Jean-Marc Israël
Head of Division,
Monetary and Financial Statistics
ECB
Statistics for macro-prudential
analysis and micro-prudential
supervision:
transferable insights to other
central banks
Skopje seminar
2-5 October 2013
Outline
1
International approach
2
3
European approach
Prospects for micro-prudential supervision
2
Outline
1
International approach
2
3
European approach
Prospects for micro-prudential supervision
3
Reliable statistics for global financial stability
Central banks developed large amount of high quality data
- For monetary policy purposes
Financial crisis revealed additional efforts are needed
- For better financial stability analysis
Official statistics support multilateral policy responses
- Increasing economic interdependencies among main economies need globallycomparable economic and financial statistics/indicators
Crisis and role statistics
Macroeconomic surveillance
Conclusions
4
Statistics for financial stability: G-20
Action plan on IMF/FSB report to G-20
1.
20 Recommendations developed and implemented
2.
Key role Inter-Agency Group on Economic and Financial Statistics
3.
Principal Global Indicators (PGIs) website
 http://www.principalglobalindicators.org
Furthermore, G-20 support to the FSB-led initiative to create
a global Legal Entity Identifier
5
G-20 Recommendations
G20 Recommendations
1.
Better capture build-up risk financial sector
2.
Improve data international financial network connections
3.
Monitor vulnerability of domestic economies to shocks
4.
Better communication official statistics
6
G-20 Recommendations
Data gap
Existing framework and
ongoing collection
Framework needs further
development
Build-up of risk
in the financial
sector
#2 Financial Soundness Indicators
(FSIs)
#5 Credit Default Swaps
#7 Securities
#3 Tail Risk in the Financial System
Cross-border
linkages
#10, #11, #12 Coordinated Portfolio
Investment Survey, International
Banking Statistics, International
Investment Positions
Vulnerability of
domestic
economies to
shocks
#4 Aggregate Leverage and Maturity
Mismatches
#6 Structured Products
#8 and #9 Global Network Connections
and Systemically Important Global
Institutions
#13 and #14 Financial and Nonfinancial
Corporations’ Cross Border Exposures
#15 Institutional Sector Accounts
#17 Government Finance Statistics
#18 Public Sector Debt
#16 Distributional Information
#19 Real Estate Prices
Improving
#20 Principal Global Indicators (PGI)
communication
7
European Union (EU) and G-20
• The EU has a double role in the G-20 data gaps initiative:
– EU as Member of the G-20
Eurostat and ECB are providers of the statistics for the EU and
the Euro Area
– Geographical area
Eurostat and ECB act as regional hubs for data collection for
the EU countries
Eurostat and the ECB promote the developments of the
European Statistical System and of the European System of
Central Banks to match the G-20 Recommendations
8
Strategic action lines
1
Sectoral accounts work of high importance
2
3
Comprehensive and high-quality data essential
4
Align data requirements for macro- and micro-prudential
needs
5
6
Demand for greater granularity of data
Look for synergies with IMF SDDS Plus requirements
Need to set priorities and timelines and to provide resources
9
2012 IMF/FSB Report to G-20: action plans
Table 1: Enhancements Existing Statistical Frameworks and Ongoing Collection
Recommendation
Enhancements
Implemented
Progress to date in G-20
Economies Reporting
Timetables Going
Forward and outstanding
issues
#2. Financial Soundness Indicators
#5. Credit Default Swaps
#7. Securities Statistics
#10/#11. Coordinated Portfolio Investment
Survey
#10/#11. International Banking Statistics
#12. International Investment Position
#15. Sectoral Accounts
#17. Government Finance Statistics
#18. Public Sector Debt
#19. Real Estate Prices
#20. PGI
10
Outline
1
International approach
2
3
European approach
Prospects for micro-prudential supervision
11
2.1
Macro-prudential oversight
in Europe
12
Macro-prudential oversight
As the financial crisis, triggered in August 2007 persisted and spread, in
particular with the Lehman collapse in September 2008, the Financial
Stability Board (in particular the US and the EU) decided to react to:

Enhance micro-prudential supervision

Develop a new function: macro-prudential oversight
Both micro and macro-prudential activities heavily rely on
timely, accurate and harmonised datasets
NB: Micro-prudential supervision stands for the oversight of individual institutions
in the respective sector (banking, insurance, etc.)
Macro-prudential oversight
Data needs
ECB response
13
European institutional framework (I)
Macro-prudential supervision
European Systemic Risk Board (ESRB)
ECB
27 EU
National
Central
Banks
EU
Commission
Chair of
Economic and
Financial
Committee
Macro-prudential oversight
3 European
Supervisory
Authorities
Advisory &
Scientific
Committees
National
Supervisory
Authorities
Data needs
ECB response
14
European institutional framework (II)
Micro-prudential supervision
Joint Committee of European
Supervisory Authorities (ESAs)
Banking
(EBA)
National
Banking
Supervisors
Macro-prudential oversight
Insurance and
Occupational
Pensions (EIOPA)
National
Insurance and
Pension
Supervisors
Data needs
Securities and Markets
(ESMA)
National
Securities
and Markets
Supervisors
ECB response
15
Scope of macro-prudential oversight
Macroprudential
oversight
[ESRB]
Macroeconomic policies
Microprudential supervision
Macroprudential oversight
•
Contribute to prevention of systemic risks to financial stability in the EU
•
ESRB establishes link micro-prudential supervision and macro-economy
•
ECB provides statistical support to ESRB
Macro-prudential oversight
Data needs
ECB response
16
2.2
Data needs for financial
stability purposes
17
Financial stability analysis – data needs
ECB: identify main datasets and set priorities for ESRB/ECB’s own
financial stability needs
Led to breakdown in 6 risk categories:
1.
Interlinkages
4.
Credit risk
2.
Profitability and solvency
5.
Market risk
3.
Funding and liquidity
6.
Macro risk
Macro-prudential oversight
Data needs
ECB response
18
ECB’s statistical initiatives
Risk typologies
For each risk category, it is
assessed:
– Which data are available according
to the appropriate concepts
– Possible proxy data
– Are data missing?
Macro-prudential oversight
Data needs
1.
Interlinkages
2.
Profitability and solvency
3.
Funding and liquidity
4.
Credit risk
5.
Market risk
6.
Macro risk
ECB response
19
ECB’s statistical initiatives
• Data often available in Eurosystem/ESCB
or other national (supervisory) authorities
 Otherwise,
surveys enable to get a picture
• Distinctive datasets:
• Active: data are reported to the competent authority
• Passive: data are defined (e.g. supervisory framework)
though not regularly reported
• Ad-hoc: data need first to be defined and then reported
Macro-prudential oversight
Data needs
ECB response
20
2.3
The ECB response
21
The ECB response to financial stability data needs
New statistics on
• Investment funds (2009)
• Financial Vehicle Corporations
engaged in securitisation (2011)
Development micro-datasets
• Centralised Securities Database
• Securities Holding Statistics
Loans
Consolidated banking data
Register of Financial Institutions
Household and corporate surveys
• Insurance Corporations and
Pension Funds (2011)
• Financial market statistics
•
•
•
•
Enhancements to statistics
• Further development euro area
accounts (flow of funds, etc.)
Other datasets
• BIS banking and CDS statistics
• IMF FSIs
• Implementation new manuals
(SNA2010-ESA2010, BPM6, etc.)
Macro-prudential oversight
• Commercial data
• Ad-hoc surveys
Data needs
ECB response
22
New statistics- better information on all financial sectors
Enhanced Monetary and Financial Statistics
• New statistics on assets and liabilities of euro area
Investment Funds
Investment Funds
Financial Vehicle
Corporations
Insurance
Corporations &
Pension Funds
• Regular compilation statistics on euro area Financial Vehicle
Corporations engaged in securitisation transactions and
MFI securitisation
• New statistics on euro area Insurance Corporations &
Pension Funds
Macro-prudential oversight
Data needs
ECB response
23
New statistics- better information on all financial sectors
Enhanced Monetary and Financial Statistics
• Further advancing timeliness
Timeliness
Breakdowns
• Providing more breakdowns of banks’ balance sheet and
interest rates
• New data on credit lines granted by banks
Credit lines
• Compilation harmonised financial statistics on a
consolidated basis
Compilation
• Working with supervisors in a better alignment of
supervisory and statistical concepts and data
Alignment
Macro-prudential oversight
Data needs
ECB response
24
New statistics - Better information on financial markets
Other monetary / financial statistics in demand
1.
Financial markets statistics
2.
Probability density functions
3.
Exposures to sovereign debt/GFS
4.
STEP market statistics
5.
Foreign currency borrowings by non-financial corporations, households,
or credit institutions
Macro-prudential oversight
Data needs
ECB response
25
Developments of micro-datasets
Statistics and Micro-databases
Register of Financial institutions and groups composition
1
Consolidated Banking Data/National Banking Indicators
2
3
Granular Credit Data
4
Sectoral/individual Issuance and Holdings of Securities
5
6
Household consumption and financing survey
SME Corporate finance
Macro-prudential oversight
Data needs
ECB response
26
Other datasets
Other datasets
Ad-hoc surveys
• BIS banking statistics
(consolidated and locational by
nationality)
• Occur for specific issues
• Tailored to latest developments in
financial sector
• Banks’ disclosures
• Especially while EU Supervisory
reporting frameworks are still in
the making
• Commercial data from
Bloomberg, Moody’s, etc.
Macro-prudential oversight
Data needs
ECB response
27
Enhancements to macroeconomic statistics
1. Enhancing integrated quarterly financial and non-financial
accounts euro area:
• Advance timeliness
• Improve consistency
• Enhance completeness, coverage and length
2. Consolidated lending exposures credit institutions vis-à-vis
counterparts
3. Implementation of new international statistical standards
(SNA2008-ESA2010, BPM6)
Macro-prudential oversight
Data needs
ECB response
28
ECB support to the ESRB
Improvements
• White Book – i.e. regular information pack
• Reference database
 for
surveillance reports and regular models supporting risk analysis
• Risk Dashboard
• Focus on EU Member States, e.g. National banking indicators
Macro-prudential oversight
Data needs
ECB response
29
Examples
Examples presentations White Book
Macro-prudential oversight
Data needs
ECB response
30
Examples
Macro-prudential oversight
Data needs
ECB response
31
ESRB Risk Dashboard

The European Systemic Risk Board (ESRB) monitors and assesses the
sources of systemic risk across the EU financial system as a whole

The ECB provides analytical, statistical, administrative and logistical
support to the ESRB

Legal obligation to define a risk dashboard


ESRB Regulation (Art. 3.g) requires that the ESRB “in collaboration with the
ESAs, develop a common set of quantitative and qualitative indicators
(risk dashboard) to identify and measure systemic risk.”
ESRB Risk Dashboard defined in cooperation with the ECB
Macro-prudential oversight
Data needs
ECB response
32
ESRB Risk Dashboard
1st publication 20 September 2012
Objectives
Risk assessment
Input further systemic risk analysis
Communication tool
Specifications:
45 indicators and 6 risk typologies
Allows synthetic view situation for deeper analysis
Cannot replace expert judgement, but complements it
Macro-prudential oversight
Data needs
ECB response
33
ESRB Risk Dashboard
Interlinkages
Profitability & Solvency
Liquidity & Funding
• Composite indicator of systemic stress (CISS)
• Average systemic risk contribution of individual
institution to overall risk using CoVar (EU banking syst.)
• EU large banks: Leverage ratios
• Bank liabilities structure
Credit risk
• Households debt-to-gross disposable income
• Real estate comm. property, market size over GDP
Macro risk
• Domestic credit-to-GDP ratio
• Actual and forecasted GDP growth
Market risk
• Global risk aversion indicator
• Price/earning ratio
Macro-prudential oversight
Data needs
ECB response
34
ESRB Risk Dashboard
Six risk typologies
Interlinkages
Macro risk
Credit risk
Market risk
Liquidity and funding
Interlinkages
Profitability & solvency
35
ESRB Risk dashboard examples
Funding and liquidity
36
“Good
statistics are much cheaper than policy mistakes‘‘
(Janez Potočnik, EU Commissioner for the Environment, Eurostat Conference 2011)
Outline
1
International approach
2
3
European approach
Prospects for micro-prudential supervision
38
Overview
Overall framework and legal provisions for collection
of information to support the tasks of the SSM
Organisational chart for supervisory data
SSM: Other data-related issues
Outstanding issues
Overall framework (1/2)
Euro area summit statement (29 June):
“The Commission will present Proposals on the basis of Article 127(6)
for a single supervisory mechanism shortly. We ask the Council to
consider these Proposals as a matter of urgency by the end of 2012.
When an effective single supervisory mechanism is established,
involving the ECB, for banks in the euro area the [European Stability
Mechanism] could, following a regular decision, have the possibility to
recapitalize banks directly.”
=>
Draft Regulation will soon be adopted
(based on Art. 127.6 of the Treaty)
40
Overall framework (2/2)
Three components:
- Banking supervision (on- and off-site) – high priority
- Resolution mechanism
– second high priority
- Deposit guarantee scheme
– lower priority
It has become critical to
“break the vicious circle between banks and sovereigns”
41
Commission proposal on the SSM agreed by
Council (ECOFIN) on 12 September 2012 (I/3)
Scope – some important articles
Art. 5: Both the ECB and national competent authorities shall be subject to a
duty of cooperation in good faith, and an obligation to exchange information
Art. 9: ECB empowered to require […] including information to be
provided at recurring intervals and in specified formats for supervisory
and related statistical purposes
Art. 18: Separation from monetary policy function; […] the ECB shall adopt and
make public any necessary internal rules, including rules regarding professional
secrecy and information exchanges between the two functional areas.
Art. 20: Professional secrecy and exchange of information [with national or
European authorities and bodies]
42
Commission proposal on the SSM agreed by
Council (ECOFIN) on 12 September 2012 (2/3)
Scope – article 5(4)
The ECB shall be responsible for the supervision of significant banking groups, stand-alone
banks and branches, which on a consolidated basis meet any of the following conditions
Total assets > €30 bn
Ratio total assets/GDP > 20% (unless total assets < €5 bn)
Significance is notified by NSA and confirmed by ECB
Upon ECB initiative, significant cross-border activity
(subsidiaries in more than one countries etc.); Methodology
Receiving public assistance from EFSF or ESM
The three most significant banks in each country
By 1.7.13, ECB to publish the framework (list of significant banks, methodology, etc)
43
Commission proposal on the SSM agreed by
Council (ECOFIN) on 12 September 2012 (3/3)
Legal power to request information
INVESTIGATORY POWERS
Article 9
Requests for information
Information can be requested from
The ECB may require the following legal or natural persons
(see list below) to provide all information that is necessary in
order to carry out the SSM tasks, including information to be
provided at recurring intervals and in specified formats for
supervisory and related statistical purposes. Where the ECB
obtains information directly from these persons, it shall make
that information available to national authorities concerned.
credit institutions
financial holding companies
mixed financial holding companies
mixed-activity holding companies
persons belonging to such entities or 3rd parties to
whom entities have outsourced functions or activities
…. in compliance with single rule book (by European Banking Authority)!
44
Organisation chart for supervisory data flows:
state-of-play in euro area countries
 In 13 euro area countries the NCB is also the NSA
 The organisation of supervisory reporting is integrated either in Statistics or
in a separate unit (with access to supervisory data)
 In the remaining 4 euro area countries (EE, FI, FR and MT)
 Supervisory data are collected by the NCB on behalf of the NSA in MT and FR
 Statistics have access to the supervisory data in the NCBs of EE and FI
 In Banque de France, access to supervisory data is limited to statistical use
 Consequent working assumption (to be validated):
 data flows can be organised via (Statistics Departments of) NCBs in the
euro area
45
Organisation chart for supervisory data flows:
MFI balance sheet statistics: a model for SSM?
MFIs
National
perspective
Individual
Monetary analysis
Economic and financial
stability analysis
NCBs
Minimum reserves
Individual &
aggregated
ECB
Euro area and
EU perspective
Other statistical purposes:
• National accounts
• Balance of payments
46
SSM – Other data-related issues (1/2)
Coverage:
• About 130 Banking groups in the euro area
based on the thresholds in the draft Regulation
• Ca. 2,000 Credit institutions
– pertaining to these banking groups and financial conglomerates, or
– stand-alone banks
Reporting
• The banking groups will fall under the micro-supervision of the ECB,
and will still remain subject to EU law (likely from mid-2014)
– e.g. single rule book will apply, as set up and maintained by the EBA
• The ECB may need additional, more specific and timely information
47
SSM – Other data-related issues (2/2)
Scope:
• Initial pilot based on data available
• For supervision of ‘significant’ cross-border groups, ECB staff
will need to adequately receive, store and disseminate highly
sensitive information
 based on the existing (not fully comparable) and forthcoming
(harmonised) FINREP / COREP
• The ECB will also make available a wide range of (available or
new) information on
» groups’ composition (for mapping purpose, and combining various datasets)
» very granular securities (issues and holdings),
» loans (from credit registers, etc.),
» derivatives (e.g. CDS)
48
Many outstanding questions arising from SSM
Sharing of tasks will have an impact on scope of individual
information collected by the ECB
How will the task related to
data collection be shared
with national authorities?
How many banks will be
supervised under the
SSM and from when?
Access by supervisors to
ECB statistical data?
Data flow to/from
EBA/ESMA/ESRB?
Uses of information for
macro-prudential or
monetary policy analysis?
Internal ECB organisation:
integration of
supervisory/statistical data
processes?
Which data from banks not
supervised by ECB?
National discretion in
current supervisory
reporting (e.g. Pillar II and
FinRep for non-IFRS banks)?
List of significant banks and
their maintenance?
49
Thank you for your attention!
Questions? ☺
50