2006年-ECB欧洲央行_Methodological_notes_for_the_compilation_of_the_revaluation_adjustment_February_2006_38页_412kb

Summary of Methodological Notes for the Revaluation Adjustment (February 2006)

Core Content

This document outlines the methodological approach for compiling revaluation adjustment data for monetary financial institutions (MFIs) and national central banks (NCBs) within the European Central Bank (ECB) framework. It provides detailed guidance on how value reductions on loans and price revaluations of securities are reported and processed, with a focus on Belgium, Germany, and Spain.

Main Topics Covered

1. Write-offs/Write-downs of Loans

• Definition and Valuation Method:

  • Two types of value reductions are identified: those for uncertain outcomes and those for nonrecoverable or doubtful claims.
  • The latter are more precise and are reported either as 'Doubtful claims' or as direct cancellations.
  • In the context of the ECB reporting, these are included in the loan data.

• Complementary Reporting:

  • Includes data by maturity, currency, and sector.
  • Data is based on the initial maturity and is reported monthly.
  • Additional information is required for significant fluctuations.

• Frequency and Size of Provisioning:

  • Provisions are set up annually and throughout the year if a loan becomes doubtful.
  • Adjustments are based on the changes in special provisions during the reporting period.

• Treatment of Write-offs Linked to Sales/Transfers:

  • Write-offs are recorded at the time of sale or transfer, using either insolvency funds or direct charges to the profit and loss account.
  • These are reflected in the data sent to the ECB.

• Reporting Obligations and Data Checks:

  • Data is reported on special forms and is subject to plausibility checks.
  • The NCB may apply quality control measures for significant fluctuations.

2. Price Revaluation of Securities

• Valuation Rules by Portfolio:

  • Trading Portfolio: Valued at market price, unless no liquid market exists, in which case the 'lower of cost or market' method is used.
  • Investment Portfolio: Valued at book value, which is the minimum of market value and acquisition price.
  • Fixed Portfolio: Valued at book value, with actuarial adjustments over the life of the security.

• Complementary Reporting:

  • Covers non-transactional flows, such as valuation differences.
  • Includes data on all securities, including those with original maturity under two years.

• Treatment of Non-Euro Currency Securities:

  • Exchange rate effects are excluded from the adjustment calculation, except for the ECB’s own adjustment.
  • Institutions are instructed to use the month-end exchange rate for conversion.

• Estimation Methods:

  • For non-euro securities, the NCB calculates revaluation adjustments by comparing the change in stock with the reported flows.
  • The ECB adds back the exchange rate adjustment to arrive at the total adjustment.

• Derogation for Money Market Funds (MMFs):

  • MMFs with short residual maturity are exempt from reporting revaluation adjustments.

Key Information by Country

Belgium

• Write-offs/Write-downs:

  • Value reductions on doubtful claims are reported separately.
  • The NCB (NBB) provides derogation for MMFs due to their short residual maturity.
  • The revaluation adjustment is based on the initial maturity of the loans.

• Securities Valuation:

  • Complementary reporting includes all requested cells and is based on the initial maturity.
  • The NCB (NBB) checks data for accuracy and plausibility.

Germany

• Write-offs/Write-downs:

  • Loans are recorded gross, with provisions netted against them.
  • Write-offs are made either via provisions or directly to the profit and loss account.
  • Adjustments are based on changes in special provisions during the reporting period.

• Securities Valuation:

  • No distinction is made between portfolios in terms of valuation.
  • Securities are recorded at book value, which is the minimum of market value and acquisition price.
  • The NCB (Bundesbank) collects data on all positions and does not require estimation.
  • No derogation is applied to MMFs.

• Validation:

  • The Bundesbank applies two validation methods: linear constraints and plausibility checks.
  • Continuity checks are more challenging due to the volatility of revaluation data.

Spain

• Write-offs/Write-downs:

  • Loans are recorded gross, with provisions on the liabilities side.
  • Write-offs are made either via provisions or directly to the profit and loss account.
  • Compliance with ECB requirements involves a new financial statement (EMU 3) that includes monthly data on write-offs and recoveries.

• Securities Valuation:

  • The Banco de España introduced a securities portfolio valuation adjustment statement (EMU 7).
  • This statement includes quarterly data on valuation adjustments due to price changes and realized gains/losses.
  • The transaction method is applied for securities valuation.

• Reporting Obligations:

  • The minimum breakdown as per ECB Regulation (ECB/2001/13) is used.
  • The NCB (Banco de España) applies checks to ensure data consistency.

• Derogation for MMFs:

  • MMFs are exempt from revaluation adjustment reporting due to short residual maturity.

General Notes

• The ECB requires data to be reported on a monthly basis.
• All data is based on the initial maturity of the assets.
• The cutoff date for data in this report is 16 September 2005.
• The documents are protected by copyright, with permissions for educational and non-commercial use.
• The methodology is consistent across countries, with some local adaptations.