julkinen reporting info 22 may 2014 22 may 2014. julkinen agenda revamp of data collection in...
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Julkinen
Reporting Info 22 May 2014
22 May 2014
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2Julkinen
Agenda
• Revamp of data collection in January – Jyrki Lehtinen
• Money market statistics – Ellu Hintikka• Granular credit database – Ellu Hintikka, Essi
Tamminen, Jyrki Lehtinen, Saija Kuivalainen• Other matters – Ellu Hintikka
22.5.2014
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3Julkinen
Granular credit database – background
• The financial crisis has highlighted the need for more detailed information on types of loans and credit risk in the following areas:– Monetary policy analysis and evaluation of monetary
policy transmission mechanism– Monetary policy operations – Euro area collateral management – Macroeconomic stability surveillance and analysis– Statistics and other analyses – Research – Banking supervision
22.5.2014
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4Julkinen
Granular credit database – background
• Decision ECB/2014/6 on the organisation of preparatory measures for the collection of granular credit data by the European System of Central Banks
• www.ecb.europa.eu/ecb/legal/pdf/en_dec_2014_6.pdf
• Requires that central banks start preparatory measures for constructing granular credit databases. Progress reports on preparatory measures to be submitted twice a year to the Statistics Committee/Governing Council.
22.5.2014
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5Julkinen
Granular credit database – objective (1/2)
• Flexible, multi-purpose database containing a core set of harmonised data on types of loans, off-balance-sheet credit exposures, credit derivatives, securities
• May include aggregated data • Covers credit institutions and other loan-providing
financial institutions • Construction in phases (national decisions
permitted); first phase completed by the end of 2016
22.5.2014
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6Julkinen
Granular credit database – objective (2/2)
• Can be combined with other databases, such as – RIAD: ESCB Register of Institutions and Affiliates
Database– SHS: securities holiding statistics– CSDB: centralised securites database
• By loan type and type of borrower
22.5.2014
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Julkinen
Analytical credit database – ACDB
Analytical credit
database
Reporters:
BSI REPORTERS
Content of database:
DEFINITION
OF LOAN
Structure of database:
DATA CONTENT
Frequency:
QUARTERLY
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Julkinen
Analytical credit database – ACDB
• Quarterly• Reporting lag - openFrequency
• RATI reporters• Requirement for a meaningful databaseReporters
• Credit risk exposure• Broad definition
Content of database
• Loan-by-loan (not borrower-by-borrower)Structure of database
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Essi Tamminen 9Julkinen
Expense survey
• Expense survey is part of the ECB’s cost-benefit analysis
• Expenses are evaluated nationally for different attributes and finally combined to cover the entire euro area/EU New IT systems and processes are evaluated (Finland has not had a loan register or a corresponding credit database)
16.5.2014
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Essi Tamminen 10Julkinen
Tables in expense survey
• TABLES A-E• Table A
– Expenses estimated ’by package’ that include attributes– By borrower, by reporting entity, quarterly– Sources
• Table B– Includes other questions relating to the setting up of the system, covering scope, threshold
values, loan type, quality assurance– Table B is filled in after table A
• Table C– Investigates data collection in a consolidated manner
• Table D– Investigates connections of future database to other existing databases; to be filled in by
central banks only
• Table E – Investigates potential long-term benefits of database to reporters
• Table F – Solicits necessary additional information
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Julkinen
Analytical credit database – ACDB
The type of product as recorded on the internal system of the Significant Bank. To be completed regardless if on- or off-balance sheet. Examples in EBA/ITS/2013/3 Annex V 2.41 (a)-(l):• on demand and short notice, • credit card debt, • trade receivables, • finance leases, • reverse repurchase loans, • advances that are not loans, • project finance loans, • loans collateralised by immovable property, • other collateralised loans, • other debt securities, • auto finance (these are examples, other values are possible)• etc.
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Julkinen
Basic structure of analytical credit database
CREDIT DATABASE
//
LUOTTO-TIETOKANTA
1. LENDER / BORROWER ATTRIBUTES //
LUOTONANTAJAN JA LUOTONOTTAJAN TIEDOT
2. ATTRIBUTES //
LUOTON PERUSTIEDOT
3. BALANCE SHEET STATUS //
LUOTON TASETIEDOT
4. LOSS MEASURES //
LUOTON TAPPIOT
5. RISK MEASURES //
RISKIMITTARIT
6. VALUATION MEASURES //
ARVOTIEDOT
7. REPORTING FEATURES //
RAPORTOINNIN FREKVENSSI JA RAPORTOINTIVIIVE
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13Julkinen
Basic view of expense survey
Attributes Setting upexpenses
Running expenses
Data system Setting-up expenses
Running expenses
Benchmark (BK) basic
data
2. Basic credit data RA % from expenses
Currency
Interest rate
Fixed interest-rate period
Package 1 +
additional attributes
Reference rate
Interest rate margin
Package 2 + additional attributes
Modified remaining duration
Weighted remaining duration
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14Julkinen
Definitions of rows and columns
22.5.2014
Setting-up expenses
Running expenses
Data system Setting-up expenses
Running expenses
Benchmark basc data
(BK)
Attributes for the ’packages’
REPORTING ENTITY % from expenses
Benchmark basic data (BK): minimum data requirements for a given group of attributes
Additional details X: supplementary data for a given group of attributes
Additional detail 1
Attributes: Definitions package supplied with data collection
Setting-up expenses: Expenses arising from the requirements before reporting for the first time. Expenses are estimated using the expense estimate scale.
Additional detail 2
Running expenses: Running supply of data according to requirements. Expenses estimated using the expense estimate scale..
Data system: System from which data is sourced.
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Essi Tamminen 15Julkinen
Expense estimate scale
16.5.2014
Setting-up expenses Maintenance expenses
1 Minor changes in IT systems (or none at all) and minor increase in volume of labour (including training)
Minor increase in volume of labour (or no increase)
2 Some small changes in IT systems and volume of labour (including training
Small increase in volume of labour
3 Relatively large changes in IT systems and relatively small increase in volume of labour
Relatively large increase in volume of labour
4 Significant changes in IT systems and volume of labour (including training)
Signficant increase in volume of labour
5 Fundamental changes in IT systems and volume of labour (including training)
Fundamental increase in volume of labour
NF Classification not possible
(requires comments)
Classification not possible
(requires comments)
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16Julkinen
Source of data
• Internal source of data:– (A) accounting system– (R) risk-based system– (O) other
22.5.2014
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17Julkinen
Filling in the expense survey
Attributes Setting-up expenses
Running expenses
Data system Setting-up expenses
Running expenses
Benchmark (BK) basic
data
2. Basic credit data REPORTING ENTITY % from expenses
Currency
Interest rate
Fixed interest-rate period
Package 1 +
additional attributes
Reference rate
Interest-rate margin
Package 2 + additional attributes
Modified remaining duration
Weighted remaining duration
22.5.2014
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18Julkinen
For setting-up and reporting expenses, the most expensive requirements are reported for each group of attributes
Attributes Setting-up expenses
Running expenses
Data system Setting-up expenses
Running expenses
Benchmark (BK) basic
data
2. Basic credit data REPORTING ENTITY % from expenses
Currency
4 2Interest
Fixed interest-rate period
Package 1 +
additional attributes
Reference interest rate
3 1Interest-rate margin
Package 2 + additional attributes
Modified remaining duration
3 2Weighted remaining duration
22.5.2014
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19Julkinen
Data source is registered from the current data system for each attribute separately (recommendation)
Attributes Setting-up expenses
Running expenses
Data system Setting-up expenses
Running expenes
Benchmark (BK) basic
data
2. Basic credit data REPORTING ENTITY % from expenses
Currency
4 2
AInterest rate AFixed interest-rate period A
Package 1 +
additional attributes
Reference interest rate
3 1R
Interest rate margin O
Package 2 + additional attributes
Modified remaining duration
3 2R
Weighted remaining duration R
A: accounting system, R: risk-based system or O: other system
22.5.2014
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20Julkinen
COLUMN BALANCE ’100’ IS ADDED FOR THE % DATA OF EACH GROUP OF ATTRIBUTES
Attributes Setting-up expenses
Running expenses
Data system Setting-up expenses
Running expenses
Benchmark (BK) basic
data
2. Basic credit data REPORTING ENTITY % from expenses
Currency
4 2
AInterest rate AFixed interest-rate period A
Package 1 +
additional attributes
Reference interest rate
3 1R
Interest rate margin O
Package 2 + additional attributes
Modified remaining duration
3 2R
Weighted remaining duration R
100 100
22.5.2014
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21Julkinen
AN EXPENSE PERCENTAGE IS ASSIGNED TO EACH ATTRIBUTEAND TOGETHER THEY ADD UP TO 100
Attributes Setting-up expenses
Running expenses
Data system Setting-up expenses
Running expenses
Benchmark (BK) basic
data
2. Basic credit data REPORTING ENTITY % from expenses
Currency
4 2
A 10 15Interest rate A 25 15Fixed interest-rate period A 25 15
Package 1 +
additional attributes
Reference interest rate
3 1R 15 15
Interest rate margin O 5 15
Package 2 + additional attributes
Modified remaining duration
3 2R 12 15
Weighted modified duration R 8 10
100 100
22.5.2014
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22Julkinen
HOW TO FILL IN IF ONE OF THE ATTRIBUTES HAS A VALUE ’NF’ (= CLASSIFICATION NOT POSSIBLE)
22.5.2014
Attributes Setting-up expenses
Running expenses
Data system Setting-up expenses
Running expenses
Benchmark (BK) basic
data
2. Basic credit data REPORTING ITEM % from expenses
Currency
4 2
A 10 15Interest rate A 37 30Fixed interest-rate period A 25 15
Package 1 + additional attributes
Reference interest rate
3 1R 15 15
Interest rate margin O 5 15
Package 2 + additional attributes
Modified remaining duration
NF NFNF NF NF
Weighted remaining duration R 8 10
EXPENSES STILL ADD UP TO 100. AN EXPLANATION HAS TO BE PROVIDED IN THE COMMENTS SECTION FOR EACH ATTRIBUTE WITH THE VALUE ’NF’. 100 100
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Essi Tamminen 23Julkinen
Aikataulu
• Deadline for returning expense survey 11 June 2014• Email: [email protected]
16.5.2014
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24Julkinen
Project timetable
• 1 January 2015 – 31 December 2016 (= 24 months)– Release 1: launch 8/2016– Release 2: launch 12/2016
22.5.2014
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25Julkinen
Other matters (1/2)
• Request for more time– More time can be requested up until the end of office hours
on the last day of the survey
• For any revisions, please give advance notice
• For any major changes from previous month’s reporting, please inform by email in advance
• All contact requests by email at [email protected]
19.11.2013
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26Julkinen
Other matters (2/2)
• Information about group structures and close connections – Data is needed for the ECB’s Register of Institutions and
Affiliates Database (RIAD), which is also used for identifying close connections between monetary policy counterparties → data collection in collaboration with the Banking Operations being planned
19.11.2013