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COREP: Data Point Model DIRECTORATE GENERAL BANKING REGULATION July, 5 2010.

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Presentation on theme: "COREP: Data Point Model DIRECTORATE GENERAL BANKING REGULATION July, 5 2010."— Presentation transcript:

1 COREP: Data Point Model DIRECTORATE GENERAL BANKING REGULATION July,

2 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. 2

3 DG BANKING REGULATION 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. 3 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.

4 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] 4

5 DG BANKING REGULATION COREP: FAMILY OF DIMENSIONS Rest of Family of Dimensions - Credit risk mitigation/(Collateral/guarantees) - Currency - Geographical area - Impaired / Unimpaired - Percentage interval - Securitization - Time interval 5 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)

6 DG BANKING REGULATION 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 (%), … 6

7 DG BANKING REGULATION 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 7

8 DG BANKING REGULATION 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, … 8

9 DG BANKING REGULATION 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 9

10 DG BANKING REGULATION 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%), … 10

11 DG BANKING REGULATION 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 11

12 DG BANKING REGULATION EXAMPLE 1. Simplified CA Table 12 IDLABEL 00101TOTAL OWN FUNDS FOR SOLVENCY PURPOSES MEMORANDUM ITEMS 1.8.1IRB provision excess (+) / shortfall (-) 2CAPITAL REQUIREMENTS Central Goverments or Central Banks MEMORANDUM ITEMS aSolvency ratio (%) CellsBase Main category PortfolioApproachExposure class Amount type 0010 Own funds for solvency purposes Own funds: Total own funds Outstanding 1270Memorandum item Memorandum items: IRB provision excess (+)/ shortfall (-) Outstanding 1420 Capital requirements: Credit risk Type of exposure: Total exposures Banking book Credit risk: SA SA approach: Central Government or Central Bank Capital requirement 1980Memorandum item Memorandum items: Solvency ratio (%) Percentage

13 DG BANKING REGULATION EXAMPLE 2. Simplified CR SA Total table (I) 13 CR SA TotalCREDIT 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) GUARANTEESCREDIT DERIVATIVES = ,8*150-0,5*160 10TOTAL EXPOSURES Cell linked to CA BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 20 On balance sheet exposures subject to credit risk 30 Off balance sheet exposures subject to credit risk BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: 70 0% BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE CLASSES: 240 Central governments or central banks Cell linked to CA

14 DG BANKING REGULATION EXAMPLE 2. Simplified CR SA Total table (II) 14 CellsBase Main category PortfolioApproach Exposure class Amount type CRM Risk weight 240/330 Capital requirements: Credit risk Type of exposure: Total exposures Banking book Credif risk: SA SA approach: Central Govern. or Central Bank Capital requirements _____ 010/010 Capital requirements: Credit risk Type of exposure: Total exposures Banking book Credif risk: SA SA approach: All Original exposure pre conversion factors _____ 020/040 Capital requirements: Credit risk Type of exposure: On balance sheet Banking book Credif risk: SA SA approach: All Adjusted value (Ga) Prud. Port: Guarantee 240/170 Capital 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% 030/260 Capital requirements: Credit risk Type of exposure: Off balance sheet Banking book Credif risk: SA SA approach: All Exposure value_____ Risk weight (CR SA): 75% 070/010 Capital requirements: Credit risk Type of exposure: Total exposures Banking book Credif risk: SA SA approach: All Original exposure pre conversion factor _____

15 DIRECTORATE GENERAL BANKING REGULATION THANK YOU FOR YOUR ATTENTION Address for comments:


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