The Evolution of Irish Loan-Level Data
Workshop on Integrated Management of Micro-databases
20 June 2013
Rory McElligott, Central Bank of Ireland
The Roadmap
2013: A better
Loan Level
Database
Central
Credit
Register
201X
2011: A
Loan Level
database
2010: Zero
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Initial Motivation for Project
• November 2010: Ireland agreed to a EU-IMF financial
support programme.
• Requirement to complete a bottom-up bank capital
assessment by March 2011.
• The review was completed in just over four months
included loan-level data collection & quality
remediation work, and loan-loss estimates
•
Exceptionally quick due to unique set of incentives
• Review identified stress-case loan losses of €27.7bn
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• The first collection was successful
…but the process an expensive and
unsustainable solution
• Solution was to developed the internal IT
infrastructure, skillsets and governance
• Knowledge transfer from external consultants
• Necessary preparatory work for future CCR project
• Expanded and harmonised definitions, data fields
and templates
• Four data drops now completed
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2
€ Bn
Loans to Irish residents
Challenges remain
100
Frequency
Semi-annual
Timeliness
4-6 month lag
Population
coverage
3 main domestic
banks (all offices)
Covered
Not Covered
80
60
40
20
Unstandardized Fragmented
delivery files,
definitions etc;
(work in progress!)
0
5
How will the data
be used?
Late Stage Mortgage Arrears
Focus is on
informing and
designing policy
Analysts quickly
embraced the new
dataset
Data: European ABS Outlook 2013, Deutsche Bank; Note this is not official data so please be cautious.
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Early papers focused on understanding the condition of
the Irish banking books
December 2010
No
Negative Equity
Yes
No
61.3%
33.9%
Yes
2.4%
2.4%
Arears
(90+ days)
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Source: McGuinness (2011), based on 31 Dec 2010 data.
Analysts then began to model potential future outcomes
1-Year Transition Matrix (unconditional)
Migration model uses
historical performance data to
estimate a detailed transition
matrix through which the
probability default of any loan
can be estimated
(Kelly 2012)
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And are now working to inform broader economic policy
• Assessing fiscal multiplier under strong sovereignbank inter-linkages
• €2bn fiscal stimulus results in saving in bank capital
of €660 million
• Previous research indicated the stimulus would have
a net cost of €1.3bn excluding banking capital gains
– No allowance for other portfolios such as SME
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Use of Loan-Level data for Statistics
• It is not currently possible to get ‘good enough’ fit
to statistical definitions/concept
• Confidence is growing and the benefits of granular
data are widely acknowledged
• Statistics Division are concentrating on working with
CCR project mangers to address major hurdles
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5
Moving towards a Central Credit Register
• The establishment is being fundamentally driven by
supervisory needs
• Motivation to improve credit market intelligence for
lenders, borrowers, supervisors
•
Banking crisis exposed bad credit decisions
• Goal that Credit Register will be operational by end2013.
– phasing roll-out of CCR roll-out completed by 2016
11
CCR Project – Legislation
Key aspects of the Bill include defining the:–Credit information providers
• credit institutions and other regulated financial service providers,
local authorities, NAMA.
–Credit information subjects
• individuals, corporations, sole-traders, partnerships and others
threshold for reporting loans of at least €500.
–Threshold for reporting loans of at least €500
–Levels of access to data by stakeholders
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Summary
Policy outputs justify the investment to date
• Senior policymaker buy-in for flexible microdata
Flexible Data
+ Research
• These early analytical papers help maintain the
momentum and support the business case to
further develop the project.
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Thank You
Rory McElligott,
Senior Economist,
Central Bank of Ireland
Email: rory.mcelligott@centralbank.ie
Tel: +353 (0)1 2246626
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