Monetary and Statistics Department
Balance of Payments Division
Czech National Bank
Workshop on Integrated Management of Micro databases
Banco de Portugal
20 June 2013
Porto
(1) Historical circumstances and the need for disaggregated data
(2) Securities holdings data collection architecture at the CNB
(3) Compilation - challenges behind and challenges ahead
(4) Summary
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April 2006 - Integration of financial market supervisory authorities into the Czech National Bank
Monetary policy, Statistics,
Banking supervision
Czech Securities
Commission
Office of State Supervision of
Insurance Companies and
Private Pension Schemes
Office for Supervision of Credit Unions
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Since 2006, joint securities holdings data sources have been implemented
(and/or gradually adjusted).
Focus on s-b-s detail and high frequency of reports.
In order to avoid double reporting, there was an effort to accom m odate the needs of different parties concerned:
• Balance of Payments Division,
• Monetary and Financial Statistics Divis i on,
• Financial Accounts and Economic Statistics Division and
• Financial Market Supervision divisions
Many synergies stemming from cooperation of statistics and supervision (i.
e . common data quality checks, lower burden on reporting agents).
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Securities holdings data collection architecture – legislation
Provision of the Czech National Bank No. 1/2012 amending provision of the Czech
National Bank No. 2/2011, stipulating the submitting of statements by banks and foreign bank branches to the Czech National Bank
Decree No. 276/2010 Coll. on submission of statements and some other information by investment firms to the Czech National Bank.
Decree No. 425/2012 Coll. on Submission of Statements by Pension management companies to the Czech National Bank.
Decree No. 433/2009 Coll. on reporting of insurance and reinsurance companies
Decree No. 385 Coll. of 6 October 2008, amending Decree No. 307/2004 Coll., concerning the submitting of information and documents to the Czech national Bank by entities that belong to the financial institutions sector, as amended by Decree No.
34/2006 Coll.
Act No. 219/1995 Coll. of 26 September 1995, Foreign Exchange Act
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Securities holdings data sources at the CNB as of December 2012
Respondent
Respondent
ESA2010 sector
Data collection channel
Level of aggregation
Frequency
Non-financial corporations
(securities held via nonresident custody or in self-custody)
Monetary and financial institutions
Investments funds
S_11 direct reporting
S_121, S_122 direct reporting
S_123, S_124 direct reporting s-b-s s-b-s s-b-s
Q
M
M
Non-bank custodians
Insurance companies
Insurance companies
Pension funds
Short-term bond system
S_126
S_128
S_128
S_129
S_121 direct reporting direct reporting direct reporting direct reporting indirect reporting aggregate aggregate s-b-s s-b-s s-b-s
M
M
Q
M
M
Timeliness
Q + 30 days
M + 15 days
M + 15 days (MMF's),
M + 25 days (IF's)
M + 20 days
M + 20 days
Q + 45 days
M + 15 days
M + 3 days
Custodians (banks + non-banks) S_122, S_126 indirect reporting s-b-s M M + 21 days
December 2006: 27 .
3% of cross-border assets collected on s-b-s basis
December 2012: 99 .
8% of cross-border assets collected on s-b-s basis
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During 2006-2012, trend of disaggregation has implied deep data quality checks and automation.
Portfolio investment statistics
Due to huge amounts of data, portfolio investment compilation is fully automated (PL/SQL procession of data) since 2009.
The presentation of outputs is ensured via OBIEE tool (Oracle Business
Intelligence Enterprise Edition).
Compilation issues in area of portfolio inv. statistics:
• derivation of monthly flows from monthly stocks accompanied by outlier detection system
• identification and exclusion of FDI stocks from data sources
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Within CNB there are 7 security-by-security holdings data sources
(reports); 5 direct + 2 indirect reporting sources.
Different inconsistencies e.g. in data formats, reporting frequencies, reporting deadlines (timeliness) and methodology.
Project at the CNB to set-up Unified Securities Holdings Database
(implemen t ation date: December 2013).
Unified Securities Holdings Database aims at building a database that will contain all security-by-security holdings available within CNB enviro n ment.
This database wil l serve as a basis for who-to whom matrix compilation and for dissemination of sectoral holdings s-b-s data to the ECB (SHSDB).
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• Statistical and supervisory bodies have worked together at the CNB to set up a common securities holdings data collection system.
• Disaggregation trend has prevailed and CNB disposes of 7 security-bysecurity holdings data sources (reports).
• Security-by-security data collection implies huge data amounts with the need for higher automation.
• Different reports bring about inconsistency that can be partly solved by set-up of Unified Securities Holdings Database.
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