Statistics on Insurance Corporations and Pension Funds: The Bundesbank Experience

1. Statistics on Insurance Corporations and Pension Funds: The Bundesbank Experience "Statistics - Investment in the future 2" Prague – 14./15. September 2009 Jochen Henn

2. Statistics on ICPFs in the ESCB • ICPFs at present not part of ESCB reporting population as specified in Council Regulation (EC) No 2533/98 • ICPF data often derived from: • direct reporting based on national law and/or to other national authorities • “indirect” (counterpart) information on ICPFs by using other financial statistics • NCBs are: • obliged to report data on ICPFs to the ECB in the field of quarterly financial accounts (QFA) • encouraged to report data under ESCB’s so-called “short-term approach”

3. ESCB’s Short-Term Approach on ICPFs • Working to improve data availability for ICPFs: • Maximum use of all available sources, with only limited harmonisation • Reporting scheme considerably more detailed than requirements for ICPFs under QFA • Timeliness enhanced to: • t+85 calendar days for national contributions • t+90 calendar days for euro area early estimates • Further information on: • counterpart area • counterpart sector • maturity breakdowns

4. Implementation of ESCB’s short-term approach at the Bundesbank • Trade-off between timeliness/scope and quality • Use of existing sources broadened and more data estimated • Data differences in comparison to QFA may arise: • enhanced timeliness • different valuation criteria • balancing process in financial accounts • Main statistical sources: • ICPF supervisory statistics of Federal Financial Supervisory Authority (BaFin) • Securities deposits statistics (SDS) at Bundesbank

5. German ICPF Supervisory Statistics • Basis Features: • Statistics are shared at aggregated level with Bundesbank • Most asset-side items are available on quarterly basis, liabilities are available only annually • Aggregated data are provided by BaFin to Bundesbank: • 9 months after reference year (annual data) • ca. 100 calendar days after reference month (quarterly data) • Breakdowns are available for instruments (approx. ESA 95 classifications) • To a degree, counterpart sector breakdown can be derived

6. German ICPF Supervisory Statistics • Current use and future improvements: • Statistical requirements can be met only to limited extent • Major caveats refer to timeliness of data and available breakdowns • Bundesbank is in contact with BaFin • BaFin might in future provide (preliminary) ICPF supervisory statistics to Bundesbank with enhanced timeliness • Amendments to national reporting schemes are envisaged for 2010

7. Bundesbank’s Securities Deposits Statistics • Basis Features: • Security-by-security production started with Q4/2005 • Core is combination of issue/issuer and holder information • ESCB’s Centralised Securities Database (CSDB) is single source of price and reference data • Holder information for debt securities and (mutual fund) shares is collected from custodians on quarterly basis • Data are available with timeliness of t+70 • Detailed counterpart sector, geographical and maturity breakdowns can be provided

8. Bundesbank’s Securities Deposits Statistics • Current use and future improvements: • Counterpart breakdown and geographical breakdown (domestic, non-resident) are already available • Enhanced geographical and maturity breakdowns are currently being implemented • Totals do not cover all holdings of ICPFs (not included in SDS: securities not held at MFIs or other custodians or held abroad) • However: Valuable and timely input for derivation of best estimates for breakdowns

9. Estimations under the Short-Term Approach • Anchor data (instrument totals) are extrapolated from supervisory data relating to preceding quarter • Size of revisions for estimated totals differs between series • Further breakdowns for securities positions are estimated by deriving proportions from SDS • Geographical breakdowns of insurance technical reserves are estimated based on premiums

10. Summary and Outlook • Under the short-term approach (at the Bundesbank): • Timeliness and availability of breakdowns are being enhanced • Trade-off between timeliness and quality • More timely BaFin data (as envisaged) would improve data quality considerably • Efforts in the area of financial transactions (some based on SDS) are intensified (focus so far mostly on stocks) • At some point constraints posed by existing institutional arrangements and current legal basis will be binding • But: Enhanced national contributions might still give valuable input to derivation of euro area early estimates (to be assessed)

11. Thank you very much for your attention! • Contact: • jochen.henn@bundesbank.de