20100705 - COREP Data Point Model

					COREP: Data Point Model




July, 5 2010

DIRECTORATE GENERAL 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)

 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.


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        Business/Users point of view: Group of “domains/dimensions” that have similar function in the
DIMENSIONS        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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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




Key Family of dimensions               Rest of Family of Dimensions

- Main category                        - Credit risk mitigation/(Collateral/guarantees)
- Amount type                          - Currency
                                       - Geographical area
For capital requirements also:         - Impaired / Unimpaired
- Portfolio                            - Percentage interval
- Approach to capital requirements     - Securitization
- Exposure classes (for credit risk)   - Time interval
- Risk type (for market risk)




                                                               DG BANKING REGULATION   5
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, …




                                                                        DG BANKING REGULATION   8
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

                                                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 (%)



                                                Main                                                                             Amount
   Cells           Base                                        Portfolio      Approach                 Exposure class
                                              category                                                                            type

              Own funds for              Own funds:
   0010                                                                                                                        Outstanding
            solvency purposes          Total own funds

                                     Memorandum items:
   1270     Memorandum item        IRB provision excess (+)/                                                                   Outstanding
                                          shortfall (-)

                                                                                                        SA approach:
           Capital requirements:      Type of exposure:         Banking       Credit risk:
   1420                                                                                             Central Government or   Capital requirement
                Credit risk            Total exposures           book            SA
                                                                                                        Central Bank

                                     Memorandum items:
   1980     Memorandum item                                                                                                     Percentage
                                      Solvency ratio (%)




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EXAMPLE 2. Simplified CR SA Total table (I)

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



                                                                                                        BREAKDOWN OF THE
                                                                                                          FULLY ADJUSTED
                                                                                                         EXPOSURE OF OFF-                          Breakdown of
                               ORIGINAL EXPOSURE   CREDIT RISK MITIGATION (CRM)
                                                                                                          BALANCE SHEET                        expousre value by risk
                                PRE CONVERSION TECHNIQUES WITH SUBSTITUTION EFFECTS
                                                                                                             ITEMS BY                                 weights
                                    FACTORS             ON THE EXPOSURE
                                                                                                            CONVERSION
                                                                                       FULLY ADJUSTED        FACTORS                                                       CAPITAL
                                                                                       EXPOSURE VALUE                       EXPOSURE VALUE
                                                                                                                                                                        REQUIREMENTS
                                                                                             (E*)


                                                    UNFUNDED CREDIT PROTECTION:
                                                       ADJUSTED VALUES (Ga)                                   100%                                      75%

                                                   GUARANTEES     CREDIT DERIVATIVES

                                                                                                                              180=130-140-
                                      10                40                50                130                170                                      260                   330
                                                                                                                             0,8*150-0,5*160


   10   TOTAL EXPOSURES                                                                                                                                                 Cell linked to CA

        BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:


          On balance sheet
   20   exposures subject to
             credit risk




          Off balance sheet
   30   exposures subject to
              credit risk


        BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:


   70
                0%

        BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE CLASSES:


        Central governments
  240                                                                                                                                                                   Cell linked to CA
          or central banks




                                                                                                                                DG BANKING REGULATION                                  13
EXAMPLE 2. Simplified CR SA Total table (II)




                                     Main                                       Exposure            Amount                              Risk
Cells            Base                               Portfolio   Approach                                              CRM
                                   category                                       class              type                              weight

                                                                                SA approach:
          Capital requirements: Type of exposure:   Banking     Credif risk:                          Capital
240/330                                                                        Central Govern.                        _____
               Credit risk       Total exposures     book          SA                              requirements
                                                                               or Central Bank

                                                                                                 Original exposure
          Capital requirements: Type of exposure:   Banking     Credif risk:   SA approach:
010/010                                                                                           pre conversion      _____
               Credit risk       Total exposures     book          SA               All
                                                                                                      factors

          Capital requirements: Type of exposure:   Banking     Credif risk:   SA approach:                     Prud. Port:
020/040                                                                                     Adjusted value (Ga)
               Credit risk      On balance sheet     book          SA               All                         Guarantee

                                                                                SA approach:
          Capital requirements: Type of exposure:   Banking     Credif risk:                      Fully adjusted              Conversion factor (CR SA):
240/170                                                                        Central Govern.                        _____
               Credit risk      Off balance sheet    book          SA                               exposure                           100%
                                                                               or Central Bank

          Capital requirements: Type of exposure:   Banking     Credif risk:   SA approach:                                      Risk weight (CR SA):
030/260                                                                                           Exposure value      _____
               Credit risk      Off balance sheet    book          SA               All                                                  75%

                                                                                                 Original exposure
          Capital requirements: Type of exposure:   Banking     Credif risk:   SA approach:
070/010                                                                                           pre conversion      _____
               Credit risk       Total exposures     book          SA               All
                                                                                                       factor




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THANK YOU FOR YOUR ATTENTION



Address for comments:

carlosj.rodriguez@bde.es; luis.gutierrezderozas@bde.es




DIRECTORATE GENERAL BANKING REGULATION

				
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