Bank regulatory data and reporting teams have received a pummelling from an onslaught of new regulation since the global financial crisis. COREP, FINREP, the Firm Data Submission Framework (FDSF) and CRD IV, to name just a handful, have all been huge reporting undertakings. They’ve been compounded by the ad-hoc stuff – 2014’s ECB Asset Quality Review (AQR) proved to be a notable high-point in fast turnaround reporting submissions.
Well here’s another one. Analytical Credit datasets (or “AnaCredit” for portmanteau lovers), is the brainchild of the European System of Central Banks (ESCB), which aims to collate pan-European, loan-level credit risk datasets. Amongst other things, AnaCredit will be used for ongoing monetary policy analysis and operations, as well as macro stress testing and other statistical purposes. All credit products (loans, derivatives and off-balance sheet products all get mentioned) amounting to over €25k per borrower will be in scope.
The regulation’s wording places operational delivery of AnaCredit datasets upon each EU nation’s own central bank or national competent authority. So for the UK, that’ll be the Bank of England (via the PRA). As the UK doesn’t have a Central Credit Repository (CCR), it will need to create one. The closest thing to a CCR the PRA will have is each bank’s FDSF submission. It’s pretty safe to bet AnaCredit won’t mirror FDSF datasets on a field-for-field basis so, chances are, banks will be asked to create a new submission sometime in the next year or so. In an update issued recently, a phased rollout was planned:
- End of 2017 – information on business customers (legal entities)
- Mid 2020 – any loan (including mortgages / retail customers)
The most interesting thing about AnaCredit, from a data perspective, is that the ESCB wants banks to submit using a newly developed reporting framework – the European Reporting Framework (ERF). This is the ESCBs effort at harmonising the way it ingests data from each credit institution, allowing it to map a particular field from Bank A to the same field at Bank B for data aggregation; in other words, giving the European regulator a unified data dictionary. Like FDSF, these data submissions will likely utilise the in mode eXtensible Business Reporting Language (XBRL).
By now it should be abundantly clear that, in future, regulators no longer intend to request individual reports from your institution. They want your loan-level data, so they can create and customise their own reports as necessary, enabling aggregation across the entire EU block. This will also allow, for the first time, some cross-checking of your regulatory reporting from the drains up. If you summed up every credit exposure in your business, would it really add up to what you submit as the total exposure on your regulatory returns? Probably not. The ERF will open your business up to new levels of scrutiny.
So, if creating FDSF or COREP reporting has been a manual intervention-laden administrative headache, you’re in for more of the same over the next few years. You will not only need to source, process and verify this new data, you’ll most likely have to prove its end-to-end lineage in line with BCBS 239 – Risk Data Aggregation and Reporting. You may well be required to backfill this information, so expect further rounds of time-consuming data remediation. AnaCredit should not be seen as just another data reporting project – it is the spectre of all data and reporting requests to come for the foreseeable future.
Tags: AnaCredit, Analytical Credit Datasets, ESCB, FDSF, NCB, COREP, BCBS239, ERF