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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. 2. 3. 2. Outline. 1. 2. 3. 3.

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Jean-Marc Israël

Head of Division,

Monetary and Financial Statistics


Statisticsfor macro-prudential analysis and micro-prudential supervision:transferable insights to other central banks

Skopje seminar2-5 October 2013











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 globally-comparable economic and financial statistics/indicators

Crisis and role statistics


Macroeconomic surveillance


Statistics for financial stability: G-20

  • Action plan on IMF/FSB report to G-20

  • 20 Recommendations developed and implemented

  • Key role Inter-Agency Group on Economic and Financial Statistics

  • Principal Global Indicators (PGIs) website

  • 

Furthermore, G-20 support to the FSB-led initiative to create a global Legal Entity Identifier


G-20 Recommendations

G20 Recommendations

  • Better capture build-up risk financial sector

  • Improve data international financial network connections

  • Monitor vulnerability of domestic economies to shocks

  • Better communication official statistics


G-20 Recommendations


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

European Union (EU) and G-20


Strategic action lines


Sectoral accounts work of high importance


Demand for greater granularity of data


Comprehensive and high-quality data essential


Align data requirements for macro- and micro-prudential needs


Look for synergies with IMF SDDS Plus requirements


Need to set priorities and timelines and to provide resources


2012 IMF/FSB Report to G-20: action plans

Table 1: Enhancements Existing Statistical Frameworks and Ongoing Collection









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


European institutional framework (I)

Macro-prudential oversight

Data needs

ECB response


European institutional framework (II)

Macro-prudential oversight

Data needs

ECB response

Scope of macro-prudential oversight




Microprudential supervision

Macroeconomic policies

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




Financial stability analysis – data needs

ECB: identify main datasets and set priorities for ESRB/ECB’s own financial stability needs

  • Interlinkages

  • Profitability and solvency

  • Funding and liquidity

Led to breakdown in 6 risk categories:

  • Credit risk

  • Market risk

  • Macro risk

Macro-prudential oversight

Data needs

ECB response


ECB’s statistical initiatives

For each risk category, it is assessed:

  • Which data are available according to the appropriate concepts

  • Possible proxy data

  • Are data missing?

  • Interlinkages

  • Profitability and solvency

  • Funding and liquidity

  • Credit risk

  • Market risk

  • Macro risk

Risk typologies

Macro-prudential oversight

Data needs

ECB response


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




The ECB response to financial stability data needs

  • New statistics on

  • Investment funds (2009)

  • Financial Vehicle Corporations engaged in securitisation (2011)

  • Insurance Corporations and Pension Funds (2011)

  • Financial market statistics

    • Development micro-datasets

  • Centralised Securities Database

  • Securities Holding Statistics

  • Loans

  • Consolidated banking data

  • Register of Financial Institutions

  • Household and corporate surveys

    • Enhancements to statistics

  • Further development euro area accounts (flow of funds, etc.)

  • Implementation new manuals (SNA2010-ESA2010, BPM6, etc.)

    • Other datasets

    • BIS banking and CDS statistics

    • IMF FSIs

    • Commercial data

    • Ad-hoc surveys

    Macro-prudential oversight

    Data needs

    ECB response


    New statistics- better information on all financial sectors

    Enhanced Monetary and Financial Statistics

    Investment Funds

    • New statistics on assets and liabilities of euro area Investment Funds

    Financial Vehicle Corporations

    • Regular compilation statistics on euro area Financial Vehicle Corporations engaged in securitisation transactions and MFI securitisation

    Insurance Corporations & Pension Funds

    • New statistics on euro area Insurance Corporations & Pension Funds

    Macro-prudential oversight

    Data needs

    ECB response


    New statistics- better information on all financial sectors


    • Further advancing timeliness

    Enhanced Monetary and Financial Statistics


    • Providing more breakdowns of banks’ balance sheet and interest rates

    Credit lines

    • New data on credit lines granted by banks


    • Compilation harmonised financial statistics on a consolidated basis


    • Working with supervisors in a better alignment of supervisory and statistical concepts and data

    Macro-prudential oversight

    Data needs

    ECB response


    New statistics - Better information on financial markets

    Other monetary / financial statistics in demand

    • Financial markets statistics

    • Probability density functions

    • Exposures to sovereign debt/GFS

    • STEP market statistics

    • Foreign currency borrowings by non-financial corporations, households, or credit institutions

    Macro-prudential oversight

    Data needs

    ECB response


    Developments of micro-datasets

    • Statistics and Micro-databases


    Register of Financial institutions and groups composition


    Consolidated Banking Data/National Banking Indicators


    Granular Credit Data


    Sectoral/individual Issuance and Holdings of Securities



    SME Corporate finance

    Household consumption and financing survey

    Macro-prudential oversight

    Data needs

    ECB response


    Other datasets

    Other datasets

    Ad-hoc surveys

    • Occur for specific issues

    • Tailored to latest developments in financial sector

    • Especially while EU Supervisory reporting frameworks are still in the making

    • BIS banking statistics (consolidated and locational by nationality)

    • Banks’ disclosures

    • Commercial data from Bloomberg, Moody’s, etc.

    Macro-prudential oversight

    Data needs

    ECB response


    Enhancements to macroeconomic statistics

    • Enhancing integrated quarterly financial and non-financial accounts euro area:

    • Advance timeliness

    • Improve consistency

    • Enhance completeness, coverage and length

    • Consolidated lending exposures credit institutions vis-à-vis counterparts

    • Implementation of new international statistical standards (SNA2008-ESA2010, BPM6)

    Macro-prudential oversight

    Data needs

    ECB response


    ECB support to the ESRB


    • 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



    Examples presentations White Book

    Macro-prudential oversight

    Data needs

    ECB response



    Macro-prudential oversight

    Data needs

    ECB response


    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


    ESRB Risk Dashboard

    1st publication 20 September 2012


    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


    ESRB Risk Dashboard

    Macro risk

    • Domestic credit-to-GDP ratio

    • Actual and forecasted GDP growth

    Credit risk

    • Households debt-to-gross disposable income

    • Real estate comm. property, market size over GDP

    Market risk

    • Global risk aversion indicator

    • Price/earning ratio

    Liquidity & Funding

    • Bank liabilities structure


    • Composite indicator of systemic stress (CISS)

    • Average systemic risk contribution of individual institution to overall risk using CoVar (EU banking syst.)

    Profitability & Solvency

    • EU large banks: Leverage ratios

    Macro-prudential oversight

    Data needs

    ECB response


    Macro risk

    Credit risk

    Market risk

    Liquidity and funding


    Profitability & solvency

    ESRB Risk Dashboard

    Six risk typologies



    ESRB Risk dashboard examples

    Funding and liquidity


    “Good statistics are much cheaper than policy mistakes‘‘

    (Janez Potočnik, EU Commissioner for the Environment, Eurostat Conference 2011)







    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)


    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”


    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]


    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)


    Commission proposal on the SSM agreed by Council (ECOFIN) on 12 September 2012 (3/3)

    Legal power to request information

    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.


    Article 9

    Requests for information

    Information can be requested from

    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)!


    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 orin 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 Banquede 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) NCBsin the euro area

  • Organisation chart for supervisory data flows: MFI balance sheet statistics: a model for SSM?


    National perspective


    Monetary analysis

    Economic and financial stability analysis


    Minimum reserves

    Individual &


    • Other statistical purposes:

      • National accounts

      • Balance of payments


    Euro area and EU perspective

    SSM – Other data-related issues (1/2)


    • 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


    • The banking groups will fall under the micro-supervisionof 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

    SSM – Other data-related issues (2/2)


    • 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)

  • Many outstanding questions arising from SSM

    Sharing of tasks will have an impact on scope of individual information collected by the ECB

    How many banks will be supervised under the SSM and from when?

    How will the task related to data collection be shared with national authorities?

    Access by supervisors to ECB statistical data?

    Data flow to/from EBA/ESMA/ESRB?

    National discretion in current supervisory reporting (e.g. Pillar II and FinRep for non-IFRS banks)?

    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?

    List of significant banks and their maintenance?

    Thank you for your attention!

    Questions? ☺

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