The latest financial crisis brought to light the need for more granular supervisory information, in particular on holdings of individual securities. To help to close the information gap on securities holdings, both within the euro area and between the euro area and the rest of the world, the European System of Central Banks (ESCB) began collecting data on a security-by-security basis in 2014 based on Regulation (EU) No 1011/2012 of the ECB of 17 October 2012 concerning statistics on holdings of securities (SHS) (ECB/2012/24).
The SHS provide information on securities held by selected categories of euro area investors, broken down by instrument type (debt securities, listed shares and investment fund shares or units), issuer country and other factors. The SHS is based on two data modules, SHS Sector and SHS Group, which differ with respect to the granularity of the information on the holders. The SHS Sector module provides aggregate information on the holdings of institutional sectors resident in individual countries, while the SHS Group module contains information on the individual holdings of the 25 largest banking groups with head offices in the euro area (i.e. holder-by-holder information).
The SHS Sector module encompasses two main distinct sets of data: (i) holdings of securities by investors resident in the euro area, and (ii) non-resident investors’ holdings of euro area securities that are deposited with a euro area custodian. In addition, most non-euro area EU countries (namely Bulgaria, the Czech Republic, Denmark, Hungary, Poland and Romania) also collect SHS Sector data.
German monetary financial institutions (MFIs) (with the exception of money market funds), domestic investment companies and "other" domestic credit institutions (which conduct safe custody business) are obliged to report their SHS to the Deutsche Bundesbank, which provides comprehensive information on the reporting requirements and procedure on their website.
Regulation (EU) 2016/1384 of the ECB of 2 August 2016 amending the SHS regulation (ECB/2016/22) extends the list of SHS-reporting banking groups (SHSG) to cover all significant banking groups under direct ECB supervision and revises the requirements from reference period end-September 2018, e.g., to cover additional attributes, in particular, accounting and risk-related information. The SHSG Guidance Notes further clarify and illustrate these requirements.
Overall, the aim of the extended SHSG reporting is to collect security-by-security information at legal entity level that can be used to reconcile the relevant (aggregated) consolidated financial reporting framework (FINREP) and common reporting framework (COREP) data. Accordingly, for each reporting banking group, harmonised accounting and risk-calculation principles are to be applied, preferably in accordance with the standards and principles of the corresponding group.
The revised SHS reporting framework, alongside the AnaCredit framework, is therefore a further step towards extensive granular reporting and is thus included in release 1.0 of the Bank’s Integrated Reporting Dictionary (BIRD) of 28 April 2017.