The Roadmap. The Evolution of Irish Loan-Level Data. Central Credit Register 201X. 2013: A better Loan Level Database. 2011: A Loan Level database

Transcription

1 The Evolution of Irish Loan-Level Data Workshop on Integrated Management of Micro-databases 20 June 2013 Rory McElligott, Central Bank of Ireland The Roadmap 2011: A Loan Level database 2013: A better Loan Level Database Central Credit Register 201X 2010: Zero 2 1

2 Initial Motivation for Project November 2010: Ireland agreed to a EU-IMF financial support programme. Requirement to complete a bottom-up bank capital assessment by March The review was completed in just over four months included loan-level data collection & quality remediation work, and loan-loss estimates Exceptionally quick due to unique set of incentives Review identified stress-case loan losses of 27.7bn 3 The first collection was successful but the process an expensive and unsustainable solution Solution was to developed the internal IT infrastructure, skillsets and governance Knowledge transfer from external consultants Necessary preparatory work for future CCR project Expanded and harmonised definitions, data fields and templates Four data drops now completed 4 2

3 Challenges remain Frequency Timeliness Population coverage Semi-annual 4-6 month lag 3main domestic banks (all offices) Unstandardized Fragmented delivery files, definitions etc; (work in progress!) Bn Loans to Irish residents Covered Not Covered 5 How will the data be used? Late Stage Mortgage Arrears Focus is on informing and designing policy Analysts quickly embraced the new dataset Data: European ABS Outlook 2013, Deutsche Bank; Note this is not official data so please be cautious. 6 3

4 Early papers focused on understanding the condition of the Irish banking books December 2010 No Negative Equity Yes No 61.3% 33.9% Arears (90+ days) Yes 2.4% 2.4% Source: McGuinness (2011), based on 31 Dec 2010 data. 7 Analysts then began to model potential future outcomes 1-Year Transition Matrix (unconditional) Migration model uses historical performance data to estimate a detailed transition matrix through which the probability default of any loan can be estimated (Kelly 2012) 8 4

5 And are now working to inform broader economic policy Assessing fiscal multiplier under strong sovereignbank inter-linkages 2bn fiscal stimulus results in saving in bank capital of 660 million Previous research indicated the stimulus would have a net cost of 1.3bn excluding banking capital gains No allowance for other portfolios such as SME 9 Use of Loan-Level data for Statistics It is not currently possible to get good enough fit to statistical definitions/concept Confidence is growing and the benefits of granular data are widely acknowledged Statistics Division are concentrating on working with CCR project mangers to address major hurdles 10 5

6 Moving towards a Central Credit Register The establishment is being fundamentally driven by supervisory needs Motivation to improve credit market intelligence for lenders, borrowers, supervisors Banking crisis exposed bad credit decisions Goal that Credit Register will be operational by end phasing roll-out of CCR roll-out completed by CCR Project Legislation Key aspects of the Bill include defining the:- Credit information providers credit institutions and other regulated financial service providers, local authorities, NAMA. Credit information subjects individuals, corporations, sole-traders, partnerships and others threshold for reporting loans of at least 500. Threshold for reporting loans of at least 500 Levels of access to data by stakeholders 12 6

7 Summary Policy outputs justify the investment to date Senior policymaker buy-in for flexible microdata Flexible Data + Research These early analytical papers help maintain the momentum and support the business case to further develop the project. 13 Thank You Rory McElligott, Senior Economist, Central Bank of Ireland rory.mcelligott@centralbank.ie Tel: +353 (0)