17 th Eurofiling Workshop New COREP FINREP Carlos

17 th 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 Validation Rule Pre-Condition Expression Variable Scope Data Point Context Data Point Version References Legal Document Data Point Categorisation Article/Paragraph Text Reference Categorisation 5

DPM database – base model 6

DPM database – validations model 7

DPM quality checks 1 Dictionary of concepts § § Domains Dimensions Members Hierarchies ü Referential integrity ü Repeated definitions ü Obsolete items 2 Relations of dictionary items ü Repeated or wrong allocation of Members to Dimensions or Hierarchies 3 Table modelling ü Tables with repeated Dimensions 4 ü Structure of hierarchies (levels, aggregations) ü Tables with repeated Data Points ü Cells without Metric and/or without Dimensions Cells definition ü Cells with repeated Member ü Cells with equal definition (same Data Point) 5 Business validations Ø Generation of explicit table-based formulas from Member Hierarchies (where implicit validations are defined) 8

DPM statistics – Tables and Cells Chart Title FINREP COREP Tables Data Points FINREP 105 6, 682 COREP 83 28, 486 9

DPM statistics – Tables and Cells 10

DPM statistics – Table Groups size FINREP Non performing FINREP part 1 COREP FINREP part 2 Net Stable Liquidity Funding Capital Coverage Adequacy Ratio Leverage Large Group Operational Ratio Exposures Solvency Risk Forbearance Market Risk Asset encumbrance FINREP part 3 Credit Risk FINREP part 5 4 11

DPM statistics – Domains, Dimensions, and Members Domains 4 22 14 Chart Title 26 29 Chart Title 91 45 460 936 12

DPM statistics – Domains, Dimensions, and Members 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 C 09. 03 1 1 C 10. 01 9 9 8 8 3 C 10. 02 9 9 6 6 3 C 11. 00 4 4 C 12. 00 39 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 12 2 4 11 19 15 16 8 18 15 5 13 13 15 2 1 12 1 14 1 1 12 1 1 10 3 2 2 1 10 5 3 4 1 0 1 4 4 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 7 1 1 3 4 5 1 2 4 2 1 12 8 2 2 1 1 14

DPM statistics – Data Points, and Contexts 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 Count. Of. Data. Points Count. Of. Dimensions 16

1 9 17 25 33 41 49 57 65 73 81 89 97 105 113 121 129 137 145 153 161 169 177 185 193 201 209 217 225 233 241 249 257 265 273 281 289 297 305 313 321 329 337 345 353 361 369 377 385 393 401 409 417 425 433 441 449 457 465 473 481 489 497 505 513 521 529 DPM statistics – Hypercubes COREP “Hypercubes” 2000 16 1800 14 1600 12 1400 1200 10 1000 8 800 6 600 4 400 2 0 0 Count. Of. Data. Points Count. Of. Dimensions 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 9 7 11 12 6 1 1 1 7 11 12 2 3 6 8 8 3 1 9 7 8 2 2 2 1 1 1 4 3 1 18 18 3 3 3 6 1 1 2 161 33 2 20 2 1 1 1 36 21 17 7 1 1 57 4 51 5 8 10 4 12 12 1 6 6 17 3 2 1 12 2 1 1 51 1 2 8 10 4 12 12 1 6 3 17 3 2 1 13 1 12 2 26 3 2 2 3 1 1 1 2 8 43 7 11 12 3 2 49 5 2 1 1 1 2 18 7 2 26 2 7 18 2 14 4 7 3 1 3 3 5 16 10 3 3 5 1 11 28 47 25 2 2 68 1 63 3 1 1 1 2 15 27 15 10 7 13 1 4 1 6 18 9 18 19 9 19 36 36 36 57 57 57 34 34 34 12 36 1 14 57 1 26 26 26 44 44 44 2 2 36 2 2 57 3 2 1 1 2 1 4 18 9 5 19 9 2 9 3 2 18 2 17 19 9 9 6 18 4 19 5 3 17 1 6 3 13 13 12 2 4 6 2 4 4 14 9 1 1 2 2 2 2 2 9 9 9 52 45 3 3 7 3 5 1 5 2 39 2 1 1 3 39 23 37 2 9 16 37 37 37 36 35 1 6 4 12 93 40 2 4 5 17 112 3 2 114 73 17 6 F 38. 00. c 9 8 10 F 37. 00. c 1 10 F 38. 00. a 6 1 F 38. 00. b 8 6 F 36. 02. c 10 1 F 37. 00. a 1 4 F 37. 00. b 6 21 F 36. 01. c 3 36 F 36. 02. a 4 29 F 36. 02. b 16 1 14 F 35. 02 36 14 14 F 36. 01. a 1 1 14 F 36. 01. b 5 1 18 F 35. 01. c 14 1 1 13 F 35. 01. a 1 1 13 F 35. 01. b 1 2 7 F 34. 00. a 2 2 1 F 34. 00. b 2 13 1 F 33. 00. a 13 13 2 F 33. 00. b 13 7 3 F 32. 04. a 7 1 4 F 32. 04. b 13 1 2 F 32. 03. a 1 2 2 F 32. 03. b 3 3 10 6 F 32. 01 24 34 26 2 F 32. 02. a 34 2 43 4 F 32. 02. b 32 2 25 6 F 31. 02 52 25 2 F 31. 01 25 4 38 1 F 30. 00 38 7 53 3 F 29. 03 38 9 7 F 29. 02 53 10 12 F 29. 01. b 10 16 16 F 28. 03 16 2 F 35. 01. d 204 19 2 F 29. 01. a 30 19 6 2 1 F 28. 02 14 13 2 1 F 28. 01 14 26 4 53 2 F 27. 03 11 F 27. 02 14 F 27. 01 14 F 26. 00 14 F 25. 02 22 F 25. 01 14 F 24. 00 14 F 23. 03 14 2 F 23. 02 3 F 23. 01 1 F 21. 04 6 F 21. 03 7 F 21. 02 14 F 21. 01 1 F 20. 00 5 F 19. 00 2 F 18. 00 2 F 17. 06 2 53 6 32 F 17. 04 6 F 17. 05. b 4 32 F 17. 03 2 F 17. 05. a 2 F 17. 02 1 1 F 17. 01. b 1 F 16. 00 1 F 17. 01. a 2 F 15. 02 21 24 3 F 15. 01 24 3 1 F 14. 06 3 1 5 F 14. 04 1 1 5 F 14. 05. a 6 7 31 F 14. 05. b 44 14 1 F 14. 03 31 1 5 F 14. 02 19 5 2 F 14. 01 F 06. 02 14 2 2 F 13. 00 F 06. 01 19 2 2 F 11. 02 F 05. 02 19 2 28 F 12. 00. a F 05. 01. c 18 6 19 F 12. 00. b F 05. 01. b 28 4 19 F 10. 02 F 04. 00 19 2 18 F 11. 01. a F 03. 09 F 05. 01. a 19 2 37 F 11. 01. b F 03. 08 18 77 F 10. 01 F 03. 07 77 42 F 09. 00 F 03. 06 42 1 26 F 08. 02 F 03. 05 41 1 45 F 08. 01 F 03. 04 58 F 07. 00 F 03. 03 560 F 03. 02 587 F 03. 01 951 F 02. 00 1103 F 01. 03 1833 F 01. 02 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 F 01. 01 FINREP TABLES Count Of Members 18 2 2 2 8 18 3 1 1 1 2 33 10 31 25 3 2 2 3 3 3 11 17 1 4 1 1 1 7 11 8 2 4 1 1 3 2 1 1 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 3 3 6 6 4 1 1 1 4 4 1 3 1 1 1 3 2 1 1 7 4 10 1 6 10 6 12 2 6 21 3 17 11 12 1 20 17 7 5 31 1 19

DPM statistics – Tables. Dimensions Matrix COREP TABLES DIMENSIONS 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 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 7 7 17 17 9 9 32 32 7 7 51 51 58 58 24 24 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 2 2 1 1 6 6 2 2 17 17 1 1 6 6 7 7 51 51 58 58 5 5 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 2 2 1 1 1 1 6 6 6 6 1 1 10 10 5 5 648 4 59 3 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 05. 01 75 98 1128 C 11. 00 C 04. 00 98 1380 C 09. 03 C 03. 00 1810 C 07. 00. c 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 01. 00 Count Of Members 5 420 380 66 12 2 40 327 3 8 16 16 2 2 2 17 17 1 1 17 19 15 8 29 6 42 4 307 282 1 1 8 3 3 1 23 22 4 14 2 10 2 6 1 1 219 216 3 1 1 2 2 5 5 10 22 22 2 2 14 14 11 11 5 5 32 32 4 4 6 6 12 12 7 7 11 11 6 6 3 3 32 32 4 4 3 370 335 3 10 5 4 4 9 9 32 32 8 8 9 9 32 32 5 5 9 9 6 6 1 1 9 9 32 32 1 3 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 89 12 70 8 22 7 2 204 201 5 15 15 2 7 7 4 2 2 28 36 24 8 10 10 1 1 170 168 167 21 24 152 69 29 1 1 12 12 1 8 6 12 19 11 19 126 1 2 117 2 2 2 46 32 4 58 44 1 46 34 5 1 5 7 4 2 3 3 93 69 19 1 7 69 16 1 3 85 84 8 8 8 12 12 3 3 22 40 8 8 5 9 69 1 2 31 1 10 1 1 61 11 2 2 11 11 11 3 3 1 1 13 31 5 12 14 14 1 1 32 1 1 1 1 9 2 10 10 5 5 6 6 32 36 9 9 1 1 12 12 4 4 6 6 2 2 4 4 1 1 6 6 1 1 10 10 9 6 6 6 6 10 50 16 16 18 48 38 38 38 2 2 36 35 1 31 15 27 3 3 1 1 5 5 4 4 3 29 6 6 27 9 3 15 21 4 4 4 18 9 9 17 5 12 1 20 1 16 16 13 1 1 2 2 2 3 3 3 6 2 2 2 2 6 2 1 11 1 12 13 2 2 2 3 3 11 11 6 10 3 2 10 9 1 4 4 9 9 7 7 5 1 4 2 1 1 1 2 2 3 3 2 1 1 2 1 1 14 1 52 2 14 32 1 10 40 6 17 55 2 14 9 56 3 1 32 5 59 27 14 2 2 21 24 66 50 14 23 1 63 21 6 1 1 4 69 66 21 9 23 2 21 3 14 70 8 21 2 14 10 21 3 112 103 21 1 1 20

DPM statistics – Highlights Ø COREP tables are larger (ratio Data Points/Tables) Ø COREP tables have a more complex layout (ratio Shaded Cells/Total Cells) Ø Credit Risk represents 50% of all ITS data points (Credit Risk + Market Risk represent 67% of all ITS) Ø COREP and FINREP data are mostly unrelated (very few domain members are shared) Ø Majority of data points with unique dimensional context (78% of FINREP, and 66% of COREP) Ø The dimensional model is extremely sparse: Ø 243 distinct combinations of dimensions for 6. 682 FINREP data points Ø 535 distinct combinations of dimensions for 28. 486 COREP data points (of which 15% apply to 80% of data points, and 50% define less than 10 data points) Ø COREP concepts are more complex (larger number of dimensions required for defining data points: on average, 8 for COREP vs. 5 for FINREP) v The DPM was defined for data collection (not for data analysis) v 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 carlos. martins@eba. europa. eu 22