Circular BCL 2009/225 of 8 June 2009 — Modification of Statistical Data Collection from Credit Institutions

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Luxembourg, 8 June 2009
To all credit institutions

CIRCULAR BCL 2009/225
Modification of Statistical Data Collection from Credit Institutions

Dear Sirs, Madams,

On 19 December 2008 and 31 March 2009, the Governing Council of the European Central Bank (ECB) adopted Regulations ECB/2008/32 on the consolidated balance sheet of monetary financial institutions and ECB/2009/7 on statistics on interest rates applied by monetary financial institutions to deposits and loans vis-à-vis households and non-financial corporations. These regulations complement the existing framework of ECB statistical activities necessary to enable the European System of Central Banks (ESCB) to perform its functions by defining the natural and legal persons subject to reporting obligations, the confidentiality regime, and adequate implementation and sanction provisions, in accordance with Article 5.4 of the Statutes of the European System of Central Banks and of the European Central Bank.

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All ECB requirements for statistical reporting from credit institutions adhere to three essential rules.

First, the ECB must receive comparable, reliable, and up-to-date statistical information, collected under similar conditions throughout the euro area.

Second, the reporting obligations set out in the regulations must respect the principles of transparency and legal certainty. The regulations are therefore binding and apply directly throughout the euro area. They impose direct obligations on legal or natural persons, subject to sanctions that may be imposed by the ECB if reporting requirements are not met.

The statistical information subject to reporting in accordance with ECB requirements and the minimum standards to be respected are detailed in the aforementioned ECB regulations.

In accordance with Regulations ECB/2008/32 and ECB/2009/7, National Central Banks (NCBs):

• determine and implement the reporting framework to be followed by the actual reporting population in accordance with national characteristics;
• exercise the right of verification or mandatory collection of information that reporting agents are required to provide under the aforementioned ECB regulation.

Based on the aforementioned ECB guidelines and regulations, the BCL has developed a collection system for credit institutions, the characteristics of which are detailed in this circular.

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1 Objectives

Based on the aforementioned ECB Regulations ECB/2008/32 and ECB/2009/7, the BCL has developed a collection system intended to achieve the following objectives:

• complete coverage of the foreseeable requirements of the European Central Bank regarding monetary and financial statistics;
• minimization of the workload for reporting agents;
• consistency with data collected for prudential supervision purposes.
  This consistency, which is not possible for all information to be collected, allows the use of prudential data in the process of compiling data for the ECB and contributes to the quality control of collected data.
• compatibility with the ESA 95 standard (European System of Accounts 1995).
  Compliance of collected data with the ESA 95 standard will facilitate their use in national accounting and balance of payments, and should help avoid additional surveys.

2 Main Innovations

Compared to the existing statistical collection system, the innovations provide for additional details on various items of existing monthly and quarterly statistical reports, as well as the introduction of information requests on securitization operations and off-balance sheet items.

A second major innovation lies in the integration of per-asset reporting, introduced in January 2009, into statistical collection. This integration will allow the abandonment of the various breakdowns currently provided for securities items on the asset and liability sides of reports S 1.1 and S 2.5. Furthermore, it will allow the abandonment of information collection on valuation effects affecting securities items, thereby significantly lightening report S 1.4. Indeed, the ECB regulation provides that valuation effects on securities can be estimated by National Central Banks (NCBs) if they collect securities holdings on a monthly basis.

This approach was chosen by the BCL for per-asset reporting in anticipation of this opportunity to derive valuation effects on securities.

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It is important to mention, however, that the implementation of this approach implies that credit institutions must submit the per-asset reporting (only the report TPTBBS, Per-Asset Reporting of Credit Institutions – Balance Sheet Data) within 10 working days.

The third major innovation consists of the abandonment of the off-balance sheet section of report S 2.5. On the one hand, per-asset reporting provides the BCL with almost all information on assets held for third-party accounts necessary for the compilation of the balance of payments and financial accounts. On the other hand, the introduction of IAS/IFRS accounting standards implies the reporting of financial derivative instruments on the balance sheet, while information on credit lines can be analyzed based on prudential reporting.

A fourth innovation consists in the application of provisions provided by Regulations ECB/2008/32 and ECB/2009/7, which allow for the exemption of small-sized credit institutions from statistical reporting. Indeed, the aforementioned ECB regulations provide for the possibility of exempting small-sized reporters from reporting. Exemptions will be granted based on the share of the sum of the balance sheet of the reporters in the aggregated sum of the balance sheet of all credit institutions. Exemptions will be granted as long as the coverage degree of the collection remains above 95% of the aggregated sum of the balance sheet of all credit institutions.

Thus, the BCL will exempt small-sized credit institutions from submitting reports S 1.4 and S 2.5. However, report S 1.1 will remain applicable to all credit institutions since it allows for the determination of the mandatory reserve requirement and the extrapolation of quarterly data.

Finally, a last innovation consists in the presentation of reporting instructions. Indeed, contrary to the previous practice of including in the instructions for each statistical report all definitions and concepts such as item descriptions and various breakdowns, these are now grouped into a single document titled "Definitions and Concepts for Statistical Reporting from Credit Institutions." The instructions for statistical reports, for their part, are limited to briefly describing the information to be provided based on the relevant report.

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3 Integration of New ECB Requirements into BCL Statistical Collection

Since the requested modifications do not fundamentally question the current architecture of reports S 1.1 "Monthly Statistical Balance Sheet of Credit Institutions," S 1.4 "Information on Valuation Effects on the Statistical Balance Sheet of Credit Institutions," and S 2.5 "Quarterly Statistical Balance Sheet of Credit Institutions," it has been decided to maintain the existing tables while incorporating the aforementioned additional information.

Furthermore, two new statistical reports have been created to collect information on securitization operations (S 1.8) and off-balance sheet information (S 4.1).

3.1 Main Modifications of Report S 1.1

The essential modification stems from a need for more detailed information regarding loans granted to euro area residents, which constitute the counterpart to monetary aggregates.

The BCL opted for inserting these modifications into report S 1.1 to keep report S 2.5 almost unchanged.

3.1.1 Abandonment of Breakdowns for Securities Items

As indicated above, the integration of per-asset reporting with statistical reporting allows for the abandonment of breakdowns for securities items. Thus, statistical report S 1.1 no longer requires breakdowns for held securities, as these breakdowns are compiled by the BCL by enriching report S 1.1 with information from per-asset collection. Consequently, only a total amount per item is to be provided.

However, it is important to mention that for the item of issued debt securities, the breakdown by initial maturity will be maintained. Indeed, as these amounts are taken into consideration for the compilation of the reserve base and mandatory reserve requirement, the BCL deemed it appropriate to maintain this detail to avoid any uncertainty regarding the amount of reserve to be deposited by credit institutions.

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3.1.2 New Items for Assets and Liabilities

The following items, which contain additional details compared to existing items, have been added to report S 1.1.

• loans secured by real estate;
• renewable loans and bank overdrafts;
• loans via cards with deferred debit function;
• loans extended via credit cards;
• loans with an initial maturity greater than 12 months having a residual maturity less than or equal to 12 months and whose interest rate is reset during the remaining period;
• loans with an initial maturity greater than 24 months having a residual maturity less than or equal to 24 months and whose interest rate is reset during the remaining period.

It is important to mention that information requests regarding the aforementioned items are limited exclusively to operations conducted with the non-financial corporations and households and non-profit institutions serving households sectors of the euro area.

Furthermore, the following items have also been added:

• syndicated loans;
  For this item, information on participation in syndicated loans granted to major economic sectors must be provided.
• loans – repurchase agreements;
  For repurchase agreements, only operations conducted with central counterparties are to be reported.
• the items for shares and participations have been doubled to distinguish between listed and unlisted securities;
• transferable deposits;
• syndicated borrowings;
• short sales of securities;
• issued debt securities with an initial maturity less than or equal to 2 years and with a capital guarantee less than 100%;
• financial derivative instruments.

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3.1.3 Breakdowns by Economic Sector

The following breakdowns have been added.

• the sector of sole proprietors for the item of other loans granted to households;
• the securitization vehicle sector for the items of deposits;
• the central counterparties sector for firm sale and repurchase operations.

3.2 Main Modifications of Report S 1.4

The essential modifications stem from the integration of per-asset reporting into statistical reporting and the fact that the BCL will calculate the valuation effects due to exchange rate fluctuations. Furthermore, small-sized credit institutions will be exempted from submitting report S 1.4.

3.2.1 Abandonment of Items Related to Securities

As indicated above, the integration of per-asset reporting with statistical reporting allows for the abandonment of information requests on valuation effects affecting securities items.

3.2.2 Abandonment of Information Requests on Exchange Rate Effects

Since the BCL has a detailed breakdown by currency of the main items, it can estimate transactions by excluding variations due to exchange rate fluctuations. Thus, this information is no longer to be provided by credit institutions.

However, regarding the items for loans, credit institutions must continue to provide information on loan amortizations.

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3.2.3 New Items for Assets and Liabilities

The following items, for which the BCL does not have the necessary information to estimate transactions and/or neutralize adjustment effects, have been added.

• financial derivative instruments;
• fixed assets.

3.3 Main Modifications of Report S 1.5

The essential modification stems from a need for more detailed information regarding loans granted to euro area residents, which constitute the counterpart to monetary aggregates.

3.3.1 New Requests for Holdings

The following items, which contain additional details compared to existing items, have been added to report S 1.5:

• renewable loans and bank overdrafts;
• loans extended via credit cards.

3.3.2 New Requests for New Contracts

The following items, which contain additional details compared to existing items, have been added to report S 1.5:

• for new loans, information must be provided on the total volume of new loans and the volume of secured new loans, as well as the associated interest rates;
• loans to non-financial corporations, previously broken down into loans less than and greater than one million euros, are now broken down into three items, namely:
  • less than or equal to 0.25 million euros;
  • greater than 0.25 million euros and less than or equal to 1 million euros;
  • greater than 1 million euros.

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• for other loans granted to households and non-profit institutions serving households, separate information must be provided for sole proprietors.

3.4 New Statistical Report S 1.8

In addition to Regulation ECB/2008/30 on the introduction of statistical collection from securitization vehicles, Regulation ECB/2008/32 also requires information on securitization operations conducted by credit institutions.

It is important to note that this report is to be submitted only by credit institutions that have conducted securitization operations.

3.4.1 New Monthly Information Request

The following information is required:

• net flow of securitized loans that have an impact on the credit institution's balance sheet via:
  • a securitization vehicle located in Luxembourg;
  • a securitization vehicle within the euro area;
  • a securitization vehicle outside the euro area (rest of the world);
• net flow of securitized loans that do not have an impact on the credit institution's balance sheet via:
• outstanding amounts of securitized loans that remain on the balance sheets of credit institutions, including:
  • total;
  • securitized by a securitization vehicle within the euro area.

3.4.2 New Quarterly Information Request

The following information is required:

• net flow of securitized loans that have an impact on the credit institution's balance sheet via:
  • a securitization vehicle located in Luxembourg;
  • a securitization vehicle in another euro area country;
  • a securitization vehicle outside the euro area (rest of the world).

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This information is to be provided:

• for loans granted to non-financial corporations, distinguished by loan maturity;

• for consumer, mortgage, and other loans granted to households as natural persons and to households as sole proprietors.

• outstanding amounts of securitized loans that remain on the balance sheets of credit institutions, including:

  • total;
  • loans securitized by a securitization vehicle in Luxembourg, in another euro area country, and outside the euro area (rest of the world).

This information is to be provided:

• for loans granted to public administrations;
• for loans granted to non-financial corporations, distinguished by loan maturity;
• for consumer, mortgage, and other loans granted to households as natural persons and to households as sole proprietors ("of which..." lines).

In this context, it is important to mention that the BCL opted for the introduction of a monthly statistical report that also includes the ECB's quarterly requests. Indeed, since the quarterly information requests are relatively limited, the BCL deemed it preferable to work with a single report rather than two different reports that overlap significantly.

3.5 Main Modifications of Report S 2.5

The essential modification stems from the abandonment of the off-balance sheet section and the fact that small-sized credit institutions will be exempted from submitting report S 2.5.

3.5.1 Abandonment of Off-Balance Sheet

As indicated above, the integration of per-asset reporting into statistical reporting, the reporting of financial derivative instruments on the balance sheet, and the use of prudential reporting allow for the abandonment of the off-balance sheet section.

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3.5.2 Abandonment of Breakdowns for Securities Items

As indicated above, the integration of per-asset reporting with statistical reporting allows for the abandonment of breakdowns for securities items. Thus, statistical report S 2.5 no longer requires breakdowns for held and issued securities, as these breakdowns are compiled by the BCL by enriching report S 2.5 with information from per-asset collection. Consequently, only a total amount per item is to be provided.

3.5.3 New Items for Assets and Liabilities

The following items, which contain additional details compared to existing items, have been added to report S 2.5.

• short sales of securities;
• the items for other assets and liabilities have been doubled to isolate accrued but not yet due interest more specifically;
• financial derivative instruments.

3.5.4 New Breakdowns by Economic Sector

In order to avoid repeated modifications of statistical collection upon the accession of new countries to the euro area, the economic sector breakdown of the counterpart is standardized and will therefore be independent of the counterpart's country of residence in the future.

3.6 New Statistical Report S 4.1

Regulation ECB/2008/32 also requires information on the number of current accounts opened by customers, distinguishing between standard accounts and internet-accessible accounts.

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4 BCL Statistical Reporting

Based on the information presented above, the statistical reporting that credit institutions must periodically submit to the BCL now includes the following reports:

• S 1.1 "Monthly Statistical Balance Sheet of Credit Institutions";
• S 1.4 "Information on Valuation Effects on the Balance Sheet of Credit Institutions";
• S 1.5 "Information on Interest Rates in EUR";
• S 1.8 "Information on Securitization Operations Conducted by Credit Institutions";
• S 2.5 "Quarterly Statistical Balance Sheet of Credit Institutions";
• S 2.8 "Mortgage Loans Granted for Buildings Located in Luxembourg";
• S 2.9 "Staff Headcount".

In this context, it should be noted that report S 3.1 "Operations on Gold and Securities" is abolished with immediate effect. Indeed, changes at the European level regarding the calculation of the value-added tax (VAT) base have rendered this report obsolete.

Finally, it should be noted that all instructions for establishing statistical reporting are published and can be downloaded from the BCL website via the following addresses:

• http://www.bcl.lu/fr/reporting/banques/index.html
• http://www.bcl.lu/en/reporting/banques/index.html

4.1 Entities Subject to Reporting

Since certain credit institutions are exempted from submitting reports S 1.4, S 1.5, and S 2.5, the BCL will inform all credit institutions required to submit these reports to the BCL via separate correspondence.

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5 Quality of Transmitted Data

It is important to emphasize the quality of data transmitted to the BCL and the necessity of subjecting this data to the detailed verification rules in the technical documentation before transmission. Only rigorous control performed at the time of data production can meet both quality requirements and imposed deadlines. This point is all the more important as the data collected in this manner are controlled by ECB services before being aggregated with data from other Member States. Any significant error or negligence would have damaging repercussions on the reputation of the entire Luxembourgish financial community.

6 Respect of Reporting Deadlines

The BCL will establish and publish on its website a table listing the precise dates by which quarterly statistical tables are to be submitted.

It is reminded to securitization vehicles that the BCL must transmit monthly and quarterly statistical reports to the European Central Bank within respective deadlines of 15 and 28 working days following the period to which they relate. It is therefore indispensable that institutions strictly respect the delivery deadlines defined in this circular so that the BCL can meet its commitments within the ESCB.

7 Implementation of the New Collection

The submission of this information is mandatory starting from the deadline of December 2009 and June 2010, respectively.

The first declaration under the statistical reporting obligations therefore begins with data from June 2010, with the exception of report S 1.8 "Information on Securitization Operations Conducted by Credit Institutions," which is to be provided starting from December 2009.

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8 Testing Phase

The integration of security-by-security reporting into the monthly and quarterly statistical reports constitutes a major innovation whose objective is to avoid double reporting and increase data quality while avoiding additional collections. However, this integration also presents a significant risk; indeed, any delay or quality issue will result in the BCL being unable to meet its obligations to the ECB.

Thus, to avoid problems during the launch of the modified statistical collection, all credit institutions are strictly required to participate in a testing phase. This phase, which will begin in April 2010, corresponds for credit institutions to the submission of data relating to March 2010. The BCL will inform credit institutions of the results of these tests and request, if necessary, that the entities concerned carry out further test submissions to eliminate any remaining quality issues.

Please accept, Ladies and Gentlemen, the assurance of our most distinguished sentiments.

BANQUE CENTRALE DU LUXEMBOURG
The Management

Pierre BECK Serge KOLB Yves MERSCH