AnaCredit and RIAD - Bank for International Settlements€¦ · · 2017-04-06AnaCredit and RIAD BIS-BI-ECB Regional Seminar 2017 Bali, Indonesia ... identify and asses ... RIAD

Jean-Marc IsraëlHead of DivisionMonetary and Financial Statistics

AnaCredit and RIAD

BIS-BI-ECB Regional Seminar 2017

Bali, Indonesia20–21 March 2017

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2 Register of Institutions and Affiliates Database (RIAD)

Analytical Credit Dataset (AnaCredit)

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Phase B – May 2010Sovereign debt crisis and again banking crisis

Financial crisis – new tasks and new data needs

Phase A - post Lehman Brothers – Sept 2008banks’ rescue, government guarantees

EU Financial SupervisionESAs/ESRB - Nov 2010

Phase C - May 2012Banking Union announced

ECB’s banking supervision – Nov 2014

2008 2009 2010 2011 2012 2013 2014

Single Resolution Mechanism – Jan 2015

2015

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How exposed are euro area investors?

Who holds GR, IE, PT government debt?

How big are EU financial inter-

linkages?

How healthy are euro area banks?

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IntegrationLong-term harmonisation

managing different areas of statistical and supervision information as parts of a single system

of practices, methodologies and processes currently followed for data production

The ESCB response: holistic approach to data reporting

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AnaCredit – granular data on credit to support ESCB tasks

AnaCredit will cover the need for granular data on credit and credit risk, whose current availability, e.g. from Central Credit Registers, is rather incomplete and heterogeneous across EU countries

It will bring increased coverage, and especially harmonisation in underlying concepts and definitions standardisation

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AnaCredit - multiple ESCB tasks

Supporting a wide range of users …

• Monetary policy analysis and operations

• Risk control and collateral management

• Financial stability

• Micro/macro supervision

• Economic analysis and research

• Statistical production

… for multiple analyses and purposes• Access to credit • Credit supply constraints• Financial constraints• Analyses of collateral issues• Stress-tests• Off-site and on-site supervision• Exposures to sectoral risks• Credit risk analysis• Risk control measures• Cross-border credit risk• Transmission channels of MP• New statistics

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ECB’s monetary policy requires a vast amount of data

Market policy decisions affect economic activity and inflation through several

channels the ‘transmission mechanism’ of monetary policy

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AnaCredit uses – Example of Monetary policy

• impact depends on the nature of the business and the size of the enterprise

• currently, only broad quantification of the effects of market policy available

AnaCredit will help identify and asses developments in credit demand and supply

AnaCredit data is crucial to assess the extent to which b/s conditions of banks or debtor are influencing credit expansion

Help assess implication for price stability and identify adequate policy actions

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Pros of collecting granular information

Aggregated data

• individual institutions combine their positions and transactions into a limited set of statistics/indicators

• well established, broad coverage, relatively limited costs of reporting

• long lead time (years) to address ever changing policy needs

Surveys

• limited coverage, low comparability

• often run ad hoc to address urgent needs,no/limited time series

• expensive, for both reporting agents and central banks

Granular data

• instrument-by-instrument and counterparty-by-counterparty

• more informative: more sophisticated analysis, address heterogeneity

• flexible: meet ever-changing user needs in a timely manner

• cost-effective: high set-up costs more than offset by running savings in the medium-term, also for banks!

Aggregated data can be derived from granular data

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• Currently: exchange of data under a Memorandum of Understanding (MoU), at a borrower level, where indebtedness is above €25,000

Purpose: allow reporting institutions to have a wider picture of indebtedness of their current and potential borrowers, and also for supervisory purposes

• Task Force on Analytical Credit Datasets, incl. National Central Banks with no granular credit data

Work re. harmonisation of concepts, definitions and identifiers

88 attributes standardised

Establish a long term framework

legal: solution for data sharing / access rights / confidentiality

organisational: IT, incl. cost aspects, and

procedural issues

Aim: to collect granular credit and credit risk data to be shared, incl.attributes on lenders, borrowers, credits and related methodological aspects

AnaCredit: why to move towards more granular data?

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• AnaCredit uses – Towards better understanding of the EU banking sector

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Non-Performing Exposure ratio is particularly high (10%) in the case of non-financial corporations

NPE ratios vary depending on the size of the banks

Source: EBA 2015 EU-wide Transparency Exercise Report

… data show that smaller banks struggle with higher levels of non-performing loans, 18% of total loans, compared to 9% of total loans in medium banks and 4% of total loans in large banks

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Covering the whole range of enterprises (thanks to the threshold of € 25,000),

Leveraging on granular data typically produced by banks for their internal risk management processes

AnaCredit uses – More data on SMEs

AnaCredit will close existing data gaps on SMEs

• Enable identification and assessment of developments in credit demand and credit supply across all SMEs in the euro area in a timely manner

• Enhance monitoring of credit developments at the borrower-lender level

• Help assess the credit risk that banks associate with firms

• Assist in assessing the effectiveness of measures to improve SMEs access to credit (Do capital reliefs for banks make it easier for SMEs to get credit?)

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• Multipurpose• Monetary policy, macroprudential supervision,

risk management, research, and statistics Purpose

• ECB regulation• ECB and participating countries• NCBs to collect information from Reporting agents• Shared platform – state-of-the-art IT solution

Sourcing / Governance

• Granular information (individual, micro)• Credit and credit risk data• Harmonised concepts and definitions

Content

• Euro area countries• Other EU countries also invited to participate

Participants

Analytical Credit Dataset - AnaCredit

Important building block of an integrated approach

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Overall benefits

– Cross-country harmonised information on credit instruments/attributes

– Enhancement of the credit institutions' assessment on the creditworthiness,

in particular of cross-border potential borrowers, also via ‘feedback loops’

– Overall minimisation of reporting burden (after set-up)

use of granular credit and credit risk information to enhance existing statistics or

produce new ones

stability of requirements over time, notably avoid running ad hoc surveys

AnaCredit – benefits & costs for NCBs & reporting agents

Cost considerations

• High investment for both NCBs and reporting agents, mainly due to accounting and

risk-based data, high volumes and required data quality management

• Medium to neutral running costs, thanks to e.g. less ad hoc requests,

possible discontinuation, in part or in full, of existing aggregated reporting

• Net benefits reached when AnaCredit allows discontinuing existing CCRs

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External use of AnaCredit

• The ECB will not offer credit scorings regarding e.g. individual SMEs

• In general, no granular (loan-/borrower-/lender level) information will be disclosed

(whether anonymised, or not)

• The ECB will not distort competition in the market of credit information

• AnaCredit will set standards on a number of important variables/dimensions

market-led initiatives could build upon these

• Methodological support could be provided to such initiatives


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Develop a shared ‘platform’ to

– serve multiple purposes with core set of data; according to harmonised concepts and definitions

– pull, store, process and disseminate shared analytical credit data on an EU-wide scale, protecting confidentiality as necessary

Allowing the

– availability of comparable key granular credit and credit risk data to a wide range of users for policy-relevant and analytical purposes

– set-up and maintenance of differentiated levels of access to data across the ESCB, depending on recognised uses

– connection with other ESCB applications (Business register; data on Securities) as well as serving Single Supervisory Mechanism, e.g. to credit exposures

AnaCredit – New IT application


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Eurosystem supports banks in the implementation of AnaCredit

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Preparing for implementation of AnaCredit

Cooperation with the banking industry within

Banks’ Integrated Reporting Dictionary (BIRD)

BIRD provides a representation of AnaCredit as set in the Regulation from the business point of view

Commercial banks participate on a voluntary basis

Cooperation via BIRD

To clarify AnaCredit requirements via documentation

To provide additional background and guidance

Concrete cases/examples

Manual

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The availability of granular credit and credit risk data is very important

for the post-crisis central banks’ policy making

Aggregate/survey data with insufficient accuracy and breakdowns;

a key issue is to allow rebuilding aggregates ex post!

Central bank’s non-standard monetary policy measures and the close link

between monetary and macroprudential policies increase the importance

of such data

• Conclusions (1/2)


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Setting-up granular data sources is costly;

but allows to drill-down from aggregates to identify distress in markets or

institutions, and better analyse developments

Accurately signal problems in the monetary policy transmission channel

In the case of SMEs, granular data on credit will facilitate evaluation of

financing conditions and assist policy-making

Data re-used for different purposes, including feedback loops to banks

• Conclusions (2/2)


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Contents

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2 Register of Institutions and Affiliates Database (RIAD)

Analytical Credit Dataset (AnaCredit)

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A register is key to identify

the reporting population(s) and stratify it/them

… and classify counterparts (by respondents)

(financial) groups structures

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

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Register of Institutions and Affiliates Database (RIAD)

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The ‘Register of Institutions and Affiliates Database‘ (RIAD) is

operated by ECB DG-Statistics and accessible to all ESCB members

designed to hold reference data of (financial) organisational units

ensuring that information on statistical reporting population is complete,

timely, accurate, and homogenously defined

The current system went live in May 2013 and serves business needs

• Statistics

• Market operations

• Financial stability

• Payment systems oversight, and

• Microprudential supervision

RIAD as reference dataset for institutions

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Currently RIAD is used to maintain four lists of financial institutions (https://www.ecb.europa.eu/stats/money/mfi/html/index.en.html)

− 9,000 Monetary Financial Institutions MFIsCredit Institutions and Money Market Funds

− 55,000 Investment Funds IFs

– 3,000 Financial Vehicle Corporations FVCs

– 3, 500 Insurance Corporations ICs

– 7,000 Payments Statistics Relevant Institutions PSRIs

RIAD management and service

RIAD provides simple lists management

And, far beyond, also offers all functions of an extended business register

RIAD will support the AnaCredit dataset in providing relevant information

on lenders and all their counterparts, borrowers or guarantors

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https://www.ecb.europa.eu/stats/money/mfi/html/index.en.html

https://www.ecb.europa.eu/stats/money/mfi/html/index.en.html

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Comprehensive data model, incl. reference data on units plus relationships among them

Strict separation of the transactional and reporting aspect

Multiple source management

Historisation of data

Elaborate access management

• incl. the distinction of special roles and different levels of confidentiality

A functionality added (for SSM) is on handling different types of reporting

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RIAD Main features

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RIAD Main features: main stakeholders

Other initiatives Other initiatives

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RIAD allows processing of attributes describing relationships between units

which are the necessary building blocks to construct group structures

Operationally this is achieved via a ‘bottom-up approach’,

i.e. via individually loading the known / necessary members (‘nodes’) and

their ownership relationships (‘edges’) to construct a group (‘graph’)

In the medium-term it is expected to receive the underlying relationship

information from various sources, e.g. from

Statistics departments on institutional units

Supervisory authorities on supervised entities

Market operations departments on various relationships, or

Market and commercial sources

RIAD – Modelling of group structures

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Currently RIAD is generating two types of groups on basis of the available

ownership/control information

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RIAD – Group views

• Type “A” - based on “control”

• Type “B” - based on “pure ownership” (incl. 50% and less)

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RIAD – Lessons learned

According to experience gained, the challenge is to

Offer a model with a maximum of (technical) flexibility in mapping real phenomena to formal concepts

Organise an adequate governance to maintain and update the dataset servicing various user needs, avoiding inconsistencies and conflicts

Satisfy different views on group structures simultaneously

Identify and classify counterparties, which implies to

- monitor any corporate actions within the reporting population

- navigate through the sample over time, and

- synchronise publication of the authoritative lists

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Comprehensive data model, incl. reference data on units plus relationships among them

A. Identification – such as identifiers, address, etc.

B. Stratification – such as industrial activity, geographical allocation, etc.

C. Demographic developments – such as birth/closure date, split, merger, etc.

D. Relationships between units – such as ownership, control, management, etc.

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• Relationships in the data model

D. Relationship variables between units

1. Organisational relationships within an enterprise

Relationship between the legal unit and the enterprise that it operates.

2. Relationships between legal units forming an enterprise group

Link based on the concept of 'control'

Link based on the concept of 'capital share', 'voting rights'

3.Other relationships

Link between the 'originator' and 'FVC'

Link between the 'management company' of 'FVC / Investment Fund'

Link between the 'non-resident branch' and 'headquarter'

Link between the 'sub-fund' and 'umbrella fund'

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• RIAD High level architecture

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RIAD main features - System

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Thank you!

Questions?

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Questions?

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Credit Reporting Systems in Europe (indicative list)

Source: European Credit Research Institute

RESERVE: Some granular information on credit is already available

Documents

AnaCredit and RIAD - Bank for International Settlements€¦ · · 2017-04-06AnaCredit and RIAD BIS-BI-ECB Regional Seminar 2017 Bali, Indonesia ... identify and asses ... RIAD