New COREP/FINREP experiences

Report
New COREP/FINREP
experiences
Carlos Martins
5 May 2014| Rome
19th Eurofiling Workshop
COREP/FINREP
DPM STATISTICS
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2
Template groups
Taxonomy
COREP
FINREP
AE
Template Groups
Capital Adequacy
Credit Risk
Group Solvency
Leverage Ratio
Leverage Ratio (Consolidated Only)
Market Risk
Operational Risk
Liquidity Coverage
Large Exposures
Stable Funding
FINREP part 1
FINREP part 1 (GAAP only)
FINREP part 2
FINREP part 3
FINREP part 4
Asset Encumbrance
Total
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#Templates
6
13
1
6
1
8
2
4
6
2
37
6
10
4
14
9
#DataPoints
569
16.816
48
257
49
6.565
393
3.534
125
3.004
4.428
229
447
151
439
1.227
129
38.281
3
Taxonomies
#Templates
9
49
71
COREP
FINREP
AE
#DataPoints
1,227
5,694
31,360
COREP
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FINREP
AE
4
Report Types
#Templates
9
37
Own Funds and Leverage
Liquidity Coverage
Large Exposures
4
71
2
6
COREP
Stable Funding
Financial Reporting
Asset Encumbrance
#DataPoints
5,694
1,227
3,004
Taxonomy entry points are based on
these report types, with two variants:
for solo/consolidated scope (COREP),
or IFRS/GAAP (FINREP)
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125
3,534
24,697
5
Templates with open axis
Open Axis Framework
Template Group
FINREP FINREP part 2
Z
Credit Risk
i.e.
multiple
COREP Liquidity Coverage
sheets
Stable Funding
FINREP
Y
i.e.
repeatable
rows
FINREP part 4
Credit Risk
COREP
Group Solvency
Large Exposures
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Dimensions
Country of counterparty
Country of exposure
Currency
Currency
Legal entity
Legal entity * Security
Obligor grade
Securitisation
Legal entity
Client
Group of clients * Client
#Templates
4
4
4
2
#DataPoints
157
413
3.534
3.004
1
1
2
1
1
3
2
19
6
533
48
48
64
58
6
COREP/FINREP
DATA POINTS DEFINITION
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Defining complex reporting concepts
Small seeds
Green
?
Size M
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“Firm rounded edible fruit of a
rosaceous tree, Malus sieversii,
native to Central Asia but widely
cultivated in temperate regions in
many varieties, having pink or
white fragrant flowers.”
Edible skin
8
Changing dimensional properties
Juicy
Small seeds
Green
Edible skin
Size M
Round shape
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Assigning unique IDs
Juicy
Small seeds
Green
Edible skin
Size M
Round shape
ITS Data Integration – using a DPM metadata riven approach
10
COREP/FINREP
REPORTING PLATFORM
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Reporting platform – services
Metadata services
Collection
services
Validation
services
Integration
services
Exploration
services
Notification
services
Monitoring
services
Quality
services
Dissemination
services
Master data services
Reference data services
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Reporting platform – data stores
Metadata
File
Archive
Data
Staging
Area
Data
Warehouse
Data
Data
Marts
Data
Marts
Data
Marts
Marts
Reference Data
Master Data
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COREP/FINREP
DATA INTEGRATION
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Data validation and integration
Data integration
Data validation
Technical
validation
XBRL
instances
XBRL
taxonomy
Valid
instances
Bespoke
development
Data
extraction
Off-the-shelf
Staging
solution
area
Data
tranformation
& loading
Data
Warehouse
Formulae
validation
XBRL
Validation
taxonomy
reports
Error logging
Data Point
Model
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Data
Data
Mart
Data
Mart
Data
Mart
Mart
Data marting
Reference
data
Master
data
15
DPM database: Data Point definition
Table
C 28.00 - Exposures in the non-trading and trading book
Column
Xbrl Context Key
Metric
DataPoint VID
020
INC=*
ei319
85161
Individual clients
<Key value>
040
BAS=eba_BA:x9,INC=*,MCY=eba_MC:x59
mi180
85024
Base
Exposures
Individual clients
<Key value>
Main category
Debt instruments, Equity instruments,
Derivatives, Off balance sheet instruments
Base
Exposures
Impairment status
Defaulted
Individual clients
<Key value>
Main category
Debt instruments, Equity instruments,
Derivatives, Off balance sheet instruments
Base
Exposures
Individual clients
<Key value>
Main category
Debt securities, Loans and advances
Base
Exposures
Individual clients
<Key value>
Main category
Equity instruments
Base
Exposures
Individual clients
<Key value>
Main category
Derivatives
Base
Exposures
Individual clients
<Key value>
Main category
Loan commitments given
050
060
070
080
090
BAS=eba_BA:x9,IMS=eba_IM:x3,INC=*,MCY=eba_MC:x59
BAS=eba_BA:x9,INC=*,MCY=eba_MC:x223
BAS=eba_BA:x9,INC=*,MCY=eba_MC:x130
BAS=eba_BA:x9,INC=*,MCY=eba_MC:x99
BAS=eba_BA:x9,INC=*,MCY=eba_MC:x221
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mi180
mi180
mi180
mi180
mi180
85023
85025
85027
85026
85029
Dimension Label
Member Label
16
XBRL instance: Data Fact definition
<xbrli:context id="c8">
<xbrli:entity>
<xbrli:identifier scheme="http://something">LEIIDENTIFIERFORTEST</xbrli:identifier>
</xbrli:entity>
<xbrli:period>
<xbrli:instant>2013-12-31</xbrli:instant>
</xbrli:period>
<xbrli:scenario>
<xbrldi:explicitMember dimension="eba_dim:BAS">eba_BA:x9</xbrldi:explicitMember>
<xbrldi:explicitMember dimension="eba_dim:IMS">eba_IM:x3</xbrldi:explicitMember>
<xbrldi:typedMember dimension="eba_dim:INC">
<eba_typ:CC>CLIENTCODE</eba_typ:CC>
</xbrldi:typedMember>
<xbrldi:explicitMember dimension="eba_dim:MCY">eba_MC:x59</xbrldi:explicitMember>
</xbrli:scenario>
</xbrli:context>
<eba:mi180 contextRef="c8" unitRef="U-EUR" decimals="-3">777777.77</eba:mi180>
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XBRL instance: Data Fact definition
<xbrli:context id="c8">
<xbrli:entity>
<xbrli:identifier scheme="http://something">LEIIDENTIFIERFORTEST</xbrli:identifier>
</xbrli:entity>
<xbrli:period>
<xbrli:instant>2013-12-31</xbrli:instant>
</xbrli:period>
<xbrli:scenario>
<xbrldi:explicitMember dimension="eba_dim:BAS">eba_BA:x9</xbrldi:explicitMember>
<xbrldi:explicitMember dimension="eba_dim:IMS">eba_IM:x3</xbrldi:explicitMember>
<xbrldi:typedMember dimension="eba_dim:INC">
<eba_typ:CC>CLIENTCODE</eba_typ:CC>
</xbrldi:typedMember>
<xbrldi:explicitMember dimension="eba_dim:MCY">eba_MC:x59</xbrldi:explicitMember>
</xbrli:scenario>
</xbrli:context>
<eba:mi180 contextRef="c8" unitRef="U-EUR" decimals="-3">777777.77</eba:mi180>
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XBRL instance: Data Fact definition
<xbrli:context id="c8">
<xbrli:entity>
<xbrli:identifier scheme="http://something">LEIIDENTIFIERFORTEST</xbrli:identifier>
</xbrli:entity>
<xbrli:period>
<xbrli:instant>2013-12-31</xbrli:instant>
</xbrli:period>
<xbrli:scenario>
<xbrldi:explicitMember dimension="eba_dim:BAS">eba_BA:x9</xbrldi:explicitMember>
<xbrldi:explicitMember dimension="eba_dim:IMS">eba_IM:x3</xbrldi:explicitMember>
<xbrldi:typedMember dimension="eba_dim:INC">
<eba_typ:CC>CLIENTCODE</eba_typ:CC>
Key Value
</xbrldi:typedMember>
<xbrldi:explicitMember dimension="eba_dim:MCY">eba_MC:x59</xbrldi:explicitMember>
</xbrli:scenario>
</xbrli:context>
<eba:mi180 contextRef="c8" unitRef="U-EUR" decimals="-3">777777.77</eba:mi180>
Metric
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Instance
global
dimensions
Context
specific
dimensions
Fact Value
Units
19
Data extraction: shredding the XBRL instances
DPM
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Staging
Area
20
Mapping XBRL to the DPM
A. For each instance local context, e.g. “c8”
i.
Read the scenario to find the dimensional definition:
Dimension BAS Explicit Member eba_BA:x9
Dimension IMS Explicit Member eba_IM:x3
Dimension INC Typed Member CLIENTCODE
Dimension MCY Explicit Member eba_MC:x59
ii.
Build the XBRL Context Local Key, by concatenating the pairs
Dimension=Member in alphabetic order:
BAS=eba_BA:x9,IMS=eba_IM:x3,INC=*,MCY=eba_MC:x59
Note: typed members (e.g.“CLIENTCODE”) are not defined in the DPM, thus
they must be replaced by an “*”
iii.
Find the same string in the DPM table.column
ContextOfDataPoints.XBRLContextKey and get the value of the ContextID
“44617”
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Mapping XBRL to the DPM
B. Search the file for Metrics that reference the local context “c8” and
i.
take note of the related values
Metric “mi180” Unit "EUR"
Decimals "-3“ Fact Value “777777.77”
ii. Find “mi180” in DPM table.column Member.MerberCode and get MemberID “1353”,
which is also Metric.Metric
C. With both MetricID “mi180” and ContextID “44617”, search the DPM table
DataPointVersion to find the DataPointID “85023”
D. For this instance, append each of the the staging area tables, LocalContex, FactValue,
and KeyValue, with a new record, containing the related reported values and DPM IDs
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Extracted data: the relational format
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Extracted data: the relational format
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COREP/FINREP
QUESTIONS?
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EUROPEAN BANKING AUTHORITY
Tower 42, 25 Old Broad Street
London EC2N 1HQ
Tel: +44 2073821766
Fax: +44 2073821771
E-mail: [email protected]
http://www.eba.europa.eu

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