2012年-ECB欧洲央行_Bridging_the_reporting_requirements_regarding_ESCB_balance_sheet_and_interest_rate_statistics_with_EBA_guidelines_on_FINREP_COREP_and_large_exposures_pocket_manual_24页_1mb

Summary of BRIDGING THE REPORTING REQUIREMENTS REGARDING ESCB BALANCE SHEET AND INTEREST RATE STATISTICS WITH EBA GUIDELINES ON FINREP, COREP AND LARGE EXPOSURES

Introduction

The Joint Expert Group on Reconciliation (JEGR) was established in June 2008 to bridge the statistical and supervisory reporting requirements for credit institutions. Its sponsors are the Statistics Committee (STC) and Financial Stability Committee (FSC) of the European System of Central Banks (ESCB), and the European Banking Authority (EBA). The JEGR has developed a classification system and a relational database to systematically identify commonalities and differences between the ECB's statistical reporting (BSI, MIR) and the EBA's supervisory reporting (FINREP, COREP, Large Exposures). The current version of the manual was published in March 2012 and reflects the latest updates to the reporting frameworks.

Core Content

The JEGR's primary objective is to reconcile the statistical and supervisory reporting frameworks by aligning definitions, concepts, valuation rules, and reporting templates. This reconciliation is essential to ensure consistency and improve the understanding of how different data sets relate to each other, creating synergies between datasets that were originally designed for different purposes.

Main Reporting Frameworks

• Monetary Financial Institutions (MFI) Balance Sheet and Interest Rate Statistics:
  These statistics are used primarily for monetary policy purposes and are based on the European System of Accounts (ESA 95). They include data on balance sheet items (BSI) and interest rates (MIR) for credit institutions in the euro area. The MFI balance sheet Regulation was adopted in December 2008, and the interest rate Regulation in December 2001, with major amendments in March 2009.

• FINREP (Financial Reporting):
  Designed for credit institutions using IAS/IFRS, FINREP provides a standardised framework for financial reporting. The current version (Rev 2) was published in December 2009 and became effective in January 2012.

• COREP (Common Reporting):
  COREP is used for capital adequacy data and is aligned with the Basel framework and the EU Capital Requirements Directive (CRD). The current version (Rev 3) was published in April 2011 and became effective on 31 December 2011.

• Large Exposures (LE):
  LE reporting is part of the supervisory framework and focuses on exposures to connected entities exceeding 10% of a credit institution's capital. The LE templates were published in December 2009.

Key Differences and Similarities

Main Examples of JEGR Bridging Work

1. The Consolidation Approach

• The statistical reporting (BSI and MIR) is based on the "host" residency principle, excluding foreign branches.
• Supervisory reporting (FINREP, COREP, LE) includes foreign branches and is based on the "home" residency principle.
• The consolidation approach in FINREP and COREP is more comprehensive, allowing for full consolidation of subsidiaries, while the MFI framework does not.
• In the case of a 100% owned insurance company, the bank fully consolidates the assets and liabilities under FINREP, while in MFI reporting, it only records the shareholding.
• In the case of a 51% owned insurance company, the bank fully consolidates the assets and liabilities but also records a liability for the remaining 49% in the accounting report, while the supervisory report follows the same approach.

2. Reconciliation of the Sector of Counterparties

• The BSI framework uses the ESA 95 classification to divide institutional units into sectors based on their functions and objectives.
• The FINREP framework provides a standardised counterparty breakdown, including a distinction between "corporate" and "retail" exposures for non-financial corporations and households.
• The revised FINREP has removed most differences from the BSI in the definition of counterpart sectors, enabling reconciliation for loans and advances.
• However, the CRD exposure classes are still distinct from the BSI counterpart classifications, and numerical reconciliation may be difficult to achieve, except for IRB banks.

3. Securitisation

• The MFI statistical framework only includes traditional securitisation transactions, where loans are sold to financial vehicle corporations (FVCs).
• The supervisory framework (CRD) includes both traditional and synthetic securitisation, as the focus is on the transfer of credit risk.
• Tranching and the significant transfer of risk are essential for eligibility under the supervisory framework, while they are not considered in the statistical reporting.
• The JEGR has verified the links between the concepts of securitisation in the MFI framework and the CRD framework for a representative sample of banks.

Relational Database

• The JEGR has developed a relational database that mirrors the bridging manual, aiming to systematically identify links and differences between the reporting frameworks.
• The database and accompanying user guide are available for download from the ECB website.

Conclusion

The JEGR has made significant progress in reconciling the statistical and supervisory reporting frameworks for credit institutions. While some differences remain, particularly in the classification of exposure classes and the treatment of securitisation, the revised FINREP and the use of a relational database have greatly improved the consistency between these frameworks. This work is essential for macroprudential analysis and for reducing the reporting burden on credit institutions.