The Central Bank of Luxembourg (BCL) updated the comparison methodology between AnaCredit and the balance sheet items report (iBSI / S 1.1) as well as the interest rate data (iMIR / S 1.5). The update addresses the data quality indicator (DQI) calculation of the iBSI comparison.
The European Central Bank (ECB) and the national central banks have introduced a quarterly comparison report between AnaCredit and the balance sheet items report (iBSI / S 1.1), to evaluate consistency between the reports and verify the completeness of AnaCredit data. The comparison between AnaCredit and iBSI reports comprises fourteen items (aggregates) and one total item (Total EA loans). Additionally, for the comparison with iMIR data, three items (weighted averages) are considered. With regard to iBSI aggregates and iMIR weighted averages, it is important to note that reports for the reference months of March 2020, June 2020, and September 2020 are informative and intended to help reporting agents become compliant by the reference month of March 2021 at the latest. The level of consistency of AnaCredit reports compared to iBSI / S 1.1 and iMIR / S 1.5 reports is assessed based on a DQI calculated by the BCL.
Keywords: Europe, Luxembourg, Banking, Reporting, AnaCredit, Data Quality, Credit Risk, Interest Rate Risk, ECB, BCL
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