COREP: Data Point Model Common Reporting Operational Network DIRECTORATE GENERAL BANKING REGULATION.

COREP: Data Point Model

Common Reporting Operational Network

DIRECTORATE GENERAL BANKING REGULATION

DG BANKING REGULATION

INTRODUCTION

‘Data point model (DPM)’- It is a systematic representation of the data of a reporting framework.- It represents every single data (cell) of the reporting tables using the

values of the “Base” and “Dimensions” that characterize them. [See next slide]

- It does not add or delete any of the cells of the tables. These are simple presentations of several data points.

- It facilitates the development of any IT Taxonomy.

Initial purpose of a DPM for COREP- To have a “Base” and “Dimensions” that are consistent from a

conceptual (prudential) point of view and easily understandable from the business side.

- To use the same approach already used for CEBS:

• The number of dimensions should be the strictly necessary.• To use the same domains/dimensions as in FINREP DPM when they refer to

the same concepts.

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IDENTIFICATION OF A DATA POINT (CELL)

BASEBasic [financial/supervisory/statistical] meaning (nature) of the data from a conceptual point of view (e.g. Capital requirements: OPR)

DOMAIN: Family of different “dimensions” that have similar nature (e.g. Main category)

DIMENSION Each of the different “characteristics” that identify the information included in a data point (e.g. Types of exposure).

Every “dimension” must have two or more values (members).

It is possible to use more than one “dimension” of a “domain” to identify a data point (cell) (e.g. Business lines, Event types – losses).

It is not possible to use more than one “member” of a “dimension” to identify a data point (cell).

MEMBER Each “value” that can have a dimension (e.g. Corporate finance).

A “member” can be used in more than a dimension when it has the same meaning (e.g. the member 0% is used in several dimensions of the domain “Percentage interval”).

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A data point (cell) is represented using the values of the “Base” and “Domains/Dimensions” that characterize it.

The same data point is defined only once, regardless whether it is included or not in more than one table.

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COREP: BASE

BASE Basic meaning (nature) of every data point from a supervisory point of view

- Own funds for solvency purposes [CA]

- Capital requirements

- Credit risk and settlement/delivery risk [GS]Credit risk (Credit, counterparty credit and dilution risks and free delivery) [CA, CR] Settlement/delivery risk [CA, CR TB SETT]

- Market risk (Position, foreign exchange and commodities risks ) [CA, MKR]

- Operational risk [CA, OPR]

- Fixed overheads [CA]

- Other and transitional capital requirements [CA]

- Memorandum items [CA]

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COREP: DOMAINS

Rest of Domains

- Credit risk mitigation/(Collateral/guarantees)- Currency- Geographical area- Impaired / Unimpaired- Percentage interval- Securitization- Time interval

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Key Domains

- Main category- Amount type

For capital requirements also: - Portfolio- Approach to capital requirements- Exposure classes (for credit risk) - Risk type (for market risk)

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COREP: MAIN CATEGORY

MAIN CATEGORY indicates the specific meaning of the data.

CLASSIFICATION CRITERIA By- (detailed) nature of the data

DIMENSIONS:

- Own funds for solvency purposes [CA, GS]: Total own funds, Original own funds, Eligible Capital,…

- Contribution to own funds [GS]: Total, of which. …

- Capital requirements [CA]: Total, of which: Investment firms under article …

- Type of exposure [CR and MKR]: Total exposures, On balance sheet items, Off balance sheet items,…

- Operational risk [Business lines] [OPR and OPR Details]: Corporate finance, Trading and sales,...

- Operational risk [Event types - losses] [OPR Details]: Internal fraud, External fraud, …

- Operational risk [Threshold applied in data collection] [OPR]: Lowest, Highest

- Other and transitional capital requirements [CA]: Complements to overall floor for capital requirements,…

- Assets [OPR]: Loans and advances

- Comprehensive income [OPR]: Gross income

- Contribution to own funds [GS]: Total, of which: …

- Memorandum items [CA]: IRB provision excess (+) / shortfall (-), Solvency ratio (%), …

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COREP: AMOUNT TYPE

AMOUNT TYPE identifies the class of amount reported for the main category of the data.

Examples of amount types for:

- Own funds for solvency purposes [CA]: Outstanding

- Capital requirements [CA]: Capital requirements

- Memorandum items [CA]: Outstanding, Percentage (%)

- Credit risk [CR] : Original exposure pre conversion factors, Value adjustments and provisions, Capital requirements, PD (%), ...

- Settlement / Delivery risk [CR TB SETT] : Capital requirements, Settlement price, …

- Market risk [MKR]: Capital requirements, All position (long, short), Net positions, Previous day VaR, …

- Operational risk [OPR Details]: Capital requirements, Number of events, Total (gross) loss, …

- Contribution to own funds [GS]: Contribution

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COREP: PORFOLIO AND APPROACH

DOM: PORTFOLIO

- Prudential portfolios: All books, Banking book, Trading book

DOM: APPROACH TO CAPITAL REQUIREMENTS

- Credit risk [CR] : SA, SEC SA (Rated, Unrated), IRB (non own estimates, own estimates), SEC IRB

- Market risk [MKR]: SA (General risk, Specific risk, …), IM (GR, SR)

- Operational risk [OPR]: BIA, TSA, ASA, AMA

- IRB approaches for credit risk [CR IRB]: Exposures assigned to obligor grades or pools, …

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COREP: EXPOSURE CLASSES AND RISK TYPE

DOM: EXPOSURE CLASSES

- Standardised approach (CR SA Total): Central Governments or central banks, …

- Standardised approach (CR SA Details): General Government, Institutions, Corporates, Retail

[This dimension could be necessary if the definitions of the members are wider than in CR Total]

- IRB approach [CR IRB]: Central Governments and central banks, …

- Assessment by a nominated ECAI [CR SA]: Without credit assessment

DOM: RISK TYPE

- Market risk types (MKR): Traded Debt Instruments, Equities, Foreign Exchange, Commodities

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COREP: REST OF DOMAINS (DOM) (1/2)

DOM: COLLATERAL/GUARANTEES (CREDIT RISK MITIGATION)

- Credit Risk Mitigation (Type of credit protection) [CR]: Unfunded credit protection (guarantees/credit derivatives), Funded credit protection (financial collateral, …)- Credit Risk Mitigation [Method applied] [CR]: Substitution effect, Comprehensive method, …

DOM: CURRENCY

- Currency of the instrument [MKR TDI/FX]: ISO code (4217)- Currency positions [MKR SA FX]: Currency 1, 2, …,10

DOM: GEOGRAPHICAL AREA

- Country code [CR IRB and MKR SA EQU]: ISO code (3166-2)- Country of origin of exposures assigned to obligor grades or pools [CR IRB]: Country with most exposures, …- National market of equity instruments [CR EQU IRB]: ISO code (3166-2)

DOM: IMPAIRED/UNIMPAIRED.

- Default for prudential purposes [CR IRB]: Non - defaulted exposures- Transactions unsettled [CR TB SETT]: Up to 4 days (Factor 0%), …

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COREP: REST OF DOMAINS (DOM) (2/2)

DOM: PERCENTAGE INTERVAL

Risk weights [CR SA]: 0%, 10%, …

Risk weights [CR IRB: Specialized lending slotting criteria]: 0%, 50%, …

Risk weight (CR EQU IRB: Simple risk weight): 190%, …

Conversion factors of off-balance sheet items [CR SA]: 0%, 20%, …

Conversion factors of off-balance sheet items [CR SEC SA/IRB]: 0%, > 0% and ≤ 20%, …

DOM: SECURITIZATION [CR SEC]

Securitization type: Traditional, Synthetic

Securitisation: Securitised exposures, Securitisation exposures originated, Securitization position,…

Tranche: Senior, Mezzanine, First loss

Roll of the reporting institution: Originator, Sponsor, Investor

Originators and sponsors involvement: Entities not complying with the retention requirement

Early amortization provisions: Early amortization

Rated (credit quality steps)[at inception] [CR SA]: CQS 1, …

Rated (amount quality steps)[at reporting date] [CR SA]: CQS 1, …

Rating based approach [at inception] [CR IRB]: CQS 1 & S/T CQS 1, …

Rating based approach [at reporting date] [CR IRB]: CQS 1 & S/T CQS 1, ...

DOM: TIME INTERVAL

Remaining maturity [MKR SA TDI]: 0 ≤ 1 months, > 1 ≤ 3 months, ...

Modified duration [MKR SA TDI: Duration based approach]: Zone 1 [≤ 1 year], …

Financial year [OPR]: Year – 3, Year – 2, Last year

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EXAMPLE 1. Simplified CA Table

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ID LABEL

0010 1 TOTAL OWN FUNDS FOR SOLVENCY PURPOSES

1270 1.8 MEMORANDUM ITEMS

1.8.1 IRB provision excess (+) / shortfall (-)

2 CAPITAL REQUIREMENTS

1420 2.1.1.1.01 Central Goverments or Central Banks

MEMORANDUM ITEMS

1980 3.2.a Solvency ratio (%)

Cells BaseMain

categoryPortfolio Approach Exposure class

Amount type

0010Own funds for

solvency purposesOwn funds:

Total own funds      Outstanding

1270Memorandum

item

Memorandum items: IRB provision excess

(+)/ shortfall (-)      Outstanding

1420Capital

requirements: Credit risk

Type of exposure: Total exposures

Banking book

Credit risk: SA

SA approach: Central Government or

Central BankCapital requirement

1980Memorandum

itemMemorandum items: Solvency ratio (%)

      Percentage

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EXAMPLE 2. Simplified CR SA Total table (I)

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CR SA Total CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS

ORIGINAL EXPOSURE PRE CONVERSION

FACTORS

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION

EFFECTS ON THE EXPOSURE FULLY ADJUSTED EXPOSURE VALUE

(E*)

BREAKDOWN OF THE FULLY ADJUSTED

EXPOSURE OF OFF-BALANCE SHEET

ITEMS BY CONVERSION

FACTORS EXPOSURE VALUE

Breakdown of expousre value by

risk weights

CAPITAL REQUIREMENTS

100% 75% 

UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

GUARANTEES CREDIT

DERIVATIVES

  10 40 50 130 170

180=130-140-

260 3300,8*150-0,5*160

10TOTAL EXPOSURES

              Cell linked to CA

  BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

20On balance sheet exposures subject

to credit risk                

30Off balance sheet exposures subject

to credit risk                

  BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

70 

                0%

  BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE CLASSES:

240Central

governments or central banks

              Cell linked to CA

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EXAMPLE 2. Simplified CR SA Total table (II)

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Cells BaseMain

categoryPortfoli

oApproach

Exposure class

Amount type

CRMRisk

weight

240/330Capital

requirements: Credit risk

Type of exposure:

Total exposures

Banking book

Credif risk: SA

SA approach: Central

Govern. or Central Bank

Capital requirements

_____  

010/010Capital

requirements: Credit risk

Type of exposure:

Total exposures

Banking book

Credif risk: SA

SA approach: All

Original exposure pre conversion

factors

_____  

020/040Capital

requirements: Credit risk

Type of exposure: On balance

sheet

Banking book

Credif risk: SA

SA approach: All

Adjusted value (Ga)

Prud. Port:

Guarantee

240/170Capital

requirements: Credit risk

Type of exposure: Off balance

sheet

Banking book

Credif risk: SA

SA approach: Central

Govern. or Central Bank

Fully adjusted exposure

_____Conversion factor (CR

SA):100%

030/260Capital

requirements: Credit risk

Type of exposure: Off balance

sheet

Banking book

Credif risk: SA

SA approach: All

Exposure value _____Risk weight (CR SA):

75%

070/010Capital

requirements: Credit risk

Type of exposure:

Total exposures

Banking book

Credif risk: SA

SA approach: All

Original exposure pre conversion

factor

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DIRECTORATE GENERAL BANKING REGULATION

THANK YOU FOR YOUR ATTENTION

Address for comments:

[email protected]; [email protected]