EBA欧洲银行-JEGR_Manual_2014_184页_1mb

Summary of MFI Balance Sheet and Interest Rate Statistics, Securities Holdings Statistics and Implementing Technical Standards on Supervisory Reporting

Core Content

This document, MFI Balance Sheet and Interest Rate Statistics, Securities Holdings Statistics and Implementing Technical Standards on Supervisory Reporting, is the third edition of a methodological manual published by the European Central Bank (ECB) in May 2014. It serves as a bridge between the ECB's statistical reporting framework for monetary financial institutions (MFI) and the European Banking Authority's (EBA) supervisory reporting requirements under the Capital Requirements Regulation (CRR) and the Capital Requirements Directive (CRD IV). The manual is designed to enhance the alignment and harmonisation of these two reporting systems, reducing the reporting burden on credit institutions and improving data comparability and consistency.

Main Objectives

The primary aim of the Joint Expert Group on Reconciliation (JEGR) is to identify and promote common elements between statistical and supervisory reporting frameworks, particularly in terms of:

• Definitions and concepts
• Valuation rules
• Reporting templates
• Sector and instrument classifications

The JEGR seeks to reconcile differences where possible, especially with the introduction of the Implementing Technical Standards (ITS) on supervisory reporting and the evolution of the IFRS framework.

Key Reporting Frameworks

The document outlines the following key reporting frameworks:

• MFI Balance Sheet (BSI): Designed to support ECB monetary policy analysis. It focuses on monetary liabilities, credit extended, and the counterparties involved.
• MFI Interest Rates (MIR): Provides essential data on the transmission of monetary policy initiatives through interest rates.
• Securities Holdings Statistics (SHS): Experimental dataset for tracking securities holdings, with confidentiality regimes still under development.
• FINREP: Financial reporting framework for institutions using IAS/IFRS standards.
• COREP: Supervisory reporting framework for capital adequacy and risk management.

Main Differences Between Statistical and Supervisory Reporting

Main Developments in 2012/2013

2.1 Introduction of Implementing Technical Standards (ITS)

The ITS under Regulation (EU) No 575/2013 serve as the legal basis for supervisory reporting in the EU. The manual is based on the final ITS endorsed by the European Commission on 16 April 2014, which was still pending publication in the Official Journal of the European Union (expected in mid-2014). These standards cover:

• Financial and supervisory reporting (FINREP)
• Capital requirements (COREP)
• Large exposures
• Leverage ratio
• Liquidity ratios
• Asset encumbrance

Some standards, such as those on asset encumbrance, non-performing exposures, and forbore exposures, were still in draft form at the time of publication.

2.2 Changes to the IFRS Framework

Significant amendments were made to the IFRS framework, including:

• IFRS 9: Financial instruments
• IFRS 10, 11, 12: Consolidated financial statements, joint arrangements, and disclosure of interests in other entities

These changes have had a direct impact on the alignment of supervisory and financial reporting, particularly in terms of risk measurement and capital requirements.

Main Topics Covered

3. Statistical Balance Sheet (BSI) and FINREP

• The BSI and MIR are designed to support ECB monetary policy, while FINREP and COREP are for supervisory purposes.
• The BSI and FINREP share similar purposes, such as reporting on credit risk, market risk, and own funds.
• The manual provides detailed analysis of the links between these frameworks, including accounting aspects, reporting population, and breakdowns.

4. Statistical Balance Sheet and COREP

• The COREP framework includes credit risk, market risk, own funds, and operational risk.
• The document evaluates the links between the statistical balance sheet and COREP, particularly in relation to large exposures, securitisation, and other risk-related instruments.

5. MFI Interest Rates and Supervisory Reporting

• The MIR dataset provides insights into the transmission of monetary policy through interest rates.
• It is linked to both FINREP and COREP, focusing on the structure of financial instruments, their size, and the counterparty sector.

6. Securities Holdings Statistics (SHS) and Supervisory Reporting

• The SHS dataset is experimental and still under development.
• It is used to track securities holdings and is subject to confidentiality rules.
• The manual outlines the potential links between SHS and supervisory reporting, though these are not yet fully realised.

Methodological Approach

• The JEGR has developed a classification system to bridge the statistical and supervisory reporting requirements.
• This system includes:
  • A methodological manual (this document)
  • A relational database that maps the links between reporting requirements using the EBA's Data Point Modelling (DPM) framework.

Conclusion

The document highlights the importance of harmonising statistical and supervisory reporting to improve data quality, reduce reporting burdens, and support better financial oversight. It provides a detailed overview of the differences and similarities between these frameworks, and outlines the work of the JEGR in promoting alignment. The manual is a key reference for understanding how the ECB's statistical reporting requirements relate to the EBA's supervisory reporting standards.

Annexes

The annexes include:

• A list of relevant legal acts
• A summary of the main methodological elements
• Details on bridging BSI requirements with FINREP and COREP

These provide additional context and support for the methodological analysis presented in the main text.