The European Banking Authority: an overview

Report
17th Eurofiling Workshop
New COREP & FINREP
Carlos Martins
Information Technologies, EBA
19 June 2013 | London
© 2012 | EBA | European Banking Authority
COREP & FINREP development
Legal and reporting frameworks
ITS Development
CRD IV
CRR
Reporting
Templates
Reporting
Instructions
Data Point
Model
XBRL
Taxonomies
2
COREP & FINREP development
Templates
design
1
Business representation
of reporting requirements
Data
modeling
2
Dimensional
categorisation of
template components
Metadata
loading
3
Taxonomy
generation
DPM data stored in a
formal metamodel
4
Technical representation
of data exchange
content and format
Definition of hierarchies,
validations, and legal
references
Business experts
I T experts
3
COREP & FINREP development
DPM process
Templates
design
1
Data
modeling
2
Metadata
loading
3
Taxonomy
generation
4
Quality
checks
Business experts
I T experts
4
DPM database – overview
Templates
Dictionary
Framework
Table Group
Table
Dimensional
Modelling
Dimension
Member
Table Version
Axis
Domain
Ordinate
Categorisation
Ordinate
Hierarchy
Node
Metric
Cell
Data Points
Validations
Validation Rule
Pre-Condition
Expression
Data Point
Context
Data Point Version
References
Legal Document
Data Point
Categorisation
Article/Paragraph
Text
Variable
Scope
Reference
Categorisation
5
DPM database – base model
6
DPM database – validations model
7
DPM quality checks
 Domains
1
Dictionary of concepts
 Dimensions
 Members
 Hierarchies
2
Relations of dictionary
items
3
Table modelling
 Referential integrity
 Repeated definitions
 Obsolete items
 Repeated or wrong allocation of Members to Dimensions or Hierarchies
 Structure of hierarchies (levels, aggregations)
 Tables with repeated Dimensions
 Tables with repeated Data Points
 Cells without Metric and/or without Dimensions
4
Cells definition
 Cells with repeated Member
 Cells with equal definition (same Data Point)
5
Business validations
 Generation of explicit table-based formulas from Member Hierarchies (where
implicit validations are defined)
8
DPM statistics – Tables and Cells
TABLES
DATA POINTS
FINREP
COREP
FINREP
COREP
Tables
Data Points
FINREP
105
6,682
COREP
83
28,486
9
DPM statistics – Tables and Cells
Framework
Table Group
FINREP
FINREP part 1
FINREP part 2
FINREP part 3
FINREP part 4
FINREP part 5
Asset encumbrance
Forbearance
Non performing
COREP
Capital Adequacy
Credit Risk
Market Risk
Operational Risk
Group Solvency
Large Exposures
Leverage Ratio
Liquidity Coverage Ratio
Net Stable Funding Ratio
TOTAL
Count Of
Tables
Count Of Cells
Total
Data
Shaded
105
8.641
6.989
1.652
19%
4
16
31
2
24
22
3
3
218
1.434
2.890
393
443
1.325
684
1.254
218
1.082
2.103
276
406
1.237
677
990
0
352
787
117
37
88
7
264
0%
83
67.482
28.536
38.946
58%
6
18
8
4
1
2
12
26
6
771
40.691
20.182
613
53
83
533
2.346
2.210
525
17.627
6.286
393
49
70
305
1.522
1.759
246
23.064
13.896
220
4
13
228
824
32%
451
20%
188
76.123
35.525
40.598
53%
25%
27%
30%
8%
7%
1%
21%
57%
69%
36%
8%
16%
43%
35%
10
DPM statistics – Table Groups size
FINREP
Non
performing
COREP
FINREP part 1
FINREP part 2
Net Stable
Liquidity
Funding Ratio
Large Ratio
Coverage
Operational
Leverage
Ratio
Group
Solvency
Exposures
Risk
Capital
Adequacy
Forbearance
Market Risk
Asset
encumbrance
FINREP part 3
Credit Risk
FINREP part 5 FINREP part 4
11
DPM statistics – Domains, Dimensions, and Members
Domains
4
22
Dimensions
14
26
29
Members
45
91
460
936
12
DPM statistics – Domains, Dimensions, and Members
Framework
Table Group
FINREP
FINREP part 1
FINREP part 2
FINREP part 3
FINREP part 4
FINREP part 5
Asset encumbrance
Forbearance
Non performing
COREP
Capital Adequacy
Credit Risk
Market Risk
Operational Risk
Group Solvency
Large Exposures
Leverage Ratio
Liquidity Coverage Ratio
Net Stable Funding Ratio
TOTAL
Count Of
Tables
Data
Cells
Count Of Distinct
Dimensions
Domains
Members
105
6.989
26
55
551
4
16
31
2
24
22
3
3
218
1.082
2.103
276
406
1.237
677
990
6
10
15
6
12
14
7
8
7
14
25
8
22
24
11
11
165
104
260
62
211
117
38
46
83
28.536
33
74
1.027
6
18
8
4
1
2
12
26
6
525
17.627
6.286
393
49
70
305
1.522
1.759
16
20
14
9
5
7
16
15
14
24
37
16
9
6
8
23
30
22
251
279
246
51
46
64
158
130
188
35.525
40
100
1.487
76
13
1
C 08.01.a
28
28
19
17
17
19
12
17
C 08.01.b
3
3
3
17
17
14
12
17
C 08.02
31
31
31
17
17
1
1
17
C 09.01.a
7
7
7
20
19
20
C 09.01.b
3
3
3
19
C 09.02
15
15
15
15
C 09.03
1
1
C 10.01
9
9
8
8
8
8
3
C 10.02
9
9
6
6
6
6
3
C 11.00
4
4
C 12.00
39
39
29
39
29
12
8
22
2
13
11
1
4
9
5
5
C 13.00
46
46
54
46
42
19
8
40
2
31
19
31
4
9
12
12
C 14.00
47
34
33
4
C 15.00
5
5
5
Count of Dimensions 18
18
16
2
4
2
12
7
11
7
11
12
2
4
11
19
15
16
8
18
15
5
13
13
15
2
1
12
1
12
1
14
1
1
14
1
1
12
1
12
1
1
10
3
2
2
1
10
5
3
4
1
0
1
4
4
1
1
1
11
1
8
10
3
6
15
2
5
3
4
1
17
16
12
5
10
1
3
12
1
2
4
1
1
SEC
25
RPR
2
MCU
17
2
INV
2
4
RES
25
2
PIN
25
16
OGR
C 07.00.d
8
MCG
25
1
LTV
2
1
PAU
17
CPS
2
CEG
25
2
IMS
25
15
1
CPY
C 07.00.c
1
DST
1
4
TCP
16
SST
17
CQS
28
2
CQI
1
2
TRT
1
15
CFO
C 07.00.b
8
TSE
28
EXT
16
UES
17
CPZ
28
ECB
TRI
RWS
EXC
24
RSP
APR
CRM
MCY
24
PRP
BAS
C 07.00.a
CREDIT RISK TABLES
ATY
Count Of Members
MRW
DIMENSIONS
2
2
9
3
8
3
Count of
Tables
DPM statistics – Tables.Dimensions Matrix
8
2
5
3
5
2
2
2
2
7
1
1
3
4
5
1
2
4
2
1
12
8
2
2
1
2
1
1
1
1
14
DPM statistics – Data Points, and Contexts
FINREP
COREP
Data Cells
6,987
Data Points
6,682
95.63%
28,486
99.84%
Distinct Dimensional
Contexts
5,208
77.94%
18,889
66.31%
4,268
81.95%
15,063
79.74%
≥2
940
18.05%
3,826
20.26%
≥3
276
5.30%
1,620
8.58%
≥5
79
1.52%
934
4.94%
≥ 10
13
0.25%
73
0.39%
Data Points with
same Context
(and different
Metrics)
1
28,533
15
1
5
9
13
17
21
25
29
33
37
41
45
49
53
57
61
65
69
73
77
81
85
89
93
97
101
105
109
113
117
121
125
129
133
137
141
145
149
153
157
161
165
169
173
177
181
185
189
193
197
201
205
209
213
217
221
225
229
233
237
241
DPM statistics – Hypercubes
FINREP “Hypercubes”
500
10
450
9
400
8
350
7
300
6
250
5
200
4
150
3
100
2
50
1
0
0
CountOfDataPoints
CountOfDimensions
16
1
10
19
28
37
46
55
64
73
82
91
100
109
118
127
136
145
154
163
172
181
190
199
208
217
226
235
244
253
262
271
280
289
298
307
316
325
334
343
352
361
370
379
388
397
406
415
424
433
442
451
460
469
478
487
496
505
514
523
532
DPM statistics – Hypercubes
COREP “Hypercubes”
2000
16
1800
14
1600
12
1400
1200
10
1000
8
800
6
600
4
400
200
2
0
0
CountOfDataPoints
CountOfDimensions
17
DPM statistics – Cardinality of Contexts
Number of Dimensions used to define Data Points
9000
8000
Count Of Data Points
7000
6000
5000
4000
3000
2000
1000
0
2
3
4
5
6
7
8
FINREP
9
10
11
12
13
14
15
COREP
18
DPM statistics – Tables.Dimensions Matrix
DIMENSIONS
MCY
BAS
APL
ATY
CPS
MCG
MCE
MCS
TRI
ENC
CNO
TMA
ALO
RPR
CPC
TYA
MCT
PLT
NAC
IMS
PFS
REC
MCP
CPE
FBS
REF
TPD
CCG
FVH
PUR
CRA
ECC
RES
SOL
EUT
LQA
SCC
EXC
HFI
LAC
SST
SUB
TOC
CBC
MCD
MCI
RCP
DPS
LQC
SCO
TYR
MCU
CSC
LEC
STC
1103
951
587
560
58
19
77
28
18
19
19
14
19
31
44
6
1
3
24
21
42
77
2
2
4
6
2
2
2
5
1
14
7
1
1
3
24
2
37
18
19
19
28
2
2
2
5
1
31
5
5
1
3
1
1
1
2
2
4
6
2
2
2
5
1
14
7
6
1
3
14
14
14
22
14
14
14
11
14
14
30
204
32
16
10
38
38
25
32
34
24
3
1
13
7
13
13
2
2
1
1
14
5
1
36
16
4
3
6
1
10
8
6
1
9
9
7
11
12
2
2
16
10
9
7
4
25
2
2
34
3
2
1
1
7
13
13
2
2
1
1
1
1
14
1
29
36
21
4
1
6
1
10
8
6
1
1
1
7
11
12
2
12
7
53
38
25
43
26
10
1
18
14
14
14
10
3
6
8
8
3
1
9
7
8
2
2
2
1
1
1
1
1
4
3
1
1
1
4
2
6
2
2
18
18
3
3
3
6
1
1
4
33
2
3
2
1
20
2
1
7
13
13
10
2
1
16
1
1
36
3
21
17
7
1
1
1
1
7
11
12
1
26
2
7
18
2
14
4
28
47
25
68
63
3
1
1
2
15
27
1
6
6
17
3
2
1
12
1
12
2
10
4
12
12
1
6
3
17
3
2
1
13
1
12
2
1
1
1
1
1
2
8
1
18
7
2
10
7
3
1
3
3
3
5
17
3
2
1
1
1
2
1
2
1
11
10
7
13
1
4
1
6
15
3
1
3
6
3
7
3
5
1
F 38.00.c
18
19
9
19
36
36
36
57
57
57
9
18
19
9
19
36
36
36
57
57
57
34
34
34
34
34
34
12
36
1
14
57
1
26
26
26
44
44
44
2
2
36
2
2
57
3
2
4
18
9
5
2
3
6
18
19
9
9
3
9
2
18
2
17
19
9
9
9
9
4
19
5
3
17
17
3
13
13
12
2
4
6
2
4
1
1
1
1
2
2
4
2
2
2
2
5
2
2
1
1
2
9
2
2
2
9
9
9
16
37
37
36
18
2
2
2
8
18
3
1
1
1
2
3
1
2
33
10
31
7
5
12
6
31
25
3
1
20
2
2
2
2
3
3
3
11
17
1
4
1
1
21
3
17
6
10
6
12
1
7
11
8
2
7
4
1
1
4
3
2
1
1
10
6
10
1
1
1
4
1
2
10
2
3
2
10
10
9
1
9
9
9
4
1
9
2
2
9
8
1
6
1
2
2
1
1
6
6
2
2
2
6
3
6
3
3
3
6
6
4
1
4
1
1
1
4
4
4
4
1
3
1
1
1
1
1
1
3
2
3
1
3
1
1
1
3
2
1
1
F 37.00.c
9
18
3
23
37
1
F 38.00.b
18
6
52
3
37
2
F 38.00.a
F 36.02.c
6
4
14
1
39
11
F 37.00.b
4
5
39
17
F 37.00.a
F 36.01.c
F 36.02.b
F 36.02.a
F 35.02
F 36.01.b
F 36.01.a
F 35.01.c
6
F 35.01.d
F 35.01.b
F 35.01.a
12
8
3
9
45
35
F 34.00.b
12
2
2
3
2
1
F 34.00.a
4
1
2
12
2
1
F 33.00.b
10
2
3
93
40
F 33.00.a
8
1
26
17
112
F 32.04.b
5
51
114
73
F 32.04.a
F 32.03.b
F 32.03.a
F 32.01
F 32.02.b
51
1
5
16
F 32.02.a
F 31.02
F 31.01
F 30.00
4
1
1
2
F 29.03
F 29.02
F 29.01.b
F 28.03
F 29.01.a
F 28.02
57
43
3
2
49
5
F 28.01
F 27.03
F 27.02
F 27.01
F 26.00
F 25.02
F 25.01
F 24.00
F 23.03
F 23.02
F 23.01
F 21.04
F 21.03
F 21.02
F 21.01
F 20.00
F 19.00
F 18.00
F 17.06
F 17.04
19
2
6
1
F 17.05.b
F 17.03
19
6
2
2
1
F 17.05.a
F 17.02
F 17.01.b
F 16.00
F 17.01.a
F 15.02
F 15.01
F 14.06
F 14.04
F 14.05.b
F 14.05.a
F 14.03
13
2
2
52
F 14.02
F 14.01
F 13.00
F 11.02
F 12.00.b
26
4
53
1
53
F 12.00.a
F 10.02
F 11.01.b
F 11.01.a
F 10.01
53
6
32
2
161
F 09.00
F 08.02
F 08.01
F 07.00
F 06.02
F 06.01
F 05.02
F 05.01.c
F 05.01.b
F 04.00
F 03.09
F 05.01.a
F 03.08
F 03.07
F 03.06
F 03.05
F 03.04
42
1
26
2
19
F 03.03
41
1
45
1
18
F 03.02
F 03.01
F 02.00
F 01.03
F 01.01
1833
F 01.02
FINREP TABLES
Count Of
Members
1
1
1
19
DPM statistics – Tables.Dimensions Matrix
DIMENSIONS
C 05.01
C 05.02
C 06.00
C 07.00.a
C 07.00.b
C 07.00.d
C 08.01.a
C 08.01.b
C 08.02
C 09.01.a
C 09.01.b
C 09.02
C 10.01
C 10.02
C 12.00
C 13.00
C 14.00
C 15.00
C 16.00.a
C 16.00.b
C 17.00.a
C 17.00.b
C 18.00
C 19.00
C 20.00
C 21.00
C 22.00
C 23.00
C 24.00
C 25.00
C 26.00
C 27.00
C 40.00
C 41.00
C 42.00
C 43.01
C 43.02
C 43.03
C 45.01
C 45.02
C 46.01
C 46.02
C 46.03
C 51.01.a
C 51.01.b
C 51.02.a
C 51.02.b
C 51.03.a
C 51.03.b
C 51.04.a
C 51.04.b
C 52.01.a
C 52.01.b
C 52.02.a
C 52.02.b
C 52.02.c
C 52.02.d
C 52.03.a
C 52.03.b
C 52.04.a
C 52.04.b
C 53.01.a
C 53.01.b
C 53.02.a
C 53.02.b
C 53.02.c
C 53.02.d
C 53.03.a
C 53.03.b
C 60.01.a
C 60.01.b
C 60.02.a
C 60.02.b
C 61.00.a
C 61.00.b
75
12
100
54
15
43
28
28
2
2
19
3
31
7
3
15
8
6
29
54
33
5
8
10
40
10
45
21
12
13
41
14
11
10
3
56
24
11
4
7
25
25
17
2
14
2
1
3
3
5
5
22
22
14
14
12
12
32
32
32
32
7
7
17
17
9
9
32
32
32
32
7
7
51
51
58
58
24
24
98
75
12
103
6
6
48
24
1
25
25
28
3
31
7
3
15
1
9
9
4
39
46
47
5
8
10
40
2
7
61
45
7
9
7
16
15
3
66
11
3
8
2
2
2
6
19
2
14
2
1
1
1
1
1
2
2
1
1
1
1
6
6
6
6
2
2
17
17
1
1
6
6
6
6
7
7
51
51
58
58
5
5
1128
98
75
12
103
6
1
43
24
1
25
25
28
3
31
7
3
15
1
9
9
4
39
46
34
5
8
10
40
2
7
61
45
7
9
7
16
15
3
56
24
3
8
2
2
2
6
19
2
14
2
1
1
1
1
1
2
2
1
1
1
1
6
6
6
6
2
2
1
1
1
1
6
6
6
6
1
1
10
10
5
5
5
5
648
4
59
3
17
17
17
17
17
17
17
20
19
15
39
46
4
12
1
45
60
41
13
41
14
11
4
25
25
5
3
626
2
65
5
28
1
25
25
19
14
1
20
19
15
12
1
45
61
45
13
41
14
11
15
10
12
12
12
7
17
17
17
45
21
12
13
41
14
11
15
6
1
8
6
1
5
3
5
8
2
2
4
11
7
2
2
10
1
25
25
C 44.00
C 04.00
98
1380
C 11.00
C 03.00
1810
C 09.03
C 02.00
MCY
ATY
BAS
APR
TRI
LIQ
PRP
SLQ
EXC
CPS
SCC
MCG
DOF
OFS
ENC
RWS
EUT
CQC
MCU
MRW
PIN
EXT
CPC
RPR
INV
RSP
CRM
CUE
IMS
TOC
RES
TAC
UES
CPZ
CQS
PUR
BLI
LQC
CNO
ECB
ECC
CMA
LQA
CCG
TSE
TMA
COF
TOF
CFO
GTR
TRT
CQI
GTC
RWC
SST
TCP
TYA
COI
REF
DST
CPY
ECW
ETY
CEG
PAU
APL
SCO
LEC
LTV
MCL
OGR
TIF
ALM
SEC
C 07.00.c
C 01.00
COREP TABLES
Count Of Members
5
420
66
380
12
2
40
327
3
8
16
16
2
2
2
17
17
1
1
1
1
17
19
15
8
6
29
42
4
307
1
282
1
8
3
3
1
23
22
4
14
2
10
2
6
1
1
1
2
2
5
5
22
22
2
2
14
14
11
11
5
5
32
32
32
32
4
4
6
6
12
12
7
7
11
11
6
6
6
6
3
3
32
32
32
32
32
32
32
32
4
4
4
4
9
9
32
32
32
32
8
8
9
9
32
32
32
32
5
5
9
9
6
6
6
6
1
1
9
9
32
32
32
32
32
32
32
32
3
1
2
2
7
7
51
51
13
13
7
5
5
1
1
25
25
1
1
12
12
26
26
30
30
16
16
6
6
51
51
58
58
3
3
48
48
54
54
12
12
40
40
45
45
6
6
1
1
219
216
3
1
10
3
370
335
3
10
5
89
12
70
22
7
8
2
204
201
5
15
15
2
7
7
4
2
2
28
36
24
8
10
10
1
1
170
21
168
167
24
69
29
1
1
152
1
1
12
12
1
8
6
12
19
11
19
1
2
126
2
117
2
2
46
32
4
58
44
1
46
34
5
1
5
7
4
2
3
3
69
19
1
7
69
16
1
3
85
8
84
8
8
12
3
12
3
22
40
8
8
5
9
69
2
1
2
1
1
1
1
11
2
2
11
11
11
3
3
10
1
1
1
1
13
31
5
12
14
14
1
1
32
1
2
1
1
1
1
1
1
1
9
2
10
10
5
5
5
5
6
6
6
6
32
1
36
9
9
1
1
12
12
4
4
6
6
6
6
2
2
4
4
1
1
6
6
1
1
10
10
9
16
16
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
18
48
38
38
2
38
2
36
1
35
31
3
3
1
1
5
5
4
4
3
15
29
6
6
27
27
9
3
15
4
4
4
18
9
9
17
5
12
21
4
4
1
1
20
16
16
1
13
1
13
1
2
2
2
1
3
3
6
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
6
12
3
2
1
13
2
2
2
3
3
11
11
6
11
3
2
10
10
1
9
4
4
9
9
7
7
1
5
2
4
1
1
1
1
1
2
2
3
3
1
2
1
2
2
2
1
2
1
2
1
1
1
14
10
50
2
14
9
52
2
14
32
1
10
40
6
17
55
3
1
32
56
27
14
23
5
59
50
14
2
61
21
24
66
2
21
6
1
1
63
21
14
31
4
69
66
21
3
9
23
70
8
21
2
14
10
93
21
3
112
103
21
1
20
DPM statistics – Highlights
 COREP tables are larger (ratio Data Points/Tables)
 COREP tables have a more complex layout (ratio Shaded Cells/Total Cells)
 Credit Risk represents 50% of all ITS data points (Credit Risk + Market Risk represent 67% of all ITS)
 COREP and FINREP data are mostly unrelated (very few domain members are shared)
 Majority of data points with unique dimensional context (78% of FINREP, and 66% of COREP)
 The dimensional model is extremely sparse:
 243 distinct combinations of dimensions for 6.682 FINREP data points
 535 distinct combinations of dimensions for 28.486 COREP data points
(of which 15% apply to 80% of data points, and 50% define less than10 data points)
 COREP concepts are more complex (larger number of dimensions required for defining data points:
on average, 8 for COREP vs. 5 for FINREP)
 The DPM was defined for data collection (not for data analysis)
 Analytical models will be also very challenging (especially for COREP, which is more heterogeneous)
21
Thank you for your attention
Carlos Martins
IT Information Manager
+44 (0) 20 7382 1766
[email protected]
22

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