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Reporting Info 22 May 2014
22 May 2014
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
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
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
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
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
Julkinen
Analytical credit database – ACDB
Analytical credit
database
Reporters:
BSI REPORTERS
Content of database:
DEFINITION
OF LOAN
Structure of database:
DATA CONTENT
Frequency:
QUARTERLY
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
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
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
16.5.2014
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.
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
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
22.5.2014
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.
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)
16Julkinen
Source of data
• Internal source of data:– (A) accounting system– (R) risk-based system– (O) other
22.5.2014
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
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
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
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
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
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
Essi Tamminen 23Julkinen
Aikataulu
• Deadline for returning expense survey 11 June 2014• Email: [email protected]
16.5.2014
24Julkinen
Project timetable
• 1 January 2015 – 31 December 2016 (= 24 months)– Release 1: launch 8/2016– Release 2: launch 12/2016
22.5.2014
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
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
