2017年-ECB欧洲央行_Manual_on_MFI_interest_rate_statistics_January_2017_168页_1mb

报告摘要

Summary of MFI Interest Rate Statistics Manual (January 2017)

Core Content

This document provides a comprehensive manual on the collection and compilation of Monetary Financial Institution (MFI) interest rate statistics in the European Union (EU). It outlines the definitions, types of interest rates, business coverage, time reference points, instrument categories, and reporting obligations for these statistics.

Main Uses of MFI Interest Rate Statistics

Monetary Policy Transmission: To analyse how changes in official and market interest rates affect lending and deposit rates for households and non-financial corporations. This helps understand the impact on consumption and investment demand.
Monetary Analysis: To assess portfolio shifts between monetary and non-monetary assets, and among monetary instruments, particularly in the context of M3 and its components. Monitoring deposit remuneration is essential for understanding monetary growth and price stability.
Financial Stability: To monitor banks' interest rate margins, profitability, and the interest burden on households and non-financial corporations, supporting the analysis of financial stability risks.
Financial Integration: To examine the convergence of interest rates across euro area Member States and the integration of retail banking markets.

Key Definitions

Euro Area Member State: A country that has adopted the single currency under the Treaty establishing the European Community.
Resident Entity: An entity that has a centre of economic interest in the territory of a Member State, either through economic activity for a year or more or through an intention to operate permanently.
MFI Interest Rate Statistics: Cover interest rates applied by resident MFIs (excluding central banks and money market funds) to deposits and loans vis-à-vis households and non-financial corporations.
Reference Reporting Population: Comprises all resident MFIs that take euro-denominated deposits from and/or grant euro-denominated loans to households and non-financial corporations, regardless of the customer's Member State.

Types of Interest Rates

4.1 Nominal versus Effective Interest Rates

Nominal Interest Rates: Displayed by banks as headline rates for products, not necessarily the actual rate paid or charged.
Effective Interest Rates: Reflect the actual cost of credit to the consumer, including all related charges.

4.2 Annualised Agreed Rate (AAR) and Narrowly Defined Effective Rate (NDER)

Annualised Agreed Rate (AAR): Calculated using an algebraic formula based on the frequency of interest payments. It reflects the agreed rate between the MFI and the customer.
Narrowly Defined Effective Rate (NDER): Derived through successive approximation, accounting for the compounding effect of interest payments.

Calculation of AAR

The formula for AAR is:

$$
x = \left(1 + \frac {r _ {a g}}{n}\right) ^ {n} - 1
$$

Where:

$x$ is the annualised agreed rate
$r_{ag}$ is the agreed interest rate per annum
$n$ is the number of interest capitalisation periods per year (e.g., 1 for annual, 2 for semi-annual, 4 for quarterly, 12 for monthly)

Examples:

A five-year loan with 10% annual interest, paid quarterly: AAR = 10.3813% p.a.
A five-year loan with 10% annual interest, paid monthly: AAR = 10.4713% p.a.
A deposit with 10% interest over two years: AAR = 4.8809% p.a.

Treatment of Specific Elements

Disagio (Discount): Reflected as an interest payment at the start of the contract and included in AAR.
Agio (Premium): Considered as an interest payment at the end of the contract and included in AAR.
Taxes and Subsidies: Included in the calculation of the Annual Percentage Rate of Charge (APRC) if they are part of the credit cost.
Variable Interest Rates: Annualised based on the rate in effect at the time of the calculation.

Business Coverage

Outstanding Amounts: Cover all deposits and loans already in place, with breakdowns by original and residual maturity, notice periods, and interest rate reset periods.
New Business: Refers to any new agreement between the customer and the MFI, including one-off deposits, new loans, and loans taken out in tranches.
Renegotiated Loans: Covered under specific conditions, including changes in loan amount or partial redemptions.

Instrument Categories

Deposits: Classified by type (e.g., overnight deposits, deposits redeemable at notice, etc.).
Loans: Classified by purpose (for households) and by loan size (for non-financial corporations).
Special Products: Include step-up/step-down deposits and loans, convertible deposits, savings plans, and securitisation of mortgage loans.

Data Aggregation and Reporting

Data is aggregated at the national and euro area levels.
Reporting agents are selected by National Central Banks (NCBs) from the reference reporting population.
The manual outlines the sampling methods, including stratification and minimum sample size requirements.

Derived Indicators

Bennet Binary Indices: Provide a binary representation of interest rate changes.
Bennet Chain Indices: Track changes in interest rates over time.
Coefficients of Cross-Country Variation: Measure differences in interest rates across euro area Member States.
Cost-of-Borrowing Indicators: Reflect the total cost of borrowing for households and non-financial corporations, including both short-term and long-term loans.

Validation and Revision Policy

Validation rules ensure the accuracy and consistency of the data.
The revision policy outlines the principles and criteria for revising historical data, ensuring it remains relevant and up-to-date.

Conclusion

The MFI interest rate statistics are essential for informed monetary policy decision-making, financial stability analysis, and understanding financial integration. The manual aims to clarify and illustrate the statistical standards defined in the Regulation and Guideline, providing detailed guidance on the definitions, calculations, and reporting requirements for MFI interest rates.

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