Julkinen

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: luottotieto@bof.fi

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 rahoitustilastot@bof.fi

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