monetary data collection system at the croatian national bank

Monetary Data Collection System at the Croatian National Bank

Igor JemricStatistics Department

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Outline

A. Introduction B. Input side: The main record & side recordsC. Output side: Statistical & supervisory

reportsD. LegislationE. ImplementationF. Operational functioningG. Further development

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Outline

A. Introduction:

1. Motivation for the micro database approach2. Structure of the system

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A.1. Motivation (1) “old” statistical reporting system organized following IMF’s

Money and Banking Statistics Manual – needed to be adapted to follow ESA 95 (new sectorization, instrument clasification, flows…)

EU statistical authorities ask for many differently structured data: Eurostat (stocks and flows (balance of payments, foreign direct

investment; structured by insturments, countries, international institutions, activities))

European Central Bank (stocks and flows (balance sheet and specific reports; instruments, countries, currencies))

CNB accepted responsibility to compile financial accounts that require additional details

similar situation with supervision reporting system (CEBS – Committee of European Banking Supervision has introduced new consolidated financial reporting (FINREP) and reporting on capital adequacy and various risks (COREP)

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A.1. Motivation (2)

We need a new system that will be:

methodologicaly updated highly structured and rich with information on

characteristics needed for both statistical and supervisory purposes

highly flexible for different aggregation needs (for recent and future requirements)

highly automated in data collecting, checking and compiling

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A.1. Motivation (3)

Sectorization of the clients - the key aspect that led to main decisions on the scope and the structure of the system:

Should reporting institutions take care of the sectorization?

harmonization of sectorization amongcompilers of macroeconomic statistics

Working Group on Sector Classificationof Institutional Units (ESA95)

static vs. dynamic approach

That “NO” was the trigger to start thinking of a micro database.

Statistics & FINREP share similar atributes – that was the trigger to start to think of the common reporting system.

NO

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A.2. Structure of the reporting system (1)

Bank

… loans to households held to maturity

loans to nonfinancial corporations held to maturity

loans to households available for selling

loans to nonfinancial corporations available for selling …

Monetary Statistics Banking Supervision

1. total loans held to maturity2. total loans available for selling

1. total loans to households2. total loans to nonfinancial corporations

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A.2. Structure of the reporting system (2)

Main reporting record AA

Side records

for Statistics

Bank & the

client

Instrument

Type of amount

Amount

Side records

for Supervisi

on

Bank & the

client

Instrument

Type of amount

Amount

Bank & the

client

Instrument

Type of amount

Amount

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Outline

B. Input side:

1. Main reporting record2. Statistical side records3. Supervisory side records4. Other inputs to the system

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B.1. Main reporting record AA (1)The record AA is used for both statistical and

supervision purposes, but with different timing: For statistical purpose, the deadline is the 6th

working day after the reporting date. For supervision purpose, reporting institutions

can send all the revisions of previously sent records as well as new records until the 25th of the month after the reporting date.

Statistics department has a discretion to decide what changes will be ignored and what will be accepted as a revision of the official monetary aggregate.

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B.1. Main reporting record AA (2)

PART B: Instrument identificators

Instrument ISIN Currency Original maturityNotice period

Indexation Portfolio MarketabilityCapital

CharacteristicsRisk group

Built-in derivative

Related variable

13 14 15 16 17 18 19 20 21 22 23 24

Instrument

PART C: Identificators of the amount

Type of the amount

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PART A: Identificators

Report Reporting period ConsolidationPreliminary or

revisedID Tax number ID Tax number County

Country/ International organization

Nonresident sector

Relation with reporting institution

1 2 3 4 5 6 7 8 9 10 11 12

Report ClientReporting institution

PART D: Record identificators

Record number Status

26 27

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Report indicators:

1. Type of report (balance sheet, satelite reports…)2. Reporting period (end day of the period)3. Consolidated / non-consolidated report4. Preliminary report / report after external auditing

Reporting institution indicators:

1. ID (unique number given by the CBS)2. Tax Number (unique number given by the MoF)

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Client indicators:1. ID (unique for each resident legal entity; only 2 codes for

physical persons; MFI nonresident from the ECB list; one code for other nonresidents)

2. Tax Number3. County (code list provided)4. Country/International organization (ISO 3166; Annex 2 of

the BOP Vademecum, code list provided and maintained by the CNB)

5. Nonresident sector (ESA 95, ECB “MFI and Markets Statistics Sector Manual”; code list and explanations provided and maintained by the CNB)

6. Relation with reporting institution (non-related, primary related (mother-daughter), secondary related (sisters) + the percentage of ownership (both ways))

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Instrument indicators:1. Type of instrument (over 160 codes and definitions

provided, together with tables with all possible modalities of each indicator for each type of instrument)

2. ISIN code (ISO standard + CNB code list provided for specific securities without ISIN codes, shares in investment funds and specific short-term papers)

3. Currency (ISO 4217; code list provided by the CNB)4. Original maturity (+ grace period, both counted in

months)5. Notice period (counted in months, to be filled only before

the notice period has been initiated)6. Indexation (related to fc-indexed instruments – one code

for 2-sided indexation and one for 1-sided indexation)

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7. Portfolio (17 different codes (related to IAS and ISFR) that fit the banking supervision needs, detailed explanations provided)

8. Marketability (loans: nonmarketable, occasionally traded; securitized)

9. Capital characteristics (related to subordinated debt instruments that show some characteristics of equity instruments – code list provided to fit the needs of banking supervision)

10. Risk group (code list and explanations provided to fit the needs of banking supervision)

11. Built-in derivative (0-1 indicator; not related to derivatives that can be separated by contracts or that are contracted with different clients than the main instrument)

12. Related variable (variable to whose value relates the derivative (including built-in derivatives) – code list with 12 modalities)

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Amount and record indicators:

1. Type of the amount - principal, accrued interest, principal or interest arrears - code list and detailed tables connecting types of amount with particular instruments, together with their portfolio classification provided

2. Record number3. Status (new record, storno, corrected record – to be filled

by the CNB)

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B.2. Statistical side records (1)

Additional reporting records for statistics:

Changes in stocks (AB), Providers of collaterals and guarantees (IZ), Remaining maturity (AD), Opportunity of interest rate reset (AK)(q), Overdue receivables (AE), MFI Interest rates (KS).

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B.2. Statistical side records – Changes in stocks (1)

The structure of the record is the same as AA, but there are specific types of amounts: principal or interest writeoff (Ct),

price adjustment (Pt).

Exchange rate changes are calculated from AA: St – end-period t stock in currency c,

ect - end-period t exchange rate of currency c against

HRK ,

ē ct,t-1 - average exchange rate of c against HRK for

period t.

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B.2. Statistical side records – Changes in stocks (2)

Calculation of Flows (Ft):

From records AA for reporting dates t and t-1: St and St-1– end-period stocks

From record AB for reporting date t Ct – principal and interest writeoffs,

Pt – price adjustments.

Calculation from both AA for t and t-1 and AB for t: ERA – exchange rate adjustments, Part of Ct – coverage adjustments, reclassification

adjustments...

tttttt ERAPCSSF )( 1

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B.2. Statistical side records – Providers of collaterals and guarantees

Part A (identification) of the record AA is the same, and from part B (instrument specification) only the type of instrument is required,

In addition, it contains the identification of the provider of the guarantee (ID, tax number, country and nonresident sector) and the type of the guarantee (mortgage, deposit, securities, uncoditional guarantees),

As a type of amount it can be the total net amount of the instrument or the part of it that is covered by the gurantee.

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B.2. Statistical side records – Remaining maturity (1)

Part A is the same as in the main record, except that both the consolidation and county are not requried.

From part B it contains the type of instrument, currency, indexation, type of portfolio and capital characteristics.

In addition, the information on both the original maturity of the instrument and the remaining maturity of each flow (both classified in 13 different intervals) is required.

As a type of amount it can be gross/net principal or interest payment.

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B.2. Statistical side records – Remaining maturity (2)

Maturity intervals (upper limit included):

Up to 15 days, From 15 days to 1

month, From 1 to 2 months, From 2 to 3 months, From 3 to 6 months, From 6 to 12 months, From 12 to 18 months,

From 18 to 24 months,

From 2 to 3 years, From 3 to 5 years, From 5 to 10 years, From 10 to 20 years, Over 20 years.

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B.2. Statistical side records – Opportunity of interest rate reset

Part A is the same as in the Remaining maturity, except that also the country of nonresident and the relation with the reporting institution are not requried.

Part B is also the same as in the Remaining maturity, except that the indexation is not required.

In addition, the information on the remaining maturity of the opportunity of interest rate reset (classified in the same 13 intervals) is required.

As a type of amount it can be gross receivable or payable.

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B.2. Statistical side records – Overdue receivables

Part A is the same as in the Oportunity of interest rate reset.

Part B requires only the type of instrument.

In addition, the information on the overdue time of the particular payment, classified in the same 13 intervals, is required.

As a type of amount it can be gross receivable of principal or interest.

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B.2. Statistical side records – MFI Interest rates

Part A is the same as in the AA, except that the county and the relation with the reporting institution are not required and for the country only RH and EU are asked for.

Part B has somewhat different structure:

B group of attributes

Instrument Currency Original maturityPeriod of

noticeIndexation Portfolio

Risk category

Amount of a loan

Initial period of interest rate

fixation

Collateral/ Guarantees

The type of instrument modalities cover all loans and deposits.

The type of amount can be the nominal/effective interest rate on outstanding amount/new business or the amount of new business (the outstanding amounts are taken from AA).

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B.3. Supervisory side records (1)

Additional reporting records for supervision:

1. Additional information on overall business

2. Client specific additional information

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1. Additional information on overall business

Cummulative changes of value adjustments and provisions (AS, related to AA)(q),

Currency induced credit risk (AW, related to AA) (q),

Profit and loss accounts (RA) Other information (OI).

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Additional types of amount:AS: cummulative changes of value adjustments or

provisions related to credit risk change, cummulative changes in write-offs,

AW: 6 different types of (hedged and unhedged) exposures (related to principal and interest) to exchange rate induced credit risk

RA: position of the PLA + 10 different types of cummulative (interest, non-interest...) earnings and costs from January 1st to the reporting date

New instruments: RA: 40 new instruments, related to the structure of the

PLA

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2. Group of records related to specific clients:

Lists of groups, physical persons & related legal persons (PO),

Balance sheet and off-balance sheet items (AF – physical persons, AN - nonresidents),

Cummulative changes of value adjustments and provisions (AP, from AF/AN)(q),

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2. Group of records related to specific clients (cont.):

Currency induced credit risk (AV, from AF/AN)(q),

Exposure to related clients (AI) (q), Investments in capital (AU)(q), Tangible assets including those acquired

in exchange for claims (AM)(q),

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Additional fields in the client part of the record:

Counterparties on individual basis – detailed information for the aggregate from the main record AA (tax number, official or internal ID, MFI ID for EU MFIs),

Basis for identification – type of special relation with the reporting institution (direct/indirect ownership relations, special relations for physical persons, protection provider or fiduciar owner, previous owner of acquired nonfinancial asset etc) ,

Type of institution – code list for 12 financial and 1 nonfinancial institutions

Details on counterparty – additional descriptive information

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For records AI, AU and AM there are also: some additional instruments (i.e. different

kinds of exposure relating to different financial instruments and different guarantees),

some new fields in the instrument part of the record (i.e. “Acquiring” relating to the number of days of excessive exposure in AI or to the number of days after acquiring capital (in AU) or intangible assets (in AM),

some additional types of amount (in AI, relating to different kinds of exposure).

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B.4. Other inputs to the system

Code lists:

Register of institutional units, Sector classification of institutional units (daily

input from the CBS), Classification of activities (NACE 2002 and

NACE2 2007 versions), List of non-resident MFIs and other institutions, List of currency codes, Lists of counties in the Republic of Croatia, List of countries and international institutions.

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Content

C. Output side:

1. Statistical reports2. Supervisory reports

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C. Output side: old vs. new

Methodologicaly – 2 parallel approaches:

Construction of the bridging tables that ensure the reconstruction of the old monetary statistics output from the new set of data this is only partially possible since the old system relied on

banks’ discretion regarding sectorization of clients, so we prepared 2 versions of that bridging output: with old

sectors (including the guessing of how banks followed the methodological instructions for sectorization in the old system) and with new sectors (but otherwise structured according to the old system).

Preparation of new output that is completely in line with ESA95 and ECB requirements (both for our dissemination and for ECB puposes).

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C. Output side: relational db vs. dwh

Technicaly – 2 parallel approaches: Preparing fixed reports in the relational database

(chosen for the bridgeing reports). Pro: it can be done by the CNB’s IT Department Con: not flexible enough to cover all the possibilites

offered by the new system and it’s granularity Using DWH (chosen for the new ESA 95 output).

Pro: possibility of using (via interactive dashboards) predefined reports with flexible filtering, navigation and data decomposition to the lowest level of detail, as well as tailor-maid answers that could cover all the needs from the bank and other users of monetary statistics.

Con: not supported by the CNB staff, so the outsourcing is needed and it implies extremely slow public tender procedures and quite ambigous maintenance arrangements.

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C. Output side: supervisory reports (1)

Once the input is in the system, supervisors produce “Supervisory reports” from those records and send it to the management of the reporting bank to approve it.

There are two types of reports: fixed (with fixed structure), variable (with variable structure, depending

on the number of specific clients)

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Fixed reports:

1. Balance sheet (BN, from AA)2. Report on off-balance sheet items (IBS, from AA)3. Report on credit risk exposure by risk categories

(RS2, from AA)4. Report on tangible assets (MIKI, from AM and OI)5. Report on exposure to currency induced credit risk

(VIKR2, from AW)

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Fixed reports (cont.):

6. Report on past due receivables (DNP, from AE)7. Report on remaining maturity of assets and

liabilities (ROC, from AA and AD)8. Report on changes in value adjustments and

provisions (PIV2, from AA and AS)

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Variable reports:

9. Report on large exposures (VIKI, from AA, AF, AN, AI, IZ, OI & PO)

10. Report on exposures to persons in special relationship with the credit institution (POKI, from AA, AF, AN, AI, IZ, OI & PO)

11. Report on investment in companies' capital (UKT2, from AU, OI &PO)

12. Report on tangible assets acquired by the credit institution in exchange for its claims (PIKI, from AM, OI and PO)

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13. Report on exposures to debtors (ID2, from AA, AF, AN, AP, AS, AV, AW and PO)

14. Report on exceeding the exposure limits (POVI, from AI and PO)

15. Report on exposure to protection providers (IDZ, from IZ, OI and PO)

16. Report on borrowers whose debt exceeds HRK 5m (D5M2, from AA, AF, AN and PO)

17. Report on credit institution shareholders with 3% or more of shares and persons connected with them (PD32, from AA, AF, AN, IZ and PO)

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D. Legislation

Law on credit institutions,Decision on reporting for statistics and supervision,Instructions for the implementation of the Decision… (includes descriptions of all possible modalities for all attributes)

Methodological Annexes: Explanatory notes for reporting records (addendum to instructions)List of compulsory and optional entries of attribute modalities by instruments,List of compulsory entries of attribute modalities by records, Possible combinations of modalities for 4 attributes: type of record, type of

instrument, type of amount and type of portfolio (dynamic approach, cca 800 pages),

List of instruments for which the reporting institution is a counterparty, Classification of granted loans (explication of criteria – by purpose vs. by

specific structure), Deadlines for data submission by reporting records,Identification numbers for counterparties without identifier (Jugobankas), List of government units as providers of collaterals and guarantees (extract of

the sector classification needed for IZ).

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E. Implementation

The project was approved by the Governor at the end of 2006.

Preliminary actions: Preparation of methodological freamework,

communication with the management and colleagues from IT and legal departments,

Survey on the organization of the reporting function in the banks,

2 workshops with 10 biggest banks; 2 seminars for other banks,

Communication with colleagues in the Accounting department of the CNB

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E. Implementation

Step-by-step implementation :• 1) main record• 2) side records (except for interest rates and PLA)• 3) higher (10days) frequency for main record• 4) interest rates• 5) profit and loss accountThe content of each step: Draft regulation with methodological

notes Discussion with the biggest

banks Final regulation + seminar for

small banks Testing period (12-18 months) Official reporting requirement

First data published as of 31st of March 2013, back series constructed since end 2010.

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F. Operational functioning of the system

• statistical AA comes 3 times a month: 5 days after 1st and 2nd decade and 6 days after the end of month,

• KS arrives 10 days after the end of month,• other statistical records (AE, AD and IZ) and

monthly supervisory records (AA, AB, PO, AF and AN) come 25 days after the end of month,

• quarterly records (AS, AP, AW, AV, AI, AK, AU, AM and RA) arrive 25 days after the end of the quarter,

• audited annual records (all except AB and KS) arrive 4 months after the end of the year,

• consolidated records (AA, PO, AF, AN, AI, AU, AM, IZ and RA) arrive on Sept 30th and 4 months after end-y.

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F. Operational functioning of the system

• Since the data enters the system automaticaly, we have introduced a ramp that blocks the entrance after the deadline for each report.

• The Reporting Committee has been established, in order to discuss on allowing late entrance on case-to-case basis.

• The committee comprises of representatives of both statistical and supervisory functions, as well as from the legal and IT departments and different users of the data within the bank.

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G. Further development

• ECB output for consolidated balance sheet and interest rates (expected as of end 2013),

• data on MMF balance sheets should be incorporated (already incorporated in the output for the ECB, for the CNB official output expected as of end 2013),

• tax-number system still doesn’t work perfectly (establishing close cooperation with tax authority is in progress),

• automatic links with other statistics - BOP, external debt statistics, FA etc. (work in progress, postponed to avoid overburdening of the IT department) .

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Instrument

Konsolidirano

izvješće

Instrument

ISINValuta

Izvorno

dospijeće

Mogućnost

promjene

kamatne stope

Otkazni

rok

Indeksacij

a

Portfelj

Osobina

kapitala

Rizična

skupina

Ugrađeni

derivat

Utrživost

depozita i

kredita

Namjena

kredita

10

11

12

13

14

15

16

17

18

19

20

21

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23Comments and questions?

GotovinaGotovina u blagajni

1001

2001

3001

Čekovi i drugi instrumenti plaćanjaBanaka

1002

2002

3002

Stranih financijskih institucija

1003

2003

3003

Ukupno gotovina

1004

2004

3004

Depoziti kod HNB-aIzdvojena obvezna pričuva

1005

2005

3005

Žiroračun (račun za namirenje) kod HNB-a

1006

2006

3006

Ostali depoziti kod HNB-a

1007

2007

3007

Ukupno depoziti kod HNB-a

1008

2008

3008

DEPOZITI KOD BANAKA Domaće banke

1009

2009

3009

HBOR

1010

2010

3010

Strane bankeDepoziti po viđenju

1011

2011

3011

Oročeni depoziti i depoziti s otkaznim rokom

1012

2012

3012

Ukupno depoziti kod banaka

1013

2013

3013

DEPOZITI KOD OSTALIH BANKARSKIH INSTITUCIJA 1014

2014

3014

DEPOZITI KOD NEBANKARSKIH FINANCIJSKIH INSTITUCIJA 1015

2015

3015

DEPOZITI KOD BANAKA U STEČAJU

1016

2016

3016

monetary data collection system at the croatian national bank

Documents

common reporting system

reporting date

new system

bank loans

maturity loans

sellingtotal loans

householdstotal loans

main record