Circular BCL 2011/228 of 3 October 2011 — Modification of Statistical Collection

Luxembourg, 3 October 2011
To all credit institutions

CIRCULAR BCL 2011/228

Dear Madam, Dear Sir,

The recent financial crisis marked the starting point of a fundamental overhaul of the organization of prudential supervision of financial actors and markets in the European Union. These efforts resulted, on 21 November 2010, in the adoption by the European Parliament and the Council of Regulation (EU) No 1092/2010 on the macro-prudential oversight of the financial system in the European Union and establishing a European Systemic Risk Board (ESRB).

This Regulation complements the institutional framework of financial supervision in the European Union by creating a European Systemic Risk Board (ESRB) which is an integral part of the European System of Financial Supervision (ESFS), which consists of the European Supervisory Authority (European Banking Authority), the European Supervisory Authority (European Insurance and Occupational Pensions Authority), the European Supervisory Authority (European Securities and Markets Authority) and the joint committee of the European Supervisory Authorities and the competent or supervisory authorities of the Member States.

In the same context, the recent financial crisis has also highlighted the lack of information held by authorities involved in the supervision of financial actors and markets. This is explained in particular by the fact that information collected on the basis of the European Central Bank (ECB) Regulation provides for exemptions for credit institutions of modest size. Thus, authorities do not have detailed information on assets and liabilities, which is necessary for a proper analysis of financial and macro-prudential stability for a number of credit institutions. However, for the purposes of information relating to macro-prudential supervision and the conduct of stress tests on credit institutions and the banking system, it is important to have information on the entire sector.

In this context, it is important to emphasize that, with a view to limiting the overall reporting burden on credit institutions, the Luxembourg authorities fully cooperate and use, to the extent possible, all data collected for statistical and prudential purposes to conduct prudential analysis.

Thus, given the developments mentioned above, the BCL has decided to modify its statistical collection system, in order to take into account the needs arising from prudential supervision and stress tests. Indeed, such an adaptation should make it possible to cover the needs of prudential supervision and financial stability and thus avoid specific collection in this area.

1 Main Modifications

Compared to the current statistical collection system, the modifications revolve around two major axes, namely:

• the repeal of exemptions currently granted to institutions of modest size for reports S 1.4 "Information on the effects of valuation on the balance sheet of credit institutions" and S 2.5 "Quarterly statistical balance sheet of credit institutions"
• an update of the title-by-title report for the part of the data relating to the balance sheets of credit institutions (TPT-BBS)

The first modification, which consists of the repeal of exemptions for the submission of reports S 1.4 "Information on the effects of valuation on the balance sheet of credit institutions" and S 2.5 "Quarterly statistical balance sheet of credit institutions", will avoid the introduction of a new similar collection in order to be able to proceed with the analysis of loans and commitments, broken down by country, currency and economic sector of the counterparty.

Thus, the exemptions provided for by Circular BCL 2009/225 and confirmed by the letter of 13 January 2010 (ref.: C2.11-0038) under which certain banks received an exemption for the submission of reports S 1.4 and S 2.5 are revoked as of December 2011. Consequently, all credit institutions are invited to submit the aforementioned reports by March 2012 at the latest.

The second modification lies in the inclusion of additional information in the title-by-title reporting relating to data on the balance sheet of credit institutions (TPT-BBS). Indeed, the analysis needs make it essential to have an appropriate breakdown of debt securities according to belonging to one of the following portfolios:

• financial assets held for trading
• financial assets available for sale
• loans and receivables
• financial assets designated at fair value through profit or loss
• held-to-maturity financial assets

The combination of this information on the classification of debt securities according to belonging to a given portfolio with information on the country of residence and the economic sector of the issuer is essential for the conduct of stress tests.

Thus, it renders obsolete the requests for additional information that the BCL addressed to credit institutions over the past two years.

The new layout of the Title-by-Title Reporting – Balance Sheet Data (TPT-BBS) will enter into force in March 2012.

2 The BCL Statistical Reporting

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

• S 1.1 "Monthly statistical balance sheet of credit institutions"
• S 1.4 "Information on the effects of valuation on the balance sheet of credit institutions"
• S 1.5 "Information on interest rates in EUR"
• S 1.8 "Information on securitization transactions carried out by credit institutions"
• Title-by-Title Reporting – Balance Sheet Data (TPT-BSS)
• Title-by-Title Reporting – Information on assets held on behalf of third parties (TPT-BOB)
• S 2.5 "Quarterly statistical balance sheet of credit institutions"
• S 2.8 "Real estate loans granted for buildings located in Luxembourg"
• S 2.9 "Staff numbers"
• S 4.1 "Non-balance sheet information"

Finally, it should be noted that all instructions for the preparation of statistical reporting are published and can be downloaded from the BCL website from the following addresses:
http://www.bcl.lu/fr/reporting/banques/index.html http://www.bcl.lu/en/reporting/banques/index.html

2.1 Entities subject to reporting

Since some credit institutions are exempt from submitting report S 1.5, the BCL will inform by separate letter all credit institutions required to submit this report to the BCL.

In this context, it should be noted that the BCL letter of 13 January 2011 (ref.: C2.11-0038) remains applicable regarding the submission of report S 1.5 as of June 2011.

3 Quality of data transmitted

It is important to emphasize the quality of the data transmitted to the BCL and the need to submit this data to the detailed verification rules in the technical documentation before transmission. Only rigorous control, carried out as soon as the data is produced, can meet both quality requirements and the deadlines set. This point is all the more important since the data collected in this way is controlled by the ECB services before being aggregated with data from other Member States. Any error or negligence would have damaging repercussions on the reputation of the entire Luxembourg financial community.

4 Compliance with reporting deadlines

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

Credit institutions are reminded 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 essential that credit institutions strictly respect the delivery deadlines defined in this circular so that the BCL is able to meet its commitments within the framework of the ESCB.

Please accept, Madam, Sir, the assurance of our very distinguished sentiments.

BANQUE CENTRALE DU LUXEMBOURG
The Management

Pierre BECK Serge KOLB Yves MERSCH