Overview of Monetary and Financial Statistics · Jean-Marc Israël Head of Division Overview of...

Jean-Marc IsraëlHead of Division

Overview of Monetary

and Financial Statistics

Joint Bank of Indonesia – ECB – BIS Statistical Seminar 2017

Bali, 20-21 March 2017

ECB-RESTRICTED

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www.ecb.europa.eu © Overview of MFS Statistics 2

Contents

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2

3

Overview of monetary and financial statistics

Case study: MFI statistics

Production and dissemination of statistics –Challenges and international context

4 Multipurpose monetary and financial statistics

5 Selected results

6 Challenges / Initiatives

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www.ecb.europa.eu ©

Start from national statistics (of euro area countries)

Harmonise concepts, definitions and methods to– increase comparability also via adherence to international statistical standards

– enable consolidation, where appropriate

– ensure the necessary coverage and level of disaggregation

Cost-conscious approach

– while statistics are a public good, and good policy basedon good data may be invaluable for business, they have a cost

– simple, automated reporting is less costly

– financial transactions and positions get (more) complex

– asset-by-asset reporting minimises the reporting burden

Central banks maintain granular datasets, e.g. a common securities database, to identify, classify, value individual assets

– securities (reference data, aggregated and individual) issues and holdings

– granular lending data, in part based on credit registers, are also under study

– asset-by-asset allows more flexibility and responsiveness to user needs

Overview of MFS Statistics 3

Challenges for euro area statistics

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• Based on experience in collecting, compiling and disseminating statistics in EU Member States

• level-playing field: even-handed treatment

• sharing of information across national

compiling agencies and across Member States

• increasing use of common registers (RIAD),

databases (CSDB, SHSDB; soon AnaCredit), tools, methods, standards

a set of best practices for a medium-term convergence


Harmonisation and best practices

to ensure: • fair competition • similar and light reporting burden• consistency, and • accuracy

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Production and dissemination of statistics –

Challenges and international context


5 Selected results


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Share of total assets by (euro area) sub-sector

(percentage)


The financial sector in the euro area - Overview

Data as of 2016 Q2Pro memoriam Euro area annual GDP was € 10.5 trillion

ASSETS € trillion

Monetary financial institutions (MFIs)incl. Eurosystem

37.2

of which money market funds (MMFs) 1.1

of which credit institutions (CIs) 30.6

Insurance corporations (ICs) 7.3

Pension funds (PFs) 2.4

Non-MMF investment funds (IFs) 10.6

Other financial institutions (OFIs) 19.7

of which financial vehicle corporations (FVCs) 1.8

Total Assets 77.2

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Based on:System of National Accounts 2008, European System of Accounts 2010

common methodological definitions and concepts

laid down for the euro area in Regulations

– MFI balance sheets: ECB/2008/32 (recast) and ECB/2013/33

– MFI interest rates: ECB/2013/34 (recast)

– Investment Funds: ECB/2007/8, as amended by ECB/2013/38

– Post Office and Giro Institutions: ECB/2013/39 (recast)

– Payments systems and instruments: ECB/2013/43

– Financial Vehicle Corporations: ECB/2008/30, as amended by ECB/2013/40

– Insurance Corporations: ECB/2014/50

Plus MFS Guideline (recast) ECB/2014/15

And Manuals and/or Guidance notes


Common definitions and International standards

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The E(S)CB collects and compiles statistics for:

The financial sector and its sub-sectors (e.g. credit institutions)

A register of (financial) institutions and affiliates in the EU

Financial instruments e.g. loans, securities

Outstanding amounts e.g. balance sheet items

Transactions and growth rates e.g. annual growth of M3

“Prices” interest rates, yields, exchange rates

Various breakdowns e.g. counterparty sector, maturity, currency

Overview of money markets daily


E(S)CB financial statistics: Overview

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Main ECB monetary and financial statistics manuals

• Manual on MFI Balance Sheet Statistics April 2012

http://www.ecb.europa.eu/pub/pdf/other/manualmfibalancesheetstatistics201204en.pdf

• Manual on MFI Interest Rate Statistics January 2017 New!

http://www.ecb.europa.eu/pub/pdf/other/manualonmfiinterestratestatistics_201701.en.pdf

• Manual on Investment Funds Statistics May 2009

http://www.ecb.europa.eu/pub/pdf/other/manualinvestmentfundstatistics200905en.pdf

• Guidance Notes on the Definitions of ‘Financial Vehicle Corporations’ and ‘Securitisation’ under Regulation ECB/2008/30 February 2012

http://www.ecb.europa.eu/pub/pdf/other/guidancenotedefinitionsfvcsecuritisation2012en.pdf

• Monetary Financial Institutions and Markets Statistics Sector Manual March 2007

http://www.ecb.int/pub/pdf/other/mfimarketstatisticssectormanual200703en.pdf


Harmonisation and best practices

http://www.ecb.int/pub/pdf/other/mfimarketstatisticssectormanual200703en.pdf

http://www.ecb.europa.eu/pub/pdf/other/guidancenotedefinitionsfvcsecuritisation2012en.pdf

http://www.ecb.europa.eu/pub/pdf/other/manualinvestmentfundstatistics200905en.pdf



http://www.ecb.europa.eu/pub/pdf/other/manualmfibalancesheetstatistics201204en.pdf

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Monetary aggregates and counterparts balance sheet statistics on banks and money market funds (e.g. M3, credit)

Statistics on Banks’ and other interest rates market interest rates, retail for deposits, loans for consumption, housing, firms

Statistics on assets and liabilities of Investment funds

Statistics on Financial vehicle corporations

engaged in securitisation and banks’ securitisation

Statistics on Insurance corporations and Pension funds June 2011

Enhanced (new!) statistics on Insurance Corp. Febr. 2017

Yield curves; Financial markets price, volume and structure

Statistics on payment instruments and securities settlement systems

Money market statistical reporting July 2016


Monetary and financial statistics (1/2)

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Register of (financial) Institutions and Affiliates Database

A register is key to identify the reporting population(s)

and classify/stratify them

• counterparts (by respondents)

• group structures

A register is essential for statistics, and its value added is even greater

if it becomes multi-purposes, e.g.

• ‘Close links’ for monetary policy operations

• Banking and Insurance group structures for financial stability analysis

• Identification of Payment service institutions, and

• Supporting the ECB Banking Supervision


Monetary and financial statistics (2/2)

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5 Selected results


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Case study ECB statistics: The ECB’s monetary policy and MFI b/s statistics

Full set of information

Analysis of money and credit based on

MFI statistics

Analysis of economic

dynamics and shocks

Governing Council takes monetary policy decisions based on a unified overall assessment

of the risks to price stability

Primary objective of price stability

Economicanalysis

Monetaryanalysis

Macro-economic

Projections

Cross-checking

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Other uses of MFI balance sheet statistics:

• Minimum reserves; liquidity

• Economic analysis

• Financial stability

• Financial integration

• Statistical support to the European Systemic Risk Board

• Statistical support to Banking Supervision



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Monetary Financial Institutions (MFIs)

= financial institutions money-issuing sector of the euro area

= central banks

+ resident credit institutions as defined in EU law Capital Requirements Regulation; ongoing work with EBA

+ other resident financial institutions whose business is

to receive deposits and/or close substitutes for deposits, and

for their own account (at least in economic terms) to grant credits and/or make investments in securities

=> importance to assess and measure “shadow banking”


Case study: Defining MFIs

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Case study: Defining the statistical balance sheet

1 Cash 8 Currency in circulation

2 Loans 9 Deposits

up to 1 year Overnight

over 1 and up to 5 years With agreed maturity

over 5 years up to 1 year

3 Debt securities held over 1 and up to 2 years

up to 1 year over 2 years

over 1 and up to 2 years Redeemable at notice

over 2 years up to 3 months

4 Equity over 3 months

5 Investment fund shares/units Repos

MMF shares/units 10 MMFs shares/units

Non-MMF investment fund shares/units 11 Debt securities issued

6 Non-financial assets (including fixed assets) up to 1 year

7 Remaining assets over 1 and up to 2 years

over 2 years

12 Capital and reserves

13 Remaining liabilities

INSTRUMENT AND MATURITY CATEGORIES

ASSETS LIABILITIES

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Case study: Collecting & compiling MFI b/s statistics

1. NCBs collect balance sheets from all MFIs resident in the country

2. NCBs transmit aggregated national balance sheet to ECB

3. ECB aggregates (sums) national balance sheets

Euro area MFI aggregated balance sheet

4. The aggregated balance sheet is then consolidated

= Netting the aggregated positions between MFIs in the euro area

Euro area MFI consolidated balance sheet

5. Main euro area aggregates are seasonally adjusted by the ECB

Euro area monetary aggregates and counterparts.

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Case study: Collecting & compiling MFI b/s statistics

• However aggregated data may not suffice for in-depth analysis

• Detailed breakdowns are requested by users for analytical needs

e.g. monetary analysis, monetary policy transmission,

collateral management, financial stability

• Statisticians need to become more proactive and responsive to ever

increasing and rapidly changing needs

Analytical Credit datasetbased on granular loan data

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Case study: the Targeted Longer-Term Refinancing Operations-II

• Target: improve bank lending to the euro area non-financial private sector (NFPS) over a window of two years

• Announcement on 10 March 2016

• Adoption of Decision ECB/2016/10 on 28 April 2016

Single borrowing allowance equal to 30% of the total amount of their loans

to the euro area non-financial counterparts, outstanding on 31 Jan. 2016

In 4 quarterly TLTROs-II, commencing in June 2016, counterparties were

able to borrow an amount that does not exceed the borrowing allowance

Reward for participants whose eligible net lending (ENL)

from Febr. 2016 – Jan. 2018 exceeds ENL from Febr. 2015 – Jan. 2016

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Case study: the Targeted Longer-Term Refinancing Operations-II

• The reporting framework for TLTROs-II remains that of TLTROs; A dedicated reporting template based on the conceptual framework of MFI

balance sheet statistics in light of their:

• sound underlying methodology

• data comparability across countries and institutions

• availability of (long) time series to be used as benchmark

• The reporting template covers:

• data on loans amounts outstanding and net lending

• the impact of loan securitisation (and other loan transfers) and

adjustments to outstanding amounts

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5 Selected results


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What is MIR?

MFI Interest Rate Statistics are

interest rates and corresponding business volumes

‒ new business and outstanding amounts

applied by MFIs, except central banks and MMFs, resident in country

on euro denominated deposits and loans

vis-à-vis households and non-financialcorporations resident in the euro area

collected from the reporting agentsby the ESCB

Multipurpose monetary and financial: MIR statistics

MFI interest rate statistics

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Why a central bank needs interest rate statistics?


Monetary transmission mechanism:Pass-throughCost of capitalIncome effectsCredit channel

Financial integration indicators:Price-based indicators

Monetary analysis: M3 and Credit

Financial stability: Margins

MIR – Multipurposes (1/2)

..in great demand:• Cost-of-borrowing indicators

published since summer 2013• Further national business

volumes• Extension to SME lending

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Why 117 MIR breakdowns?

Counterpart sectors

‒ Households

‒ Non-financial corporations

‒ Sole proprietors

Business coverage

‒ Outstanding amounts

‒ New business

‒ Renegotiations

Purpose of HH loans

‒ For consumption

‒ For house purchase

‒ For other purposes

Size of corporate loans

‒ Up to € 0.25 million

‒ Over € 0.25 million and up to € 1 million

‒ Over € 1 million

Maturity

‒ Original/residual maturity

‒ Initial period of interest rate fixation

‒ Next interest rate reset

‒ Period of notice

Collateralisation

‒ Total

‒ With collateral and/or guarantees

Special instruments

‒ Revolving loans and overdrafts

‒ Extended credit card credit

Interest rate type

‒ AAR/NDER

‒ APRC

MIR – Multipurposes (2/2)


FINAL

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5 Selected results



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Evolution of M3 aggregate and loans to the private sector*

(percentage change)


Money and credit

-4

-2

0

2

4

6

8

10

12

14

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

M3 Loans to the private sector

*Adjusted for loan sales, securitisation and notional cash pooling

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Sectoral contribution to annual growth rate of M3

(percentage point contribution)


M3 dynamics by sector

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www.ecb.europa.eu © MFI interest rate statistics

MIR – transmission mechanism and financial stability

- New loans to NFCs with up to one year initial rate fixation

- New deposits from NFCs with agreed maturity up to one year

- ECB rate on main refinancing operations

0

1

2

3

4

5

6

7

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

%

ECB main refinancing operations

Deposits from non-financial corporations with an agreed maturity up to one year

Loans to non-financial corporations with up to one year interest rate fixation

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MFI interest rate on short-term loans to NFCs up to an amount of EUR 1 million (% per annum)


MIR – short term loans

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

DE FR ES IT GR U2

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5 Selected results


6 Challenges / Initiatives: MMSR

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Multipurposes: Money Market Statistical Reporting (1/3)

• Better, more timely information on segments of money markets

• Better understanding on monetary policy transmission mechanism

• Inform market participants on market functioning allow more informed choice amongst reference rates (BIS ECC WG report 2013) and to possibly use as a benchmark

• Similar exercise conducted at Federal Reserve (go-live in Apr. 2014)

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Data needs

Merits and costs exercise, Regulation, Reporting instr.

• June 2013: Analysis conducted by Market Operations Committee;

→ STC agreed to run a “merits & costs exercise”

• 8 October 2013: EB took note of strong business case and approved

launch of m & c exercise by STC to prepare an ECB Regulation

• End-2014: Regulation published in the EU Official Journal

• Mid-2015: Detailed Reporting instructions to the 52 banks

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Data requirements

Credit institutions required to send on a daily frequency to the ECB dataon a transaction-by-transaction basis on:

• unsecured borrowing transactions with maturity up to one yearas well as interbank lending

• secured lending and borrowing transactions data including allrepurchase agreements and transactions which are denominated ineuro with a maturity up to and including 1-year

• derivatives, i.e. foreign exchange (FX) swap transactions andOvernight Index Swap transactions in euro (volume and rates)

Now also Banking Supervision interested (on funding conditions)

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www.ecb.europa.eu © 33

Implementation and go-live

• Very fast implementation of a statistical regulation across 10 countries

− From Regulation to production in just 1.5 years

− First reporting as of 1 April 2016 with an interim period of 3 months

− Full reporting by 1 July 2016

Reporting population and reporting window

• Reporting population: the biggest 52 MFIs in the euro area

• Reporting on TARGET2 settlement days: 6:00 p.m. on T - 7:00 a.m. on T+1

• 300 automated Data Quality Checks applied after data reception

• Currently 45,000 transactions per day collected;

Already more than 9 million transactional records in the dataset

Money Market Statistical Reporting


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www.ecb.europa.eu © 34

Thank you!

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Overview of MFS Statistics

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