met:
- No changes should be made to the layout of the forms in the template (do not add new columns, change column names etc).
- The formatting of all reported rows must be the same as the formatting of row 8 (yellow and blue fields)
To use the Excel template:
- Download the Excel template from your reporting obligation in DLR;
- Drag down the formatting of the first rows to the number of rows that you intend to complete;
- Complete each row by either typing in the relevant values or pasting data from other sources, whilst keeping the original formatting. Rows that are filled out, but do not meet the required formatting will not be recognized as data points by our transformation tooling.
- Can I copy and paste data into the Excel template?
Please note that in the Excel-template, you need to drag the formatting from the first row to the exact number of rows that you intend to complete. Failure to do so will result in your data not being recognized by our system. This means that we will see the submission of an empty report to the extent that the data that is filled in is outside the formatted rows.
To copy and paste data into the Excel template, please first copy the formatting of the first row, and then paste your data into these formatted rows, while keeping the formatting of the Excel template.
- Will the ending position of my previous report be filled out automaticall as beginning position of the next report?
You need to fill-out the position at the beginning of the month yourself. This position needs to correspond to the ending position of your previous report, with the exception of your first reporting obligation. If the ending position of the previous month turns out to be incorrect, you will need to resubmit a report for this reporting period with the correct amount by using the ‘herrapportage’ tool.
- What is the difference between ‘shorting’ and lending a security?
When a security is lent to a third party, for example as part of a repo, then it is regarded as the holding of the lending party as long as the costs and benefits of holding the piece accrue to the lending party. In other words, only the party that is the owner in economic terms should report the security.
The ‘shorting’ of a security is the subsequent borrowing and sale of a security. From the sale up until its redemption there are two parties to which the costs and benefits of the security accrue: the original lender and the party to which the security has been sold by the borrower. For that reason the party that uses the security for the ‘short’ should report a negative holding of the security in the MSR.
- Which exchange rate should I use to convert amounts to EUR?
In principle, the end-of-month exchange rate is used to convert end-of-month positions to foreign currency to EUR. To convert transactions, please use the exchange rate as of the transaction date.
Changes in the amount outstanding due to fluctuations in the exchange rate are calculated by multiplying the difference between the exchange rate at the end and start of the reporting month with the opening amount outstanding, net of any transactions. Please note that ‘other changes’ are not transactions.
- How do I report in the case of a merger/acquisition/split of a company?
The reporting of corporate actions depends on whether it concerns the reporting of holdings of a company that undergoes a corporate actions, or that your own institution is subject to an organizational change.
Chapter 7 in the MSR manual provides a commentary on the reporting of the most frequently occurring corporate actions, for both the liabilities as the asset side. In case you cannot find instructions for the particular corporate action your institution is subject to, please contact your account manager.
- How do I report securities with a redemption value higher or lower than 100% of its reference value?
The face value is often considered to equate the redemption value in the case of a zero-coupon bond. Often these values correspond, but this is not necessarily the case. The face value is also called the ‘reference’ value of the bond. The price of the bond at issuance and any other moment in time may deviate from this reference value. Often the redemption value – the principle amount paid by the issuer at maturity – is also the face value of the bond, and the bond is issued below par (or above, in case of negative interest). In that case, the redemption value is 100% of the reference value.
However, it can also occur that the redemption value exceeds the reference value. That means that the face value (= reference value) and redemption value are not the same. If you are asked to report the face value of a security, you must report the reference value which you find in the prospectus of the security.
- Are securities purchased or sold in a private placement reported?
This depends on the ‘tradability’ of the instrument. If the instrument are traded on an exchange, they are ‘listed’.
If private placement are not directly tradable, because approval from the issuer is required for example, the instruments are not considered to be ‘listed’ and therefore must not be reported in the MSR.
- Are subscription rights and warrants to be reported?
No, subscription rights and warrants must not be reported in the MSR. These instruments are options (derivatives) and, with that, are not considered ‘securities’ under the definition used in this report.
The moment when these options are executed (and with that turned into securities) a purchase or issuance needs to be reported for the transaction value (the execution price multiplied with the number of units / nominal value).
- I would like to submit more than one test report.
In the DLR a test-report over December 2019 is open for each reporting institution to submit. After submitting your first test report, you can resubmit an unlimited number of test-reports by using the functionality ‘herrapporteren’ (re-report).
- What sectors in my DRA reporting obligation correspond with the ESA 2010 sector classification?
Section 8.5 in the MSR manual outlines the ESA 2010 sector classification. Chapter 2 of the ESA 2010 handbook provides a more elaborated description of the official statistical classification. If in doubt, please always follow the classification as described by the ESA 2010 handbook. The below table shows a mapping of the DRA sector codes to the sector classification used in the MSR.
Sector code DRA Corresponding sector classification in MSR ESA 2010 code MFI Deposit taking corporations S.122 NFI Non-financial corporations S.11 OFI Financial vehicle corporations engaged in securitisation S.125 OFI Other financial corporations excluding financial vehicle corporations S.125 OFI Financial auxiliaries S.126 OFI Captive financial institutions and money lenders S.127 OVH General government General government PFN Pension funds S.129 VZI Insurance corporations S.128 MON Central Bank S.121 OVR Households S.14 OVR Non-profit institutions serving households S.15 NTG Bestaat niet meer Niet in DRA Money market funds S.123 Niet in DRA Non MMF investment funds S.124
- I only have dirty prices available in my booking system, and no clean prices.
If your system does not contain information on clean prices, you will need to convert dirty prices to clean prices based on the bond’s characteristics. Using the coupon rate, last coupon date and day count convention, you can calculate the clean price of a bond at any moment in time.
Clean price = dirty price – accrued interest
Accrued interest = next coupon payment * (number of days since last coupon payment / day count base)
- How do I report the accrued interest on floating-rate bonds for which the next coupon rate is determined only after the previous coupon payment?
If the next coupon rate is unknown at the moment of reporting, you must make an estimate of the accrued interest during the reporting period based on the previous coupon rate. For the first of such floating coupon periods you base your estimate of the next coupon rate on relevant market rate(s).
Any differences between the actual coupon payment and the estimated accrued interest must be reported in the column ‘Revaluation and other changes’ as to reconcile the opening and closing position of accrued interest. Another option is to correct reported accrued interest in previous periods after the coupon has been determined, using the ‘herrapportage’ (re-reporting) tool in DLR.
- What is an ‘entrypoint’? How do I know which entrypoint is relevant to my institution?
The MSR report consists of a number of forms. Not all forms are relevant to every type of institution. Therefore, your report consists of a subset of forms. We call such a subset an ‘entrypoint’.
There are five entrypoint in the MSR”:
- Msr-cust – forms relevant to custodians
- Msr-hold – forms to report holdings (for firms that do not issue securities)
- Msr-shsi – forms to report both holdings and issuance of securities
- Msr-sv – forms relevant to securitisation vehicles
- Msr-all – this set contains all of the forms in the above mentioned entrypoints. This entrypoint is for information purposes only.
You find the entrypoint that is relevant to your institution in the letter and/or email from DNB in which your institution is appointed as reporting institution for the MSR. You can download the Excel template of the entrypoint (MSR Excel templates v2.0.0) on the MSR-page. Please select the Excel file with the filename that corresponds to your institution’s entrypoint.
- What should I report as the starting position of a security on my first MER-report?
The position at the beginning of the month in your first MSR obligation should correspond to the true number/amount of securities outstanding or held on the first day of the reporting month. If you have (or had) a DRA reporting obligation in the month/quarter previous to the start of you MSR obligation, the starting position reported in the MSR should match the ending position in your DRA report for relevant securities. If there is a difference between the ending position as reported in DRA and true starting position at the beginning of the MSR reporting month (because of a reporting error in your DRA report), then you should report the difference as ‘other changes’ in your MSR report.
- My institution has issued more than one tranche on one ISIN code (or other security identifier type). How should this be reported?
Tranches should be reported in the month of issuance in the columns ‘issuance (face value)’ and ‘Issuance price’. All tranches on one ISIN code are reported on one row (the amount outstanding should be summed). It is not possible to report tranches with the same ISIN code on multiple rows, as each row should have a unique identifier.
On you first mandatory report you should sum the amount outstanding on all tranches of one ISIN code and report this amount in one row.
- Should the reported information be reconciling?
That depends. It is not always possible to make the reported information closing (which means: the ending position can be calculated on the basis of the reported starting position, transactions and other changes). This is because the basis of the reported information (face value, market value or units) differs per column. For transactions the transaction value is required, while the beginning and ending positions are often in face value or units.
When you don’t report any sales or purchases (for forms concerning holdings) or issuances or redemptions (forms concerning issuance), the reconciliation of the reported amounts should indeed be closing. For debt securities the reconciliation of accrued interest should always be closing.
You can look up the rules per forms when it comes to reconciliation by downloading the Excel document “Monthly securities reporting annotated templates and assertions.xlsx”, selecting the ‘assertions’ tab and filtering in column H on the relevant form. All validation rules that are relevant to the form will be displayed, including rules concerning reconciliation.