EBA Data Point Model

© 2013 | EBA | European Banking Authority

EBA Data Point Model

18th EuroFiling Workshop10 December 2013| Luxembourg

Carlos Martins| EBA

22

Outline

> EBA mandate

> DPM statistics

> DPM database

> DPM products

33

EBA regulatory tasks

44

ITS on supervisory reporting – scope

EBA to deliver ITS in the following areas of the Capital Requirement Regulation (CRR):

>Art 99 Solvency reporting, Financial reporting>Art 100 Asset encumbrance>Art 101 Mortgage exposures reporting>Art 394 Large exposures reporting>Art 415 Liquidity ratios reporting>Art 430 Leverage ratio reporting

Integrated approach to ITS development

>Several ITS packaged as one EU Regulation which is directly applicable to all credit institutions and investment firms

>Use of common structure/conventions/concepts/definitions

55

ITS on supervisory reporting - benefits

Directly applicable

>No implementation, or interpretation of the Regulation on national level ensures common definitions and instructions

Technical translation of reporting requirements

> Data Point Model and XBRL taxonomy

> Common validation rules

Truly harmonised supervisory data

>Helps supervisors to assess asset quality, risk concentrations, liquidity positions, conduct peer analysis, analyse risk parameters across institutions

>Harmonised definitions, especially on forbearance, non-performing loans and asset encumbrance significantly enhance identification of potential systemic risks

66

Reporting framework development

EB

A m

andate

I T

Busine

ss

2011 2012 2013 2014

77

ITS Templates, Tables, Data Points

Table Group #Templates #Tables #DataPoints

Credit Risk 13 20 16.847Market Risk 8 8 6.567Liquidity Coverage 4 20 3.534Stable Funding 2 8 3.004Capital Adequacy 6 6 569Operational Risk 2 4 393Leverage Ratio 6 9 257Large Exposures 6 6 125Leverage Ratio (Consolidated Only) 1 3 49Group Solvency 1 1 48 49 85 31.393FINREP part 1 35 39 2.864FINREP part 1 (GAAP only) 6 6 229FINREP part 2 10 11 408FINREP part 3 4 4 151FINREP part 4 14 14 437 69 74 4.089

88

COREP Templates vs Tables

99

COREP Templates and Data Points

1010

COREP tables with open Y axis (repeatable rows)

Group Template Dimension

Credit Risk

C 08.02 Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - Breakdown of exposures assigned to obligor grades or pools by obligor grades Obligor grade

C 10.02 Credit risk: Equity - IRB approaches to capital requirements - Breakdown of total exposures under the PD/LGD Approach by obligor grades Obligor grade

C 14.00 Detailed information on securitisations Securitisation (row number)

Group Solvency C 06.00 Group Solvency Legal entity

Large Exposures

C 27.00 Identification of the counterparty Individual clients

C 28.00 Exposures in the non-trading and trading book Individual clients

C 29.00 Detail of the exposures to individual clients within groups of connected clients

Group of connected clients

Individual clients

C 30.00 Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities Individual clients

C 31.00Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities: detail of the exposures to individual clients within groups of connected clients

Group of connected clients

Individual clients

1111

COREP tables with open Z axis (repeatable sheets)Group Template #Cells Table ZAxis

Credit Risk

C 09.01124 Geographical breakdown of exposures by residence of the obligor (SA exposures) Country

57 Geographical breakdown of exposures by residence of the obligor (SA exposures) - Exposures in default Country

C 09.02 218 Geographical breakdown of exposures by residence of the obligor (IRB exposures) Country

C 09.03 1 Breakdown of total own funds requirements for credit risk of relevant credit exposures by country Country

C 15.00 10 Exposures and losses from lending collateralised immovable property Country

Liquidity Coverage

C 51.0085 Liquidity Coverage. Liquid assets (I). Significant currencies Currency

176 Liquidity Coverage. Liquid assets (II). Significant currencies Currency

C 52.00

90 Liquidity Coverage. Outflows (I). Significant currencies Currency

359 Liquidity Coverage. Outflows (II). Significant currencies Currency

486 Liquidity Coverage. Outflows (III). Significant currencies Currency

35 Liquidity Coverage. Outflows (IV). Significant currencies Currency

C 53.00

41 Liquidity Coverage. Inflows (I). Significant currencies Currency

237 Liquidity Coverage. Inflows (II). Significant currencies Currency

234 Liquidity Coverage. Inflows (III). Significant currencies Currency

C 54.00 24 Liquidity Coverage. Collateral swaps. Significant currencies Currency

Stable Funding

C 60.001178 Stable funding. Items requiring stable funding (I). Significant currencies Currency

211 Stable funding. Items requiring stable funding (II). Significant currencies Currency

C 61.003 Stable funding. Items providing stable funding (I). Significant currencies Currency

110 Stable funding. Items providing stable funding (II). Significant currencies Currency

1212

COREP tables with open Z axis (repeatable sheets)

Group #Templates #Cells ZAxis

Credit Risk 5 410 Country

Liquidity Coverage 4 1767 Currency

Stable Funding 2 1502 Currency

1313

COREP use of dimensions (per table group)

Group #DimensionsCapital Adequacy 24Credit Risk 38General Information - COREP 2Group Solvency 6Large Exposures 9Leverage Ratio 20Leverage Ratio (Consolidated Only) 11Liquidity Coverage 42Market Risk 16Operational Risk 9Stable Funding 27

COREP 88

1414

COREP most/less used dimensions

Dimension #DataPointsBase 31.339Main category 31.282Approach for prudential purposes 23.538Prudential portfolio 23.521Type of risk 21.274Exposure class 16.599Counterparty sector 12.440Risk weights 8.051

... (76 dimensions) ...

Type of assets with collateral received 2Type of investment firm 2Use of allocation mechanism 1Location of the activities 1

TO

PB

OT

TO

M

© 2013 | EBA | European Banking Authority

1616

DPM Database high level structure

TemplatesTemplates

FrameworkFramework

AxisAxisOrdinateOrdinate

TableTable

Table GroupTable Group

CellCell

Table VersionTable Version

DictionaryDictionary

DomainDomain

HierarchyHierarchyNodeNode

MemberMemberDimensionDimension

MetricMetric

ValidationsValidations

Validation RuleValidation Rule

ExpressionExpression

Pre-ConditionPre-Condition

VariableVariable

ScopeScope

Dimensional Dimensional ModellingModelling

Ordinate CategorisationOrdinate Categorisation

Data PointsData Points

Data PointData Point

ContextContext

Data Point VersionData Point Version

Data Point CategorisationData Point Categorisation

ReferencesReferences

Legal DocumentLegal Document

TextTextArticle/ParagraphArticle/Paragraph

Reference CategorisationReference Categorisation

TranslationsTranslations

Dictionary ConceptDictionary Concept

LanguageLanguage

1717

Tables structure

1818

Dictionary - Dimensional concepts

1919

Dimensional categorisation of tables rows/columns/sheets

2020

Data Points

2121

Validation rules

2222

Taxonomy

2323

DPM products (business user views)

DPM Dictionary

DPM Member hierarchy

DPM Analysis matrix

– Useful for reviewing data point definition for a related group of data

Data point definition (ITS Annex XIV)

– List of all data points in the ITS package using exclusively DPM Dictionary concepts

Validation formulae (ITS Annex XV)

– List of formulae expressed as relations between template cells

• directly defined by business experts

• derived from DPM hierarchies of members

DPM table layout and data point categorisation

– Combination of data templates (ITS Annexes I, III, IV, VI, VIII, X, XII) and data point definition (Annex XIV)

– Useful for exploring data point definition and user-friendly presentation of DPM

2424

DPM document - Table Layout and Data Point Categorisation

2525

DPM document - Validation Formulas

Annex XV - Validation formulae

Tables used in formula Formula applies to ID T1 T2 T3 Rows Columns Sheets Formula

v0330_m C 08.01.a C 08.01.b (010;070-170) (All) {C 08.01.b, c120} <= {C 08.01.a, c110}

v0331_m C 08.01.a (020;090;110;260;280;290) (All) {r120} <= {r110}

v0332_m C 08.01.a (010;070) (All) {c030} <= {c020}

v0333_m C 08.01.a C 08.01.b (010;070;090-170) (All) {C 08.01.b, c100} <= {C 08.01.a, c090}

v0334_m C 08.01.a C 08.01.b (010;070-180) (All) {C 08.01.b, c130} <= {C 08.01.a, c110}

v0335_m C 08.01.a (010;070) (All) {c140} <= {c110}

v0336_m C 08.01.a (010;070) (All) {c270} <= {c260}

v0337_m C 08.01.a(020;040;050;060;070;080;090;110;150-220;260;280;290) (All) {r010} = {r020} + {r030} + {r040} + {r050} + {r060}

v0338_m C 08.01.a (020;090;110;260;280;290) (All) {r010} = {r070} + {r080} + {r160} + {r170} + {r180}

v0339_m C 08.01.a (020;090;110;260;280;290) (All) {r080} = {r090} + {r100} + {r110} + {r130} + {r140} + {r150} + {r160}

v0340_m C 08.01.a C 08.02 (020-220;260-290) (All) {C 08.01.a, r070} = sum({C 08.02, (rNNN)})

v0341_m C 08.01.a (All) (All) {c260} <= {c255}

v1662_m C 08.01.a (All) (All) {c090} = {c020} + {c070} + {c080}

v1663_m C 08.01.a (010-070;170-180) (All) {c070} = {c040} + {c050} + {c060}

v1664_m C 08.01.a (040;050;060) (All) {c255} = {c260}

v1894_h C 08.01.a C 08.01.d {C 08.01.a, r030,c090, s007} >= +{C 08.01.d, r010,c100, s019}




2626

DPM document - Data Point Definition - FINREP

F 01.01 - Balance Sheet Statement [Statement of Financial Position]: Assets

r010 c010 Metric Carrying amount [mi]

Base Assets

Main categoryCash on hand, Loans and advances. On demand [call] and short notice [current account]

Accounting portfolio Cash and cash balances at central banks


Base Assets

Main category Cash on hand


Base Assets

Main category Loans and advances. On demand [call] and short notice [current account]

Counterparty sector Central banks


Base Assets

Main category Loans and advances. On demand [call] and short notice [current account]

Counterparty sector Counterparties other than central banks


Base Assets

Main category Derivatives, Debt securities, Loans and advances, Equity instruments

Accounting portfolio Financial assets held for trading

2727

Thank you for your attention

Carlos Martins

IT Information Manager

+44 (0) 20 7382 1766

[email protected]

Documents

EBA Data Point Model