The Use of Microdata in the Financial System
Information Model of Banco de México
DISF, June/2013
Introduction
• The current financial system information model of Banco
de México was a strategic response to the “Tequila
Crisis”.
• Mexico’s information vulnerabilities at the end of 1994:
Disperse,
non-structured
and
duplicated
information
requirements from financial authorities;
Heavy information burden, i.e., too many data requirements,
some of them obsolete or inaccurate; and
Inadequate frequency, granularity, and opportunity of the
information.
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1
Introduction
• Available information was insufficient to identify, measure
and monitor risks.
• Some strategic decisions were undertaken to address
the information problems highlighted by the crisis:
High level of granularity (transactional or very detailed
information) and frequency of information requests to improve
the net return of data requirements.
Top-level agreements (MoU) among financial authorities to
increase coordination and efficiency in the use of information.
Generate economies of scale and reduce duplicate requests.
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The Information Model at Banco de México
Collected by BANCO DE MEXICO, directly from the institutions
Commercial banks, development banks, brokerage houses, exchange houses, other regulated financial entities.
Other financial authorities (CNBV, CNSF, CONSAR), price vendors, securities depository, credit card switches, exchanges, etc.
Non-transactional
(Granularity according to the type of information)
Transactional or very detailed information
Daily
Foreign Exchange
Ops.
Derivatives
Time deposits,
interbank loans and
deposits
Financial Products and Services
Regulated Fees and
Commissions
Ratings, prices, indices, interest rates,economic and financial variables and risk factors
Securities
Demand deposits
Monthly
Commercial loans
Mortgages
Bimonthly
Consumer loans: credit cards and other loans
Quarterly
Daily information on transactions of credit and debit cards (switches)
Basel III Capital
adequacy
Insurance & pension funds' investment
portfolios
Basel III Liquidity
requirements
Equities holdings
Regulated intermediaries' financial
statements
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The Information Model at Banco de México
Advantages:
Scope and Depth
Detailed information facilitates generating
aggregates and indicators
Cost Saving
Quality
Transactional information reduces
reporting costs to the intermediaries
Improves consistency among different
reports of the same institutions
Faster response time to users
It is possible to cross-check an entity’s
information with that of its counterparty
Economies of scales
It is also possible to perform cross-checks
with other sources of information
Supervisors can identify relevant
operations and measure their marginal
contribution
High granularity of information allows for
deeper identification and analysis of
entities’ risks
Counterparty identification allows building
detailed models of risk and network
analysis
Costs:
- High costs of new requirements
- High maintenance cost
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The Information Model at Banco de México
• Enhancing quality and consistency through cross-checks
Cross-checks
consistency
Specific operations
j-th
Transactional
template
i-th
Authority
information
Pivot
template
Balance
Sheets
k-th Aggregated
data template
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Derivatives
Operation by operation OTC and Exchange Traded: Life
Cycle and Snapshot Approaches ( = Derivatives Repository)
Debt Securities
Operation by operation, securities: lending, repos and spot
sales/purchases.
Credit Cards
Other Consumer Credits
Monthly
Financial Statements
Bank Balances
Other Regulatory
Reports (other
authorities)
Monthly
Regulatory
Compliance
Daily
Qrt
FX Cash operations
Payment Systems
Costs
Commercial Credit Registry Loan by loan
Card by card balance, interest and payments & Transaction
by transaction from switches (include debit cards)
Loan by loan : 1) payroll, 2) personal, 3) automobile, 4)
durable goods, 5) group and 6) others
Financial balances with sectorial breakdown
Mortgages, operative reports, securities portfolio of
investment funds, pension funds and other institutions
FX cash operations
Liquidity Risk
Financial Institutions
FX positions
International Banking Statistics
(BIS)
Monetary and Financial
Aggregates
Balance of Payments
Financial Positions of
Households and Firms
Checks, transfers, cards, ATMs, costs of payment systems
Financial Programming
FX regulatory Regimes Liquidity and Exchange Risk
Fees and Commissions Costs of Deposits and Credit Financial Products (SMEs and
Registry
Households)
Capital Requirements
Templates with high level of detail
(Basel III)
Liquidity (Basel III)
Capital Requirements Model
Indebtness by Sector
Macrofinancial Analysis
Commercial Credit
Contagion Models
Market Risk Models
High level of detail
Information collected by Banco de México
Costs of
Finanancial
Serv ices
Bimonthly
Monthly
Interbank Funding and Detail of interbank funding, funding concentration and time
Time Deposits
deposits
Some Uses of Information
Risks
both Micro and Macroprudential
Description
Interest Rates and Total Annual
Costs
Regulatory
Compliance
Daily
Markets: Microdata, Transactional or
highly detailed information
Primary Information Processes
Regulation
Risks
Analysis
The Information Model at Banco de México
Fees and Commissions Registry
Reports on Comparative Costs
Derivatives, Securities, Interest
Rates, Capital Requirements,
Foreign Currency Positions
Information collected by other authority
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The Information Model at Banco de México
OTC derivatives
Derivatives data requirements. Transactional information with daily frequency, periodicity and opportunity.
Financial intermediaries
Commercial Banks
Development Banks
Brokerage Houses
Operations
Instruments
Counterparties
Forward & Futures
Swaps
Options
Characteristics of
Life cycle
Instruments (contract)
Specific Transaction
• Type of Instrument (swaps, futures,
forwards, options, and combinations)
• Type of Underlying assets (indices,
interest rates, currencies, stocks,
bonds, commodities, etc.)
• Market (OTC or organized market)
• Asset’s specification (maturity, currency)
• Spot prices, settlement prices, up-front
payment, exercise prices, etc.
• Side in the transaction
• Notional amount
• Dates (effective, delivery, maturity,
termination, settlement)
• Strategy (hedge/speculative)
• Collateral (value, currency, portfolio)
Financial intermediaries/ Counterparties
•
•
•
•
Snapshot
• Forward Prices
• Novations
Entity identifiers
Industrial classification
Type of entity
Nationality
• Ratings
• Deltas and volatilities
• Mark to Market Values
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4
The Information Model at Banco de México
OTC derivatives
A wide coverage of OTC derivatives operations
Available information
DOMESTIC
Commercial
banks
Developme
nt banks
Brokerage
houses
Investment
funds
Pension
funds
Other nonbank
financial
institutions
Non
financial
Financial
entities
Nonfinancial
entities
Commercial
banks
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
√
Pension funds
√
√
√
√
Other nonbank financial
institutions
√
√
√
X
√
√
√
Financial entities
√
√
√
Non-financial entities
√
√
√
Financial entities
DOMESTIC
Brokerage
houses
Investment
funds
Non financial
FOREIGN
FOREIGN
Development
banks
Entities \ Counterparties
√
Reporting institutions
√
Non reporting institutions (indirectly obtained)
o
Not relevant
X
o
√
√
X
X
o
X
o
Not available
√
Not allowed by regulation
Collected by another authority
Transaction between foreign entities
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The Information Model at Banco de México
Derivatives OTC
and X-Traded
By Market (OTC, MexDer, CME, etc.)
By Instrument (Swaps, Futures, Forwards, Options)
By Underlying Assets
By Counterparty Characteristics (Sector, Residence, etc.)
By Maturity
Any Combination of the Previous
Regulatory Compliance (to operate derivatives)
Debt Securities
Transactions
By Instrument
By Operation (Spot market, Repo, Loans)
By Maturity (Original and Outstanding)
By Issuer
By Counterparty
By Currency
By Sector (of the issuer, of the counterparty)
Any Combination of the Previous
Regulatory Compliance (Spot Market, Repo, Loans)
Notional amount outstanding
Volume
Gross market value
Risk position
Report on characteristics of operations,
underlying assets, and counterparties
Outstanding Positions at Market Value
(institutions positions and client positions)
Volume
Detailed characteristics of transactions,
securities negotiated and issuers
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The Information Model at Banco de México
Foreign Exchange
Funding (Demand
and Time
Deposits) and
Interbank Loans
By Classification (Foreign Exchange Swaps and others)
By Currency (Mexican peso vs. major currencies)
By Counterparty Characteristics (Sector, Residence, etc.)
By Maturity
By Sector
Any Combination of the Previous
Spot Positions (Large, Short, and Net)
Regulatory Compliance (Spot, FX Derivatives + all FX)
FX Liquidity and Mismatches
By Market (INDEVAL, Demand and Time Deposits)
By Instrument (CD, Notes, Bonds, etc.)
By Type of Transaction (Call Money, Loans, etc.)
By Maturity (Outstanding and Original)
By Counterparty
By Type of Interest Rate (Fixed or Variable)
Any Combination of the Previous
Amounts Issued by Type of Instrument
Monitoring Tools
Concentration by Major Funders
Spot Turnovers
FX Position
Volume
Amounts Issued by Sector of the Buyer
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The Information Model at Banco de México
Credit
Market by
Sector and
Maturity
Fx Market
by Sector
and
Maturity
Banks and
other
Intermediaries
Balance
Derivatives
Market by
Sector and
Maturity
Monetary
and
Financial
Statistics
Interbank
Market by
Sector and
Maturity
Sheets
Time
Deposits by
Sector and
Maturity
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The Information Model at Banco de México
DATA
COLLECTION
VALIDATION
TRANSFORMATION
DISSEMINATION
• Validation process
During the data collection not only the requirements’ data structure is
verified, but the information’s integrity is ensured (technical validation).
Afterwards, the different kinds of cross-checks previously explained are
performed (business rules).
Some of these checks are made during the data collection process (while
“up loading” the files) and others once the information resides at Banco
de México.
• The transformation process adds value and contextualizes,
aggregates, and consolidates information to be used in regulatory
and risk models.
• Information is mainly disseminated through a central Data Hub.
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The Information Model at Banco de México
Relational Data Model
• On Line Transaction Process (OLTP)
Query by example
Share Point Reporting Services
Excel-Add Ins
Times series
In house development (SIE)
Star model
• On-Line Analytical Process (OLAP)
White Light
Proclarity
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The Information Model at Banco de México
• A particular use of the model is in systemic and contagion risk analysis, since these
•
•
analyses are information intensive and require the identification of exposures,
linkages to relevant counterparties, and risk aggregation.
Martinez et al. (2012 and 2013) build up network models to analyze stress
scenarios and the contagion channels through the financial system, using the high
frequency and high granularity information about financial exposures, contained in
the model of Banco de México.
They conclude that previous research results are probably biased by the lack of a
complete set of information and assumptions like maximum entropy.
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Conclusion
• The use of microdata at Banco de México has been of great help
in attending different information requests from the users with
existing information requirements.
• It has also improved data quality as it allows comprehensive
cross checks between data sets.
• But more importantly, there are benefits to data users due to
the increased analytic value of expanding data to any level of
granularity and the possibility for supervisors to follow the
impact of a particular operation through all data sets.
• In times of financial turmoil the advantages of having precise
information surpasses any maintenance costs associated with
such a model, nonetheless, there are also great benefits in
steady times.
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