Comparing MFI Balance Sheet Data with Supervisory Data: Are Statistical Revaluations Data Relevant To Gauge Information on Banks' Gain/Losses?
Antonio Colangelo1, Marco Burroni2
1Monetary and Financial Statistics Division, European Central Bank, Frankfurt, Germany; 2Micro-Prudential Supervision, Bank of Italy, Rome, Italy

Valuation losses in the trading books constituted the first wave of losses suffered by euro area banks in the current crisis. The important role played by trading book holdings for the profit and loss accounts of many banks has intensified the need for regularly monitoring and possibly also forecasting gain/losses on banks' trading books for financial stability analyses purposes. An important impediment to this work is the limited availability of data from public sources which consist mainly of quarterly or annual observations from banks' published financial reports. This paper focuses on the revaluations data collected by the European System of Central Banks in the context of the statistical balance sheet reporting of the monetary financial institutions (MFI) sector (based on residency and on a solo basis), and discusses its usefulness in providing information for the analysis of changes in trading and banking book valuations at the aggregate banking sector level. Furthermore, the empirical comparison between Italian MFI balance sheet statistics with supervisory financial reporting (balance sheet and income statement) collected by the Bank of Italy for Italian credit institutions on a solo basis allows a deeper focus on gains and losses recorded in the trading book.

Biography: Economist-Statistician in the Monetary and Financial Statistics Division of the ECB. Joined the ECB in 2006 after having worked as an assistant professor in statistics at university. Currently working in various aspects of MFI balance sheet statistics, with special focus on linkages with other statistical datasets (euro area accounts, financial stability indicators)