AnaCredit plausibility checks, version 2.0
AnaCredit plausibility
- AnaCredit plausibility
checks
Plausibility checks performed on
AnaCredit datasets
Version 2.0March 2024
Contents
1Introduction
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
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1
1
Introduction
This document sets out the AnaCredit plausibility checks. - AnaCredit plausibility checks ? Plausibility checks
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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
StructureStability
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 OAsBenchmark
comparisonsConsistency with statistical and/or
supervisory reportingConsistency of ratios over time
Internal
plausibilityExternal
plausibilityAnaCredit plausibility checks ? Plausibility checks
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2.2.1
Internal plausibility checks
Internal plausibility checks are self-contained within the AnaCredit data set, i.e. - AnaCredit plausibility checks ? Plausibility checks
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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
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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
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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
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instruments (loans), so the resulting aggregate is a good match to the BSI statistic.
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loans.
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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
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the latter assuming the credit risk and the MFI being responsible for managing the
loan. - AnaCredit plausibility checks ? AnaCredit external plausibility checks
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Intra-company instrument flag
BSI statistics also include intra-company loans, i.e. - AnaCredit plausibility checks ? AnaCredit external plausibility checks
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Settled loans
BSI statistics only include loans which have been settled, i.e. - AnaCredit plausibility checks ? AnaCredit external plausibility checks
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resolves to NULL for the instrument concerned.
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divided by the number of the main debtors.
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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
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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
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Figure 3
Calculation flow ? schematic overview of the comparison with FINREP soloBy 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
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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
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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 beenAnaCredit plausibility checks ? AnaCredit external plausibility checks
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derogated from reporting to AnaCredit).
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For a given FINREP solo reporter, the result of the calculation described in this
section (i.e. - AnaCredit plausibility checks ? AnaCredit external plausibility checks
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? European Central Bank, 2024
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