corep: data point model directorate general banking regulation july, 5 2010
TRANSCRIPT
COREP: Data Point Model
DIRECTORATE GENERAL BANKING REGULATION
July, 5 2010
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)
BASE Business/Users point of view: Basic [financial/supervisory/statistical] meaning (nature) of the data from a conceptual point of view (e.g. Capital requirements: OPR).
IT point of view: Its “values “ are the “primary items”.
DIMENSION Each of the different “characteristics/breakdowns/disaggregation” that identify the information included in a data point (e.g. types of exposure, approach, currency, …).
Every “dimension” must have two or more possible 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” or part of a single dimension /domain (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”).
DOMAIN IT point of view: All possible values (members) that can be asigned to a dimension or a set of dimensions that share members (e.g. the “Percentage interval” is the domain of the dimensions “Risk weights” and “Conversion factors”, because their members are percentages.
FAMILY OF DIMENSIONS
Business/Users point of view: Group of “domains/dimensions” that have similar function in the model (e.g. main category is a family of dimensions of different domains: Own funds for solvency purposes, capital requirements , … ).
These groups simplify the data model understanding from a business/users point of view.
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A data point (cell) is represented using the values of the “Base” and “Dimensions” that characterize it.
The same data point is defined only once, regardless whether it is included or not in more than one table.
A data point (cell) is represented using the values of the “Base” and “Dimensions” that characterize it.
The same data point is defined only once, regardless whether it is included or not in more than one table.
DG BANKING REGULATION
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: FAMILY OF DIMENSIONS
Rest of Family of Dimensions
- Credit risk mitigation/(Collateral/guarantees)- Currency- Geographical area- Impaired / Unimpaired- Percentage interval- Securitization- Time interval
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Key Family of dimensions
- 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
PORTFOLIO
- Prudential portfolios: All books, Banking book, Trading book
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
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
RISK TYPE
- Market risk types (MKR): Traded Debt Instruments, Equities, Foreign Exchange, Commodities
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COREP: REST OF DOMAINS (DOM) (1/2)
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, …
CURRENCY
- Currency of the instrument [MKR TDI/FX]: ISO code (4217)- Currency positions [MKR SA FX]: Currency 1, 2, …,10
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)
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)
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%, …
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, ...
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
_____
DIRECTORATE GENERAL BANKING REGULATION
THANK YOU FOR YOUR ATTENTION
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