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The European Banking Authority: FINREP and COREP V2.0

The European Banking Authority: FINREP and COREP V2.0. 19 June 2013 | London Owen Jones | CRR Taxonomy Project EBA. EBA XBRL Taxonomy. Primary purpose: For data exchange from NSAs to EBA. Regulations. Transmit to EBA. Report to NSA. DPM. Templates. Taxonomy. Transmit to EBA.

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The European Banking Authority: FINREP and COREP V2.0

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  1. The European Banking Authority:FINREP and COREP V2.0 19 June 2013 | London Owen Jones | CRR Taxonomy Project EBA

  2. EBA XBRL Taxonomy Primary purpose: For data exchange from NSAs to EBA Regulations Transmit to EBA Report to NSA DPM Templates Taxonomy Transmit to EBA Instructions Validations Understand Requirements EBA Business experts 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

  4. The Frameworks COREP FINREP Capital Adequacy Group Solvency Credit Risk IP Losses Operational Risk Market Risk Primary Statements Assets & Liabilities Financial Asset Disclosures & Off Balance Sheet Income & Equity Financial & Non-Financial Disclosures, OBS Large Exposures Leverage Liquidity Coverage Net Stable Funding 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 Net Stable Funding Ratio Part 1 Part 2 Part 3 Part 4 Part 5 Large Exposures

  7. Contents of each module COREP FINREP COREP FINREP COREP LE 51 Templates 81 Tables 669 Validations Expected file size 30-100MB 68 Templates 77 Tables 658 Validations Expected file size 5-10MB 2 Templates 2 Tables 13 Validations Expected file size 1-100MB+

  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 vstables – 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 Analysis Templates Modeling Structure checks Metadata loading DPM Excel Metadata extraction Quality checks DPM Database In Progress ... Generation DPM-XBRL Generator Test results XBRL Taxonomies

  20. 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

  21. 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

  22. 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.

  23. Owen Jones

  24. Simple Tables - DPM

  25. Simple Tables – XBRL (Taxonomy)

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