Security-by-security statistics, and Loan-level databases, an overview of the work of the ESCB and prospects Skopje seminar 2-5 October 2013 Jean-Marc.

Security-by-security statistics, and

Loan-level databases, an overview of

the work of the ESCB and prospects

Skopje seminar

2-5 October 2013

Jean-Marc Israël

Head of Division,

Monetary and Financial Statistics

ECB

Rubric

www.ecb.europa.eu

Security-by-security statistics Centralised Securities Database / Securities Issues Statistics

Securities Holdings Statistics

Loan-by-loan dataset: AnaCredit project

Overview of ESCB work and prospects

2

Rubric

www.ecb.europa.eu

Security-by-security statistics Centralised Securities Database / Securities Issues Statistics

Securities Holdings Statistics

Loan-by-loan dataset: AnaCredit project

Overview of ESCB work and prospects

3

Rubric

www.ecb.europa.eu

Centralised Securities Database (CSDB)

Security-by-security positions data covering All securities issued by EU residents

All securities issued in euro

All securities potentially held by EU residents

Compiled from commercial data providers + NCBs

Potential to derive transactions – gross issues and redemptions

Overview of ESCB work and prospects

4

Rubric

www.ecb.europa.eu

Securities Issues Statistics (SEC)

Aggregated positions, gross issues, redemptions and net issues data covering

All securities issued by EU residents

All securities issued in euro

Compiled from NCBs + BIS (for securities in euro issue by non-EU residents)

CSDB to compile SEC? – Integration of statistics is welcome

Advantages and drawbacks being assessed by an Expert Group

Conclusions and way forward for discussion in the WG MFS and WG SEC and ESCB Statistics Committee (in December)

Overview of ESCB work and prospects (cont’d)

5

Rubric

www.ecb.europa.eu6

Production of securities holdings experimental statistics

Experimental (test) data (short-term approach)

quarterly data collection of stocks:• International Securities Identification Number (ISIN code) for identification of

securities (“security-by-security”)

• Investor country and sector or subsector as defined by the European System of National and Regional Accounts (ESA)

• Short- and long-term debt securities; quoted shares; investment funds shares

• Accounting rules based on ESA95 (e.g. units, ownership, valuation)

based on currently available security-by-security informationwhich has been linked to information on securities and issuers stored in the ESCB Centralised Securities Data-Base (CSDB)

Holdings of securities: Experimental data

Rubric

www.ecb.europa.eu7

Production of securities holdings statistics based on a steady-state approach (as from March 2014)

Security-by-security holdings by euro area & EU residents by sector of euro area-EU investor

Security-by-security holdings by Reporting Banking Groups (RBG)

To be collected via ECB Regulation ECB/2012/24 adopted in October 2012

Securities Holdings Statistics Data-Base (SHSDB) July 2013: Go-live of Stage 1 (sector data)

March 2015: Go-live of Stage 3 (RBG data)

Holdings of securities: Steady-state approach

Rubric

www.ecb.europa.eu

Security-by-security statistics Centralised Securities Database / Securities Issues Statistics

Securities Holdings Statistics

Loan-by-loan dataset: AnaCredit project

Overview of ESCB work and prospects

8

Rubric

www.ecb.europa.eu

The current landscape(1/2)

Wide range of Wide range of information on information on credit and credit credit and credit risk data available risk data available butbut large diversity large diversity in EUin EU

Micro credit data are considered relevant for a high number of ESCB and SSM tasks

9

Rubric

www.ecb.europa.eu

Overall

Irrespective of the source, lack of harmonisation in concepts definitions, and coverage

of, at least, a defined population of borrowers and a core set of data attributes

Main limitations identified by users derive from

different reporting thresholds and definitions and lack of common identifiers for borrowers

The current state of affairs (2/2)

10

Rubric

www.ecb.europa.eu

Elements for consideration

11

Rubric

www.ecb.europa.eu

Option 1 – a single pan-European CCR

12

Rubric

www.ecb.europa.eu

Option 2 – a flexible distributed model (1/2)ESCB-shared database:-core set of data, describing

in detail the characteristics of the borrower and of the credit

-based on harmonised concepts and definitions.

- Large borrowers- Data collected and stored at individual level- Unique identification of borrowers

- Intermediate borrowers (depending on sectors)- Aggregated data, with distributional measures in

the shared credit dataset - NCBs/NCAs collect and store harmonised individual

information and report to the ECB aggregated- Where necessary, users may request further details

- Smaller borrowers or loans- Harmonised data collected either individually or

aggregated by the NCBs but reported as multidimensional aggregates, also with distributional measures

- No evidence of the borrower

13

Rubric

www.ecb.europa.eu

Although based on heterogeneous sources of data (existing CCRs, new data collections, surveys or private credit bureaus, depending on national choices), it seems to be flexible and agile, likely less costly and has other advantages :

Multipurpose core set of data (available to all institutional users)

Data attributes mapped to statistical, accounting or prudential standards (also facilitating the link with other datasets)

NCBs/other NCAs and credit institutions to continue running their current systems while serving ESCB users at the same time

Option 2 – a flexible distributed model (2/2)

14

Rubric

www.ecb.europa.eu

Collection of confidential data, as both lenders and borrowers can be recognised

Possible STC/FSC LEGCO consultation, prepared by the JTF, on appropriate legal solution to support the data collection and related data sharing

The future legal basis can either be based on:–Council Regulation 2533/98 allowing a wide range of uses, including for the SSM, under governance and confidentiality rules already defined (only euro-area); and/or

–A new ECB Regulation under the SSM Regulation possibly covering all SSM countries; however, it is not certain how far the dataset could the eventually be shared with other ECB/ESCB functions and integrated

Possible way forward: a sound legal basis

15

Rubric

www.ecb.europa.eu

New IT application (AnaCredit)

A ‘platform’ to be used for:the collection, storage, processing and dissemination of analytical credit data on EU-wide scale

And at the same time will allow:•setting up and maintenance of differentiated levels of access to data across the ESCB, depending on recognised uses

•the access, through a shared facility, to the extended national datasets which are not part of the ordinary shared database

•the connection with other ESCB applications (RIAD, CSDB, SHSDB) as well as other envisaged applications serving SSM

Possible way forward: a proper IT application

16