Annex 5: The Reporting Framework for the ECB's Money and Banking Statistics1
1. The statistical system for the single currency area covering money and banking statistics comprises two main elements. The data are to be drawn from national sources relying on harmonised definitions and presented so as to permit aggregation.
- a definition of the monetary financial institutions whose liabilities contribute to money creation
- a specification of what information these institutions should report at monthly (or for some purposes quarterly) frequency to enable monetary statistics to be compiled.
2. These elements are considered in turn.
Monetary Financial Institutions
| Aim: a complete and homogeneous monetary sector and reporting population for the production of properly articulated money and banking statistics in Stage Three. |
3. While there is much common ground in the composition of banking sectors in Member States, they are by no means homogeneous, in part reflecting differences in national financial systems.
4. In order to define a homogeneous monetary sector and reporting population for the production of properly articulated money and banking statistics, the EMI Council has agreed the following definition:
| Monetary Financial Institutions (MFIs) comprise resident Credit Institutions as defined in Community Law, and all other resident Financial Institutions whose business is to receive deposits and/or close substitutes for deposits from entities other than MFIs, and, for their own account (at least in economic terms), to grant credits and/or to make investments in securities. |
Thus, in addition to central banks, the MFI sector comprises two broad groups of financial institutions. These are Credit Institutions as defined in Community law ["an undertaking whose business is to receive deposits or other repayable funds from the public (including the proceeds arising from the sales of bank bonds to the public) and to grant credit for its own account"2] and other resident Financial Institutions as defined above. Financial institutions meeting the definition located in any EU Member State will be classified as MFIs, whether or not that Member State is part of the single currency area, because MFIs coincide with two sub-sectors in the ESA 95, namely central banks (S.121) and other monetary financial institutions (S.122).
5. Credit Institutions which fulfil the related Community definition - and this will be most credit institutions defined by national law and most "exempt Credit Institutions" - will be included in the MFI sector.
6. Other resident financial institutions which fulfil the MFI definition will also be included in the MFI sector. The degree of substitutability between the instruments issued by them and deposits placed with Credit Institutions will determine their classification, provided they meet the MFI definition in other respects.
7. As well as for purposes of money and banking statistics (and balance of payments), the list of MFIs may also be used for the purposes of a minimum reserve requirement (if there is one in Stage Three). Limited provision has been made to meet the contingency that the group of institutions subject to any minimum reserve requirement may be more narrowly drawn. This point is discussed further in para. 20.
8. Substitutability for deposits in relation to financial instruments issued by financial institutions other than credit institutions will be determined by their liquidity, combining characteristics of transferability, convertibility, certainty and marketability, and having regard, where appropriate, to their term of issue.
- transferability refers to the possibility of mobilising funds placed in a financial instrument by using payment facilities, such as cheques (or similar means), transfer orders or direct debits;
- convertibility refers to the possibility and the cost of converting financial instruments into currency or transferable deposits; the loss of fiscal advantages in conversion may be considered a kind of penalty that reduces the degree of liquidity;
- certainty means knowing precisely in advance the liquidation value of a financial asset in terms of national currency;
- securities quoted and traded regularly on an organised market are considered to be marketable. For shares in open-end collective investment institutions, there is no market in the usual sense. Nevertheless, investors know daily the quotation of the shares and can withdraw funds at this price.
All financial institutions with liabilities meeting these criteria, and which lend on their own account, will be included in the MFI sector, whatever the specialised nature of their business. In the case of collective investment institutions (CIIs), funds described as investing in monetary assets, or whose aim is to provide a yield close to money market interest rates, are likely to fulfil the agreed conditions for liquidity (in particular certainty). CIIs which fulfil these conditions (and where withdrawal of funds is not subject to fiscal penalty) (Money Market Funds) will be included in the MFI sector.
9. Central banks have already prepared provisional lists of institutions for inclusion in the MFI sector3. The lists may however need to change as financial innovation (itself affected by the development of the single market and the prospect of Monetary Union) affects the characteristics of financial instruments and institutions change the focus of their business. Small MFIs may be relieved of some of the burden of reporting, provided that - subject to transitional arrangements - MFIs contributing to the monthly money and banking statistics account for at least 95% of the total MFI balance sheet in each country participating in the single currency area. They may however be required to report information for purposes of the system of compulsory reserves, if there is one.
Money and banking statistics - the consolidated balance sheet
| Aim: monthly data on the business of MFIs, in sufficient detail to allow flexibility in the calculation of monetary aggregates and counterparts covering the single currency area. The balance sheet may also provide the statistical basis for a minimum reserve requirement. |
10. In addition to notes and coin in circulation, money stock will comprise monetary liabilities (deposits and other instruments which are close substitutes for deposits) of MFIs. The counterparts to money will comprise all other items in the MFI balance sheet, suitably arranged.
11. The ECB will require properly articulated money and banking statistics on a monthly basis to support the definition and conduct of the single monetary policy. These statistics will need to include the data necessary to enable the ECB to compile monetary aggregates and their counterparts according to different options. These aggregates for the single currency area can be expected to be compiled as amounts outstanding (i.e. stocks) and as flows derived from them, with procedures to adjust for different accounting practices where necessary. The ECB will also require some further detail of the MFI balance sheet quarterly.
12. The ECB's prospective data requirements are best presented in terms of instrument/ maturity categories and currencies and of the MFIs' counterparties. As separate requirements apply to liabilities and assets, the two sides of the balance sheet must be considered separately. The separate categories are shown in the table on the next page (monthly items are in bold). Annex 5:1 provides further detail.
(i) Instrument and maturity categories
a) Liabilities
13. The compilation of monetary aggregates for the single currency area requires relevant instrument categories. These are currency in circulation; deposit liabilities4; liabilities of money-market funds; debt securities issued; money-market paper issued; capital & reserves; and the remaining liabilities. In order to separate monetary and non-monetary liabilities, deposit liabilities are also broken down into "overnight deposits, "deposits with agreed maturity", "deposits redeemable at notice"5 and "repurchase agreements".
14. These instrument categories will provide the base for the application of the breakdown by maturity at issue (or by periods of notice). Maturity cut-offs are a feature of monetary statistics in several Member States and may also provide a substitute for instrument detail where instruments are not fully comparable between financial markets. The cut-off points for the maturity bands (or for periods of notice) will be: for "deposits at agreed maturity", at 1-year and 2-years' maturity at issue; and for "deposits redeemable at notice", at up to 3-months' notice. Non-transferable sight deposits ("sight savings deposits") are included in this "up to 3-months" band. Repos will not be broken down by maturity as these are usually very short-term instruments (usually less than 3-months' maturity at issue). Debt securities issued by MFIs (excluding money-market paper) will also be broken down at 1-year and 2-years as these instruments may be considered by the ECB to constitute an important component of the money stock of the single currency area. No maturity breakdown is required for money-market paper issued by MFIs and for units issued by money-market funds.
b) Assets
15. The instruments identified are: (MFIs' holdings of) cash; loans; securities other than shares; money-market paper; shares and other equities; fixed assets; and remaining assets. A maturity breakdown will be required for MFI holdings of debt securities issued by other MFIs located in the single currency area. These holdings must be broken down into the proposed (1 and 2 years) maturity bands, to permit netting off of inter-MFI holdings of this instrument and the calculation of non-MFI holdings, which may be included in a monetary aggregate, to be made by residual. (A maturity breakdown of MFI holdings of debt securities issued by non-MFIs and of loans to non-MFIs is part of the quarterly requirement.)
(ii) Currencies
16. The ECB may define the monetary aggregates to include balances denominated in any currency or in euro alone. It is proposed, therefore, that euro balances should be separately identified in the reporting scheme for those balance sheet items that may be used in the compilation of the monetary aggregates.
(iii) Counterparties
17. The compilation of monetary aggregates and counterparts for the single currency area requires the identification of those counterparties located in the area who form the money-holding sector. Counterparties located in the domestic territory and elsewhere in the area must be treated in exactly the same way in all statistical breakdowns (and separately identified). There will be no geographical breakdown of counterparties located outside the single currency area in monthly data.
18. Counterparties in the domestic territory and in other countries in the single currency area must be identified according to their domestic sector or institutional classification. Counterparties that are MFIs must be identified to permit inter-MFI balances to be netted out. In the total deposit categories, a distinction is required between credit institutions and other MFI counterparties, in case it is needed for reserve requirement purposes (see para. 20). In order to permit the identification of a money-holding sector, non-MFI counterparties must be divided between general government (with central government separately identified in deposit liabilities as it is likely to be outside the money-holding sector), and other residents (a detailed sub-sector breakdown is a quarterly data requirement). The potential difficulties of classifying non-MFI counterparties in other single currency area countries should be eased considerably with the adoption in the reporting scheme of classification principles that are fully consistent with ESA 95.
(iv) Cross-relating instrument and maturity categories with currencies and counterparties
19. The compilation of monetary statistics for the single currency area will require certain cross-relationships between instrument/maturity/currency and counterparties to be made in the balance sheet. These need to be fullest where the counterparties are part of the money-holding sector. Positions vis-à-vis other MFIs will need to be identified only so far as necessary to allow the netting of inter-MFI balances (or balances among credit institutions). Positions vis-à-vis the rest of the world will be required only for certain instrument categories in order to compile the external counterparts.
(v) The balance sheet as the statistical basis for a possible system of compulsory reserves
20. The form of a reserve requirement, if there is to be one, will be for decision of the ECB Council. Provision has been made for the contingency that any system of compulsory reserves might not be applied to the whole MFI sector. Provision for all forms which a requirement might take would add considerably to the complexity of the balance sheet. The proposal is to make a limited but important provision by introducing a distinction between a reporting institution's total deposit liabilities in all currencies, and in euros separately, to credit institutions located in the single currency area on the one hand, and to MFIs other than credit institutions located in the area on the other hand. If necessary, any further (or different) requirement will be specified when the ECB Council makes the relevant decision in 1998. Reporting institutions should allow for this possibility when adapting their data structures.
(vi) Transitional data required for the consolidated balance sheet
21. The above section sets out the ECB's requirements for monetary statistics on the assumption that Stage Three has begun and the single currency area has a fixed composition. However, the transition to Stage Three will imply data requirements. First, there are the data requirements that arise in advance of the start of Stage Three (i.e. to meet the requirement for aggregates covering periods before the starting date, to provide the base for a possible target for money supply). Second, there are requirements in Stage Three, arising from the continued existence of national currencies in the area before the completion of the change-over to the single currency, and also from the subsequent participation of countries that are not part of the area from the start.
SURVEY OF BREAKDOWNS FOR THE PURPOSES OF THE
AGGREGATED BALANCE SHEET OF THE MFI SECTOR
INSTRUMENT / MATURITY CATEGORIES, COUNTERPARTIES & CURRENCIES
("Monthly data" breakdowns are indicated in bold with *)
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D Not allocated |
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e Euro Euro denomination (including national MU currency denominations prior to the completion of change-over to the single currency) x Non-MU currencies Other currencies (other EU currencies, USD, JPY, SFR, remaining) |
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| 1. | Maturity breakdown applicable only for loans to non-MFIs. |
| 2. | Monthly data requirement relates only to holdings of securities
issued by MFIs located in the MU. As Quarterly data, holdings of securities issued by non-MFIs in the MU are split between "up to one year" and "over one year". |
| 3. | 3 Excluding money market paper. |
| 4. | Defined as holdings of money market paper issued by MFIs. Money market paper includes here shares / units issued by MMFs. |
| 5. | Including suspense balances representing amounts stored on pre-paid cards issued in the name of MFIs. |
| 6. | Including administratively regulated deposits. |
| 7. | Including non-transferable sight deposits. |
| 8. | Defined as money market paper issued by MFIs. |
| 9. | Households (S.14) and non-profit institutions serving households (S.15). |
(a) The interim period
22. The ECB will require accurate monetary statistics covering the future single currency area for more than one year before the starting date of Stage Three. As reliable seasonal adjustments cannot be available then, monetary developments in 1999 could only be judged on the basis of the previous year comparison, which makes the monthly outturns for 1998 as important as those for 1999. Moreover, to formulate a target for monetary growth towards the end of 1998, in case one is required, will need for example an outturn in the fourth quarter of 1997 to provide a base. This requirement for monetary statistics covering the prospective single currency area in the interim period relates to those data items that would be essential for the compilation of monetary aggregates and their counterparts. As the initial composition of the area will not be known until early 1998, this requirement for data in the interim period would imply that MFIs would have to label by country all positions with residents of EU countries back to end-September 1997 with the full set of breakdowns required to compile the monetary aggregates and counterparts on a monthly basis.
23. As the ECB may wish to produce monetary aggregates based on a domestic currency concept, a further potential complication arises in the interim period. The domestic currency in the context of imminent Monetary Union can mean only the currency of one of the named participants. As these participants will not be known until early 1998, it would be necessary for reporting agents to identify the currencies of all EU member states for all key positions.
24. Although it is recognised that in principle essential monetary data compiled in the interim period should be derived in the same way as during Stage Three itself, the compilation of data on this basis relating to the period before the composition of the single currency area is known would impose a heavy burden. To avoid this, data for this period may be compiled with some flexibility provided that the data supplied to the ECB are of high quality. These data might be based on existing international banking data sources or derived at low cost from other sources.
(b) Stage Three
25. Transitional features will continue in two respects. First, the national currencies of countries in the area will continue to exist until the completion of the change-over to the single currency, and are likely to be represented in the balance sheets of reporting institutions. In order to be able to create "domestic" currency aggregates for the single currency area, MFIs will be required to add balances expressed in these national denominations to balances denominated in euro (the combined total to be distinguished from balances denominated in all other currencies in monthly reporting).
26. The second transitional feature is the subsequent participation of EU countries in the single currency area after the start of Stage Three. MFIs will need to take account of this by retaining the ability to analyse by country positions with residents of the EU countries which remain outside the area after the start of Stage Three. It would in principle also be necessary to break down those balances on a currency-by-currency basis. To reduce the potentially heavy reporting burden, it is proposed that any back data covering the period before a change in the composition of single currency area is known could be produced with some scope for flexibility, as described in para. 246.
(vii) Other data requirements at quarterly frequency
| Aim: further detail on certain items of the balance sheet to support monetary analysis. |
(a) General
27. Certain data requirements are not essential to compile monetary aggregates for the single currency area but will be needed in Stage Three for the further analysis of monetary developments or to serve other statistical purposes (such as financial accounts). They will be required only at quarterly frequency. These quarterly breakdowns will be provided only in respect of key items of the aggregated balance sheet (the main items shown in bold in the left column of Table 1 in Annex 5:1). Furthermore, some flexibility in calculating aggregates may be allowed where it can be shown from figures collected at a higher level of aggregation that the data involved are unlikely to be significant.
(b) Maturity breakdown of lending to non-MFIs in the single currency area
28. In order to enable the maturity structure of MFIs' overall credit financing (loans and securities) to be monitored, loans to non-MFIs are to be broken down quarterly at 1-year and 5-years' original maturity and holding of securities issued by non-MFIs, at 1-year.
(c) Sector breakdowns in the consolidated balance sheet
29. The quarterly sector split of liability and asset positions vis-à-vis non-MFIs in the single currency area will require (where applicable) a breakdown of the general government sector (Central Government (S. 1311)7, State Government (S. 1312), Local Government (S. 1313), Social Security Funds (S. 1314)) and other resident sectors [(other financial intermediaries (S.123), insurance corporations and pension funds (S.125), non-financial corporations (S.11), households and non-profit institutions serving households (S.14 and S.15 combined)]. The provision of such data will enable the ECB to break down the monetary aggregates and lending counterparts into their sub-sector components and will also serve financial accounts purposes. In order to identify the sub-sector components of the monetary aggregates, it would in theory be necessary to cross the sub-sector breakdown with a detailed breakdown of deposit liabilities (by instrument, maturity and split between euro/other currencies). In view of the burden that would arise, the data requirement will be limited to certain main balance sheet items (i.e. deposit liabilities to non-MFIs; loans to non-MFIs; and holdings of securities issued by non-MFIs).
(d) Breakdown of loans to non-MFIs by activity of the borrower
30. This breakdown of loans to non-MFIs located in the single currency area will be confined to the sub-sectors non-financial corporations and households etc. and will identify loans to enterprises; to households, with a breakdown of the latter into consumer credit, lending for house purchase and other lending (residual); and to non-profit institutions serving households.
(e) Country breakdown
31. Apart from the essential distinction between counterparties inside and outside the single currency area discussed earlier, and the transitional requirements, the country breakdown of external positions already provided by most EU Member States to the BIS may suffice in some cases.
(f) Currency breakdown
32. Some breakdown of MFIs' positions in the major non-EU currencies will be required to permit the calculation of flow statistics for money and credit adjusted for exchange rate changes (where these aggregates are defined to include all currencies combined). Key balance sheet items only should be broken down into the major international currencies (US dollar, yen, Swiss franc).
(g) Sector breakdowns of positions with counterparties outside the single currency area (other EU Member States and the rest of the world)
33. For MFIs' positions vis-à-vis counterparties located outside the single currency area, positions with banks (or MFIs in EU countries outside the area) and non-banks need to be distinguished; within non-banks, a distinction is needed between general government and other residents.
Definitions relating to the consolidated balance sheet
34. Annex 5:2 sets out in more detail various definitions relating to the MFI balance sheet; only a very brief explanation is given here.
- Residence is determined by the centre of economic interest. Following ESA 95, an economic unit is resident in a territory when it has engaged for a year or more in economic activities in that territory.
- For purposes of compilation of statistics covering the single currency area, the reporting population consists of MFIs (as defined earlier) located in the territories of Member States in the area. These are institutions incorporated and located in the territory, including resident subsidiaries of parent companies located outside that territory, and branches of institutions that have their head office outside that territory.
- MFIs will be required to consolidate for statistical purposes the business of all their offices located within the same national territory. Furthermore, head offices will be permitted to consolidate in their statistical returns the business of any subsidiaries that are MFIs located in the national territory, although the consolidation of business of credit institutions and MFIs which are not credit institutions should be avoided for possible reserve requirements reasons. No consolidation will be permitted across national boundaries in statistical returns.
- Definitions of the categories of assets and liabilities included in the consolidated balance sheet will accord with the definition of financial instruments in the ESA 95, taking account however of features of different financial systems.
- ESA 95 provides the standard for sector classification. The definition of MFIs was discussed above.
- The ESA 95 provides rules for the valuation of items in the balance sheet. In practice, at least for some time, many reporting institutions are likely to follow in statistical returns the accounting rules set out in the EU Bank Accounts Directive (BAD) (86/635/EEC). The EMI will prepare guidelines for the compilation at national level of banking data to be reported to the ECB in Stage Three; in most cases it is likely that statistical needs can be met by rearranging, at the level of the national central bank, information which reporting institutions provide.
Compilation of flow statistics
35. The consolidated balance sheet will provide information on outstanding assets and liabilities. In addition to the effect of new business undertaken in the latest period, balance sheet outstandings reflect valuation changes and certain other adjustments such as write-offs of loans. In compiling monetary statistics, it may also be necessary to identify holdings of marketable paper issued by MFIs in the hands of the money-holding sector. National central banks will choose in the light of national circumstances how to collect the information required to enable such valuation changes and other adjustments to be made when flows are compiled.
Timeliness of data
36. As a rule, the ECB will need to receive an aggregated monthly balance sheet covering the positions of MFIs in each country participating in the single currency area by the close of business on the 15th working day following the end of the month to which the data relate. National central banks may decide when they need to receive data from reporting institutions in order to meet this deadline. The ECB, after consulting national central banks, will issue each year a timetable for the provision of data, taking account of public holidays. The same procedures will apply to the more detailed information reported quarterly except that the data need not be transmitted to the ECB until the close on the 28th working day following the end of the month to which they relate.
ECB - European Central Bank