Launch of Phase 2 funding template and Quantitative Impact Analysis for Phase 3
At the March 2014 Plenary meeting in London, the FSB approved the launch of Phase 2 of its Data Gaps initiative to implement a common data template to collect key granular data from global systemically important banks (G-SIBs) about their assets and liabilities to provide the authorities with a strong framework for assessing the interlinkages among the largest banks and the concentration of these institutions to different sectors and markets.
Phase 1 of the project, started in March 2013, focused on the exposures of G-SIBs to their largest counterparties and to major risk dimensions. Phase 2 will fill a substantial data gap by adding information on G-SIBs' Institution-to-Institution liabilities, their largest funding providers (banks and non-banks) and their funding structure (e.g. use of wholesale funding).
The Phase 2 funding template consists of two parts: a first part of the template requires banks to report their largest wholesale secured and unsecured funding providers (excluding traded debt securities). Since reporting banks typically are not able to identify the current holders of their traded debt securities, a second part of the template requires each institution to report its holdings of tradable debt securities issued by any other G-SIB's consolidated banking group.
With respect to the frequency of the data collection, for the start of Phase 2, banks will be required to report monthly, with the expectation of a weekly submission as the ultimate goal. While the monthly frequency will initially reduce the burden on banks to produce and validate high quality data, banks are expected to gradually improve their capability to report such high quality data more frequently as an integral part of their risk and crisis management toolbox. Periodic assessments will determine an appropriate path for switching to the weekly frequency.
The International Data Hub, hosted by the BIS, is extending its operations to collect and share this data, with appropriate safeguards on confidentiality.
The FSB also reviewed a roadmap for Phase 3, when the common template will include granular and comparable Institution-to-Aggregate (I-A) consolidated balance sheet data broken down by country, sector, instrument, currency and maturity. The FSB Data Gaps Group is reviewing the I-A template to take on board the industry comments received in the October 2013 consultation, reviewing the granularity of the data, balancing operational complexity and analytical usefulness, clarifying the definitions for better consistency with similar reporting requirements (e.g. the BIS International Banking Statistics) and adopting a phased-in approach (only the template on Immediate Counterparty basis will be required from the start of Phase 3, postponing the Ultimate Risk template to a later stage).
In Q3 2014, reporting banks will be invited and strongly encouraged to participate on a voluntary basis in a Quantitative Impact Analysis (QIA), submitting actual balance sheet data with full five-way crossing and protocols for streamlining the set of countries, maturities and currencies to be suitable for a field test. The goal of the QIA, which was broadly endorsed by industry participants at the October 2013 outreach to G-SIBs, is to validate whether the information delivered is as analytically useful as initially thought for regulatory and national or global financial stability purposes. The field test may also uncover any imprecision in the specification of the template and the related instructions, as well as other possible methodological shortcomings, and provide further insights into reporting challenges. Finally, it will serve as a good operational training for G-SIBs.
Based on the results of the QIA, the Data Gaps Group will finalise the I-A Immediate Counterparty template in early 2015. Additional consultation with industry during the course of the development of Phase 3 template is anticipated. At this juncture, first reporting of the I-A Immediate Counterparty template is planned from Q1 2016 on a best effort basis, with mandatory reporting from August 2016, with end-June reference date.
Background Reference on the FSB Data Gaps project
As part of wider G20 initiatives to improve data to support financial stability initiated in 2009, the FSB has developed an international framework that supports improved collection and sharing of information on linkages between global systemically important financial institutions and their exposures to different sectors and markets. The objective is to provide authorities with a clearer view of global financial networks and assist them in their supervisory and macro-prudential responsibilities.
All documentation on the project is available on the FSB website.
The key components of the governance of this initiative are the following: