FINREP and COREP V2.0

Report
The European Banking Authority:
FINREP and COREP V2.0
19 June 2013 | London
Owen Jones | CRR Taxonomy Project EBA
© EBA | European Banking Authority
EBA XBRL Taxonomy
Primary purpose: For data exchange from NSAs to EBA
Regulations
Templates
Transmit to
EBA
DPM
Taxonomy
Report to NSA
Transmit to
EBA
Instructions
Validations
EBA Business experts
Understand Requirements
EBA IT experts
NSA IT experts
Credit Institutions
Many NSAs will use substantially the same for 1st level reporting
3
EBA XBRL Taxonomy
Very Dimensional
• 286 Primary Items
• 101 Dimensions, 1500 members
• 43 of 32000 data points use only 1 dimension, none use 0
Extensive use of table link base
Filing indicators used at table level
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The Frameworks
COREP
Capital Adequacy
Group Solvency
Credit Risk
IP Losses
Operational Risk
Market Risk
Large
Exposures
Leverage
Liquidity Coverage
Net Stable Funding
FINREP
Primary Statements
Assets & Liabilities
Financial Asset Disclosures & Off Balance
Sheet
Income & Equity
Financial & Non-Financial Disclosures,
OBS
Forbearance
Non-performance
Asset Encumbrance
...
...
...
...
5
In XBRL
One taxonomy / Two “taxonomies”
• Common dictionary – same
concepts, same dimensions used
to categorise things
• Different tables, different reporting
units (modules).
Large: 1800 files, 100MB
6
The XBRL entry points/modules (Jan 2014)
COREP
FINREP
COREP
FINREP
COREP
LE
Capital Adequacy
Group Solvency
Credit Risk
Operational Risk
Market Risk
Leverage Ratio
Liquidity Coverage
Large Exposures
Part 1
Part 2
Part 3
Part 4
Part 5
Net Stable Funding Ratio
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Contents of each module
COREP
FINREP
COREP
FINREP
COREP
LE
51 Templates
81 Tables
669 Validations
2 Templates
2 Tables
13 Validations
68 Templates
77 Tables
658 Validations
Expected file size
30-100MB
Expected file size
1-100MB+
Expected file size
5-10MB
8
Templates vs Tables
Table linkbase
• Rows/Columns/Sheets must have a unique set of dimensions
• Cells are defined by the combination at the intersection
Excel Templates
• no restrictions, anything goes
Sometimes to model a template we need to switch the definition of a
column for some rows.
This means we need to break up tables into parts:
9
Templates vs tables – example F 29.01
10
Understanding the requirements – from Templates
11
Understanding the requirements – from DPM DB
12
Understanding the requirements – from XBRL
13
Types of tables
The frameworks contain many different kinds of tables
• Simple two–dimensional tables
• Tables with more complex features:
•
•
•
•
Nested headings
Sheets (z-axes)
Open tables
Open sheets
14
Simple Tables – XBRL (Instance)
15
Complex tables – Nested Headers - XBRL
16
Complex tables – Fixed Sheets - DPM
17
Complex tables – Fixed Sheets - XBRL
18
Open tables – Rows
Also open sheets – e.g. top N currencies/ top N countries
19
ITS Development: Iterative Process
...so far
Templates
Structure
checks
Analysis
Modeling
DPM Excel
Quality
checks
Metadata
loading
DPM
Database
Metadata
extraction
DPM-XBRL
Generator
Test results
Generation
XBRL
Taxonomies
In Progress ...
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Current Status
Early access version of the taxonomy is currently being reviewed
by NSAs
Receiving very useful feedback and corrections
Awaiting final business changes to the DPM
These will be incorporated, and a public consultation version
prepared.
Working to a loose target of end August for public consultation
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Possible Concerns
• Extensive use of Table Linkbase
• Specification is still fluid
• Implementations are currently “patchy”
• The taxonomy being reviewed is based on the previous PWD
• Volume of data, size of instance files, complexity of tables
• Performance of tools
• Availability of tools suitable for the reporting process
• Manual entry / tagging will not be plausible
• Integration with accounting / risk management / regulatory reporting
systems needed
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So
Vendors and NSAs
• Ensure you are up to date with the Table Linkbase spec
• Ensure your tools are ready for volume and complexity
Filers
• Ensure you are planning ahead
• Devise suitable processes
• Contact vendors.
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Contact information
Owen Jones
European Banking Authority
Floor 18 | Tower 42 | 25 Old Broad Street
London EC2N 1HQ | United Kingdom
t +44 (0)20 7933 9900
f +44 (0)20 7382 1771
[email protected]
www.eba.europa.eu
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Simple Tables - DPM
26
Simple Tables – XBRL (Taxonomy)
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