Granular credit database

Report
Reporting Info 22 May 2014
22 May 2014
Julkinen
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
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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
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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.
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Granular credit database –
objective (1/2)
• Flexible, multi-purpose database containing a core
set of harmonised data on types of loans, offbalance-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
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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
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Analytical credit database – ACDB
Reporters:
BSI
REPORTERS
Frequency:
QUARTERLY
Analytical
credit
database
Content of
database:
DEFINITION
OF LOAN
Structure of
database:
DATA
CONTENT
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Analytical credit database – ACDB
Frequency
• Quarterly
• Reporting lag - open
Reporters
• RATI reporters
• Requirement for a meaningful database
Content of
database
• Credit risk exposure
• Broad definition
Structure of
database
• Loan-by-loan (not borrower-by-borrower)
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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)
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Essi Tamminen
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Tables in expense survey
•
•
TABLES A-E
Table A
–
–
–
•
Table B
–
–
•
Investigates potential long-term benefits of database to reporters
Table F
–
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Investigates connections of future database to other existing databases; to be filled in by
central banks only
Table E
–
•
Investigates data collection in a consolidated manner
Table D
–
•
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
–
•
Expenses estimated ’by package’ that include attributes
By borrower, by reporting entity, quarterly
Sources
Solicits necessary additional information
Essi Tamminen
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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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Basic structure of analytical credit database
1. LENDER / BORROWER ATTRIBUTES //
LUOTONANTAJAN JA LUOTONOTTAJAN TIEDOT
2. ATTRIBUTES //
LUOTON PERUSTIEDOT
CREDIT
DATABASE
//
LUOTTOTIETOKANTA
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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Basic view of expense survey
Attributes
2. Basic credit data
Benchmark
(BK) basic
data
Setting up
expenses
Running
expenses
RA
Data system
Setting-up
expenses
Running
expenses
% from expenses
Currency
Interest rate
Fixed interest-rate
period
Package 1 +
additional
attributes
Package 2 +
additional
attributes
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Reference rate
Interest rate margin
Modified remaining
duration
Weighted remaining
duration
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Definitions of rows and columns
Setting-up
expenses
Running
expenses
Data system
Setting-up
expenses
REPORTING ENTITY
Benchmark
basc data
(BK)
Running
expenses
% 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
Additional
detail 2
Attributes for
the ’packages’
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.
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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Expense estimate scale
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 Small increase in volume of labour
of labour (including training
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
Classification not possible
(requires comments)
(requires comments)
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Essi Tamminen
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Source of data
• Internal source of data:
– (A) accounting system
– (R) risk-based system
– (O) other
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Filling in the expense survey
Attributes
2. Basic credit data
Benchmark
(BK) basic
data
Setting-up
expenses
Running
expenses
Data system
REPORTING ENTITY
Setting-up
expenses
Running
expenses
% from expenses
Currency
Interest rate
Fixed interest-rate
period
Package 1 +
additional
attributes
Package 2 +
additional
attributes
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Reference rate
Interest-rate margin
Modified remaining
duration
Weighted remaining
duration
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For setting-up and reporting expenses, the most expensive
requirements are reported for each group of attributes
Attributes
Setting-up
expenses
2. Basic credit data
Benchmark
(BK) basic
data
Running
expenses
Data system
REPORTING ENTITY
Setting-up
expenses
Running
expenses
% from expenses
Currency
Interest
4
2
3
1
3
2
Fixed interest-rate
period
Package 1 +
additional
attributes
Package 2 +
additional
attributes
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Reference interest
rate
Interest-rate margin
Modified remaining
duration
Weighted remaining
duration
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Data source is registered from the current data system for each attribute
separately (recommendation)
Attributes
Setting-up
expenses
2. Basic credit data
Benchmark
(BK) basic
data
Package 1 +
additional
attributes
Package 2 +
additional
attributes
Running
expenses
Data system
REPORTING ENTITY
Currency
Setting-up
expenses
Running
expenes
% from expenses
A
Interest rate
4
2
A
Fixed interest-rate
period
A
Reference interest
rate
R
Interest rate margin
Modified remaining
duration
Weighted remaining
duration
3
1
O
R
3
2
R
A: accounting system, R: risk-based system or O: other system
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COLUMN BALANCE ’100’ IS ADDED FOR THE % DATA OF EACH
GROUP OF ATTRIBUTES
Attributes
Setting-up
expenses
2. Basic credit data
Benchmark
(BK) basic
data
Package 1 +
additional
attributes
Package 2 +
additional
attributes
Running
expenses
REPORTING ENTITY
Currency
Interest rate
Data system
A
4
2
A
A
Reference interest
rate
R
Modified remaining
duration
Weighted remaining
duration
3
1
O
R
3
2
R
100
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Running
expenses
% from expenses
Fixed interest-rate
period
Interest rate margin
Setting-up
expenses
100
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AN EXPENSE PERCENTAGE IS ASSIGNED TO EACH ATTRIBUTE
AND TOGETHER THEY ADD UP TO 100
Attributes
Setting-up
expenses
2. Basic credit data
Benchmark
(BK) basic
data
Package 1 +
additional
attributes
Package 2 +
additional
attributes
22.5.2014
Running
expenses
Data system
REPORTING ENTITY
Currency
Setting-up
expenses
Running
expenses
% from expenses
A
10
15
A
25
15
Fixed interest-rate
period
A
25
15
Reference interest
rate
R
15
15
O
5
15
R
12
15
R
8
10
100
100
Interest rate
Interest rate margin
Modified remaining
duration
Weighted modified
duration
4
3
3
2
1
2
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HOW TO FILL IN IF ONE OF THE ATTRIBUTES HAS A VALUE ’NF’ (=
CLASSIFICATION NOT POSSIBLE)
Attributes
Setting-up
expenses
2. Basic credit data
Benchmark
(BK) basic
data
Package 1
+ additional
attributes
Package 2
+ additional
attributes
Running
expenses
Data system
REPORTING ITEM
Currency
Running
expenses
% from expenses
A
10
15
A
37
30
Fixed interest-rate
period
A
25
15
Reference interest
rate
R
15
15
O
5
15
NF
NF
NF
R
8
10
100
100
Interest rate
Interest rate margin
Modified remaining
duration
Weighted
remaining duration
4
3
NF
2
1
NF
EXPENSES STILL ADD UP TO 100. AN EXPLANATION HAS TO BE PROVIDED IN THE
COMMENTS SECTION FOR EACH ATTRIBUTE WITH THE VALUE ’NF’.
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Setting-up
expenses
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Aikataulu
• Deadline for returning expense survey 11 June 2014
• Email: [email protected]
16.5.2014
Essi Tamminen
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Project timetable
• 1 January 2015 – 31 December 2016 (= 24 months)
– Release 1: launch 8/2016
– Release 2: launch 12/2016
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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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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
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