AnaCredit plausibility checks, version 2.0

AnaCredit plausibility

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Tuesday, April 2, 2024
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Summary
Key Points: 
    • AnaCredit plausibility
      checks
      Plausibility checks performed on
      AnaCredit datasets
      Version 2.0

      March 2024

      Contents
      1

      Introduction

      2

      2

      Plausibility checks

      3

      2.1

      Definitions

      3

      2.2

      Classification

      4

      3

      AnaCredit external plausibility checks

      7

      3.1

      Plausibility checks with other statistical reporting frameworks

      8

      3.2

      Plausibility checks with supervisory reporting frameworks

      AnaCredit plausibility checks ? Contents

      27

      1

      1

      Introduction
      This document sets out the AnaCredit plausibility checks.

    • AnaCredit plausibility checks ? Plausibility checks

      3

      are erroneous and require revision; second, where the AnaCredit data are correct
      but the BSI data have not been reported correctly; third, where methodological
      differences in the requirements of the two datasets justify the discrepancy.

    • Figure 1
      Types of AnaCredit plausibility check
      Structure

      Stability

      per OA

      Consistency within or across attributes

      Time consistency of aggregate metrics

      across OAs

      Consistency with data of other OAs

      Changes in relative position compared
      to other OAs

      Benchmark
      comparisons

      Consistency with statistical and/or
      supervisory reporting

      Consistency of ratios over time

      Internal
      plausibility

      External
      plausibility

      AnaCredit plausibility checks ? Plausibility checks

      4

      2.2.1

      Internal plausibility checks
      Internal plausibility checks are self-contained within the AnaCredit data set, i.e.

    • AnaCredit plausibility checks ? Plausibility checks

      5

      2.2.2

      External plausibility checks
      External plausibility checks assess the consistency of data reported under AnaCredit
      with other datasets.

    • AnaCredit plausibility checks ? Plausibility checks

      6

      3

      AnaCredit external plausibility checks
      The following subsections contain the details of the AnaCredit external plausibility
      checks.

    • List of external plausibility checks performed under AnaCredit
      Table 1 shows the external plausibility checks under AnaCredit.
    • Plausibility checks with other statistical reporting
      frameworks
      This section includes AnaCredit external plausibility checks against other statistical
      reporting frameworks.
    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      9

      3.1.1.2

      ?

      loans to other financial intermediaries, financial auxiliaries, captive financial
      institutions and money lenders (S.125+S.126+S.127) across all maturity
      breakdowns;

      ?

      loans to insurance corporations (S.128) across all maturity breakdowns;

      ?

      loans to pension funds (S.129) across all maturity breakdown.

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      10

      instruments (loans), so the resulting aggregate is a good match to the BSI statistic.

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      12

      loans.

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      14

      If any of the input data necessary for this calculation are missing or inconsistent, the
      [relevant BSI balance] resolves to NULL for the instrument concerned.

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      16

      the latter assuming the credit risk and the MFI being responsible for managing the
      loan.

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      17

      Intra-company instrument flag
      BSI statistics also include intra-company loans, i.e.

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      18

      Settled loans
      BSI statistics only include loans which have been settled, i.e.

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      20

      resolves to NULL for the instrument concerned.

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      25

      divided by the number of the main debtors.

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      26

      3.2

      Plausibility checks with supervisory reporting frameworks
      This section includes AnaCredit external plausibility checks against supervisory
      reporting frameworks.

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      27

      FINREP templates and compared with suitably computed AnaCredit equivalents for
      banks reporting the supervisory financial information under Regulation ECB/2015/13
      (FINREP solo).

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      28

      Figure 3
      Calculation flow ? schematic overview of the comparison with FINREP solo

      By stacking the FINREP solo benchmark side-by-side with its AnaCredit equivalent,
      the deviation between the values can be quantified.

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      29

      3.2.2.1

      FINREP solo benchmark value
      As mentioned, comparing AnaCredit with supervisory financial information helps
      ensure accounting information on loan portfolios that must be reported to AnaCredit
      is reported properly.

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      30

      Table 3
      The formula for the benchmark DP_FNRP_F1800_ALL_00 from data points from the
      reporting templates of the EBA reporting framework.

    • The composition of FINREP solo reporters thus defined serves as a basis for
      determining (i) which AnaCredit observed agents correspond to which FINREP solo
      reporters, and (ii) the extent to which the perimeter of a FINREP solo reporter can be
      reconstructed from AnaCredit (given that some observed agents may have been

      AnaCredit plausibility checks ? AnaCredit external plausibility checks

      32

      derogated from reporting to AnaCredit).

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      34

      For a given FINREP solo reporter, the result of the calculation described in this
      section (i.e.

    • AnaCredit plausibility checks ? AnaCredit external plausibility checks

      35

      ? European Central Bank, 2024
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