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INTRODUCTION

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]

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INTRODUCTION

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  1. 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 thesamedomains/dimensions as in FINREP DPM whentheyrefertothesameconcepts.

  2. IDENTIFICATION OF A DATA POINT (CELL) • A data point (cell) isrepresentedusingthevalues of the “Base” and “Dimensions” thatcharacterizeit. • Thesame data pointisdefinedonly once, regardlesswhetheritisincludedornot in more thanonetable.

  3. 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. COREP: FAMILY OF DIMENSIONS • Rest of Family of Dimensions • - Creditriskmitigation/(Collateral/guarantees) • - Currency • - Geographicalarea • - Impaired / Unimpaired • - Percentageinterval • - Securitization • - Time interval Key Family of dimensions - Maincategory • - Amounttype For capital requirementsalso: - Portfolio - Approachto capital requirements • - Exposureclasses(forcreditrisk) • - Risktype(formarketrisk)

  5. COREP: MAIN CATEGORY • MAIN CATEGORY indicatesthespecificmeaning 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. 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. COREP: PORFOLIO AND APPROACH • PORTFOLIO • - Prudential portfolios: Allbooks, Bankingbook, Trading book • Approachto capital requirements • - Creditrisk [CR] : SA, SEC SA (Rated, Unrated), IRB (non ownestimates, ownestimates), SEC IRB • - Marketrisk [MKR]: SA (General risk, Specificrisk, …), IM (GR, SR) • - Operationalrisk [OPR]: BIA, TSA, ASA, AMA • - IRB approaches for credit risk [CR IRB]: Exposures assigned to obligor grades or pools, …

  8. 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 [Thisdimensioncouldbenecessaryifthedefinitions of themembers are widerthan in CR Total] • - IRB approach [CR IRB]: Central Governments and central banks, … • - Assessmentby a nominated ECAI [CR SA]: Withoutcreditassessment • Risk type • - Market risk types (MKR): Traded Debt Instruments, Equities, Foreign Exchange, Commodities

  9. 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. 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] • Securitizationtype: Traditional, Synthetic • Securitisation: Securitisedexposures, Securitisationexposuresoriginated, Securitization position,… • Tranche: Senior, Mezzanine, Firstloss • 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. EXAMPLE 1. Simplified CA Table

  12. EXAMPLE 2. Simplified CR SA Total table (I)

  13. EXAMPLE 2. Simplified CR SA Total table (II)

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