Monetary Data Collection System at the Croatian National Bank

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Monetary Data Collection System at the Croatian
National Bank

• Igor Jemric
• Statistics Department

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Outline

1. Introduction
2. Input side The main record side records
3. Output side Statistical supervisory reports
4. Legislation
5. Implementation
6. Operational functioning
7. Further development

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Outline

• Introduction
• Motivation for the micro database approach
• Structure of the system

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A.1. Motivation (1)

• old statistical reporting system organized
  following IMFs 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 among
• compilers of macroeconomic statistics
• Working Group on Sector Classification
• of 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.

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A.2. Structure of the reporting system (1)
Monetary Statistics
Banking Supervision

1. total loans held to maturity
2. total loans available for selling

• total loans to households
• total loans to nonfinancial
• corporations

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
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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
Bank the client Instrument Type of amount Amount
Bank the client Instrument Type of amount Amount
Side records for Supervision
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Outline

• Input side
• Main reporting record
• Statistical side records
• Supervisory side records
• 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)
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B.1. Main reporting record AA (3)

• Report indicators
• Type of report (balance sheet, satelite reports)
• Reporting period (end day of the period)
• Consolidated / non-consolidated report
• Preliminary report / report after external
  auditing
• Reporting institution indicators
• ID (unique number given by the CBS)
• Tax Number (unique number given by the MoF)

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B.1. Main reporting record AA (4)

• Client indicators
• ID (unique for each resident legal entity only 2
  codes for physical persons MFI nonresident from
  the ECB list one code for other nonresidents)
• Tax Number
• County (code list provided)
• Country/International organization (ISO 3166
  Annex 2 of the BOP Vademecum, code list provided
  and maintained by the CNB)
• Nonresident sector (ESA 95, ECB MFI and Markets
  Statistics Sector Manual code list and
  explanations provided and maintained by the CNB)
• Relation with reporting institution (non-related,
  primary related (mother-daughter), secondary
  related (sisters) the percentage of ownership
  (both ways))

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B.1. Main reporting record AA (5)

• Instrument indicators
• Type of instrument (over 160 codes and
  definitions provided, together with tables with
  all possible modalities of each indicator for
  each type of instrument)
• ISIN code (ISO standard CNB code list provided
  for specific securities without ISIN codes,
  shares in investment funds and specific
  short-term papers)
• Currency (ISO 4217 code list provided by the
  CNB)
• Original maturity ( grace period, both counted
  in months)
• Notice period (counted in months, to be filled
  only before the notice period has been initiated)
• Indexation (related to fc-indexed instruments
  one code for 2-sided indexation and one for
  1-sided indexation)

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B.1. Main reporting record AA (6)

1. Portfolio (17 different codes (related to IAS and
   ISFR) that fit the banking supervision needs,
   detailed explanations provided)
2. Marketability (loans nonmarketable, occasionally
   traded securitized)
3. Capital characteristics (related to subordinated
   debt instruments that show some characteristics
   of equity instruments code list provided to fit
   the needs of banking supervision)
4. Risk group (code list and explanations provided
   to fit the needs of banking supervision)
5. 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)
6. Related variable (variable to whose value relates
   the derivative (including built-in derivatives)
   code list with 12 modalities)

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B.1. Main reporting record AA (7)

• Amount and record indicators
• 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
• Record number
• 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 ,
• e 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...

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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

• 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
• Additional information on overall business
• Client specific additional information

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B.3. Supervisory side records (2)

• 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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B.3. Supervisory side records (3)

• 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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B.3. Supervisory side records (4)

• 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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B.3. Supervisory side records (5)

• 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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B.3. Supervisory side records (6)

• 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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B.3. Supervisory side records (7)

• 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

• Output side
• Statistical reports
• 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 CNBs IT Department
• Con not flexible enough to cover all the
  possibilites offered by the new system and its
  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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C. Output side supervisory reports (2)

• Fixed reports
• Balance sheet (BN, from AA)
• Report on off-balance sheet items (IBS, from AA)
• Report on credit risk exposure by risk categories
  
• (RS2, from AA)
• Report on tangible assets (MIKI, from AM and OI)
• Report on exposure to currency induced credit
  risk
• (VIKR2, from AW)

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C. Output side supervisory reports (3)

• Fixed reports (cont.)
• Report on past due receivables (DNP, from AE)
• Report on remaining maturity of assets and
  liabilities (ROC, from AA and AD)
• Report on changes in value adjustments and
  provisions (PIV2, from AA and AS)

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C. Output side supervisory reports (4)

• Variable reports
• Report on large exposures
• (VIKI, from AA, AF, AN, AI, IZ, OI PO)
• Report on exposures to persons in special
  relationship with the credit institution
• (POKI, from AA, AF, AN, AI, IZ, OI PO)
• Report on investment in companies' capital
• (UKT2, from AU, OI PO)
• Report on tangible assets acquired by the credit
  institution in exchange for its claims (PIKI,
  from AM, OI and PO)

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C. Output side supervisory reports (5)

• Report on exposures to debtors
• (ID2, from AA, AF, AN, AP, AS, AV, AW and PO)
• Report on exceeding the exposure limits
• (POVI, from AI and PO)
• Report on exposure to protection providers
• (IDZ, from IZ, OI and PO)
• Report on borrowers whose debt exceeds HRK 5m
• (D5M2, from AA, AF, AN and PO)
• 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 account
• The 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 doesnt 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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Comments and questions?