ECBUNRESTRICTED FINAL Gemma Agostoni Josep Maria Puigvert ECB
ECB-UNRESTRICTED FINAL Gemma Agostoni Josep Maria Puigvert ECB Ronald Rühmkorf Plamen Petrunov BNB Statistical findings on the new Money Market Statistical Reporting Conference of European Statistics Stakeholders Budapest | 20 - 21 October 2016
Rubric Overview 1 MMSR in a nutshell 2 The data in details: variables and attributes 3 Implementation and Standardisation 4 Validation procedures 5 Reporting since April 2016 6 MMSR additional data quality challenges 7 Conclusion Initial statistical findings on the new MMSR ECB-UNRESTRICTED FINAL www. ecb. europa. eu ©
Rubric in a nutshell (1/3) MMSR ECB-UNRESTRICTED FINAL – The money market changed dramatically in the wake of the crisis • modified market patterns and fragmentation • financial innovations and regulatory changes affecting participants’ behaviour and markets salient features – Consequences • data gaps hindered to interpret on a very timely basis money marketrelated elements of the monetary policy transmission mechanism – Proposed solution • collect granular statistical information on money markets to support and better inform monetary policy conduct in euro area – New legal act • MMSR Regulation (ECB/2014/48) Initial statistical findings on the new MMSR adopted on 26. 11. 2014 www. ecb. europa. eu ©
Rubric in a nutshell (2/3) MMSR ECB-UNRESTRICTED FINAL − Transaction-by-transaction data on four money market segments: Secured: borrowing/lending of cash secured with a collateral which safeguard the lender against borrower's default Unsecured: borrowing/lending of cash backed only by the borrower’s creditworthiness FX Swaps: purchasing/selling of foreign exchange against EUR OIS: exchange of EONIA rate against a fixed interest rate − Daily frequency: Reporting by 7 a. m. on the day following the trade date and covering all money market trades conducted during the previous day − Timeline: Full reporting as of 1 July 2016, following a 3 -month interim period Initial statistical findings on the new MMSR www. ecb. europa. eu ©
Rubric in a nutshell (3/3) MMSR ECB-UNRESTRICTED FINAL • Reporting population − The biggest 52 euro area MFIs with a balance sheet larger than 0. 35 % compared to the total balance sheet of all euro area MFIs • The high correlation between the bank balance sheet and the money market activity ensured achieving coverage of ca. 85% of the money market − Highest money market concentration - around 80% - for reporting agents located in Germany, France, Italy and Spain • Counterparty coverage (with whom reporting agents are trading) − MFIs, i. e. interbank market − Central Banks and General Government − Other Financials Corporations, incl. Investment funds, Insurance, Securitisation − “Wholesale” Non-Financial Corp. s classified under Basel 3 LCR framework Initial statistical findings on the new MMSR www. ecb. europa. eu ©
Rubric The data in details: variables and attributes ECB-UNRESTRICTED FINAL • Main money market variables – Valuation – Turnover Interest rates | Basis Point Spread | Price | Swap points Transaction Nominal Amount • Counterparty identification – LEI : – Sector, Legal Entity Identifier (for interbank and CCPs) ISO 17442, or via ESA 2010 code, and Location, via ISO 3166 country code • Maturity structure – Trade Date Contract creation Settlement Date Maturity Date Payment Termination • Collateral identification – ISIN : International Securities Identification Number, – Asset Type : CFI code, via ISO 10962, Initial statistical findings on the new MMSR 6 via ISO 6166, or and Issuer Sector via ESA 2010 code www. ecb. europa. eu ©
Rubric Implementation and Standardisation (1/2) ECB-UNRESTRICTED FINAL • Documentation − Detailed Reporting Instructions (published a year in advance) explaining the conceptual and technical specifics of the MMSR framework − An extensive Q&A document further elaborating on the reporting requirements − Clear and well-defined XML - Reporting schemas => Ensuring correct and common understanding among reporting agents • Strong interaction with the industry − 3 mock-up data exercises conducted in 2015 to test the understanding of the reporting framework and readiness by the 52 Reporting Banks − Several meetings with the Banking industry concerned In Dec. 2014, Feb. 2015, Dec. 2015, May 2016 and Nov. 2016 • Fully automated processing: from data transmission to dissemination Initial statistical findings on the new MMSR www. ecb. europa. eu ©
Rubric Implementation and Standardisation (2/2) ECB-UNRESTRICTED FINAL • High level of standardisation − MMSR framework is fully aligned with the ISO 20022 standard − ISO 20022 Universal financial industry message scheme is a single standardisation approach (methodology, process, repository) § used in many fields of financial reporting, such as payments or securities − Strongly supporting high automation of the MMSR data collection and processing for Reporting Agents as well as for the Eurosystem − MMSR Reporting Instructions fully consistent with all ISO definitions and XML-based reporting messages registered by the ISO § making them globally recognised − Usage of the ISO 20022 standard § Bank of England’s Sterling Money Market Daily (SMMD) – equivalent of the MMSR covering the UK money markets § Secured Financed Transactions-Data Store (SFT-DS) under the SFT Regulation Initial statistical findings on the new MMSR www. ecb. europa. eu ©
Rubric Validation procedures ECB-UNRESTRICTED FINAL • Data Quality Checks – Provided as a detailed document to the reporting agents to ensure transparency and easiness of the implementation on their side – Applied immediately after data reception – Scope § compliance with formats § consistency of the information § plausibility of the data – Follow-up § automatic, system-generated message to the reporting agent presenting a detailed explanation of the breached DQ Check(s) § the Eurosystem message requires response and corrective measures by the reporting agent ASAP, but not later than 10 days Initial statistical findings on the new MMSR 9 www. ecb. europa. eu ©
Rubric Reporting since April 2016 (1/2) • Evolution April–Oct. 2016 of weekly average nb of transactional records • Over 4, 500, 000 transactional records in total, thus far 10 www. ecb. europa. eu ©
Rubric Reporting since April 2016 (2/2) • Evolution of percentage of accepted, of which with warnings, and rejected transactional records: over 99% of the records accepted and <1% rejected! MMSR Data - Summary of the quality status 120% 100% RJCT 60% WARN ACPT 40% 20% 0% 4 ап 11 р -а п 18 р -а п 25 р -а п 2 - р ма 9 - й м 16 ай -м 23 ай -м 30 ай -м а 6 - й ию 13 н -и ю 20 н -и ю 27 н -и ю 4 - н ию 11 л -и ю 18 л -и ю 25 л -и ю л 1 ав г 8 ав 15 г -а в 22 г -а в 29 г -а в 5 - г се 12 н -с е 19 н -с е 26 н -с ен 3 ок 10 т -о кт Percentage share 80% 11 www. ecb. europa. eu ©
Rubric MMSR additional data quality challenges (1/3) • Further data quality analysis is also being conducted to identify: Ø Matching of the two legs of transactions (among 52 reporting agents) per segment to identify possible missing transactions ü Currently only checked on a monthly basis Ø Analysis of the counterparty based on Counterparty sector or the LEI ü E. g. transactions reported with the LEI, instead of the sector and location (when not a bank or CCP) Ø Analysis of foreign exchange forward points, basis point spread, haircut and exchange spot rate to identify wrongly reported fields 12 www. ecb. europa. eu ©
Rubric additional data quality challenges (2/3) • MMSR Outlier detection 13 www. ecb. europa. eu ©
Rubric MMSR additional data quality challenges (3/3) Wrong reporting around “ 0” for a particular agent Initial statistical findings on the new MMSR www. ecb. europa. eu ©
Rubric Conclusions ECB-UNRESTRICTED FINAL • MMSR: an already positive outcome – Timetable and actual delivery fully on time and above expected quality level – New data collection at very high frequency (daily) and timeliness (day + 1 at 7: 00) and granularity ensuring high coverage on money market segments – Standardisation, data validation and active preparation guaranteed a high quality dataset and mitigated the reporting burden on the industry – Full automated processing improving the effectiveness and lowering the costs – A very rich source of information serving many purposes among the Eurosystem, the industry and the public at large • Remaining challenges ahead – Further improvement of data quality: in particular outlier detection, clustering and multivariate analysis – External and internal dissemination of the data, fully protecting confidentiality – Future extension of the reporting population Initial statistical findings on the new MMSR 15 www. ecb. europa. eu ©
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