Monday, December 13, 2010

FT: BIS data sets

There are several potential sources of variation in the numbers derived from the two datasets. First, the two reporting populations are not the same, as more banks report to the BIS consolidated banking statistics than took part in the CEBS stress testing exercise. Second, in their individual disclosures accompanying the publication of the stress test results, banks were allowed to deduct offsetting short positions (where the immediate counterparty was the same sovereign) from the gross exposures recorded on their trading book. This is generally not the case when banks report their positions for the BIS consolidated banking statistics. Third, the numbers disclosed as part of the CEBS stress testing exercise are on an immediate borrower basis. The BIS consolidated banking statistics contain data on both an immediate borrower basis and an ultimate risk basis, but the figures that are most often referred to in the context of sovereign debt exposures, including all of the public sector foreign claims numbers in this section of the BIS Quarterly Review, are on an ultimate risk basis. Fourth, the two datasets also differ in the levels of consolidation that they use in order to assign the holdings of various banking units across national jurisdictions…

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