EBA Data Point Model 18 th Euro Filing

Outline > EBA mandate > DPM statistics > DPM database > DPM products 2

EBA regulatory tasks Common rulebook Maximum harmonisation. . . but proportionate to different financial institutions EU Co-Legislators Sectoral Directives (e. g. CRD IV, CRR) EBA role: provide advice Commission ‘Implementing legislation’ EBA issuing guidelines and recommendations Developing draft binding technical standards 3

ITS on supervisory reporting – scope EBA to deliver ITS in the following areas of the Capital Requirement Regulation (CRR): > Art 99 Solvency reporting, Financial reporting > Art 100 Asset encumbrance > Art 101 Mortgage exposures reporting > Art 394 Large exposures reporting > Art 415 Liquidity ratios reporting > Art 430 Leverage ratio reporting Integrated approach to ITS development > Several ITS packaged as one EU Regulation which is directly applicable to all credit institutions and investment firms > Use of common structure/conventions/concepts/definitions 4

ITS on supervisory reporting - benefits Directly applicable > No implementation, or interpretation of the Regulation on national level ensures common definitions and instructions Technical translation of reporting requirements > Data Point Model and XBRL taxonomy > Common validation rules Truly harmonised supervisory data > Helps supervisors to assess asset quality, risk concentrations, liquidity positions, conduct peer analysis, analyse risk parameters across institutions > Harmonised definitions, especially on forbearance, non-performing loans and asset encumbrance significantly enhance identification of potential systemic risks 5

Reporting framework development 2011 2012 2013 2014 Legal Framework Business IT EBA mandate Binding Technical Standards Data Point Model XBRL Taxonomy 6

ITS Templates, Tables, Data Points Table Group Credit Risk Market Risk Liquidity Coverage Stable Funding Capital Adequacy Operational Risk Leverage Ratio Large Exposures Leverage Ratio (Consolidated Only) Group Solvency FINREP part 1 (GAAP only) FINREP part 2 FINREP part 3 FINREP part 4 #Templates #Tables 13 8 4 2 6 6 1 1 49 35 6 10 4 14 69 #Data. Points 20 8 6 4 9 6 3 1 85 39 6 11 4 14 74 16. 847 6. 567 3. 534 3. 004 569 393 257 125 49 48 31. 393 2. 864 229 408 151 437 4. 089 7

y so ) nc on lve So p ou Gr es io Ra t os ur (C tio ge R a xp rg e E La isk y ac qu ge ve ra Le ge nd in g na l R tio ra de l A ita Op e ra Le ve #Templates Ca p le Fu ab St ve ra sk isk R i ke t C o ty di ui Liq ar M di t R Cr e COREP Templates vs Tables 20 18 16 14 12 10 8 6 4 2 0 #Tables 8

COREP Templates and Data Points #Templates #Data. Points Credit Risk Market Risk Liquidity Coverage Stable Funding Capital Adequacy Operational Risk Leverage Ratio Large Exposures Leverage Ratio (Conso) Group Solvency 9

COREP tables with open Y axis (repeatable rows) Group Template Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements C 08. 02 - Breakdown of exposures assigned to obligor grades or pools by obligor grades Credit Risk Credit risk: Equity - IRB approaches to capital requirements - Breakdown of total exposures C 10. 02 under the PD/LGD Approach by obligor grades C 14. 00 Detailed information on securitisations Group Solvency Large Exposures C 06. 00 Group Solvency Dimension Obligor grade Securitisation (row number) Legal entity C 27. 00 Identification of the counterparty Individual clients C 28. 00 Exposures in the non-trading and trading book Individual clients C 29. 00 Detail of the exposures to individual clients within groups of connected clients Group of connected clients Individual clients Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to C 30. 00 unregulated financial entities C 31. 00 Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities: detail of the exposures to individual clients within groups of connected clients Individual clients Group of connected clients Individual clients 10

COREP tables with open Z axis (repeatable sheets) Group Template 124 Country 218 C 09. 03 1 C 15. 00 10 85 Liquidity Coverage. Liquid assets (I). Significant currencies Currency 176 Liquidity Coverage. Liquid assets (II). Significant currencies Currency 90 Liquidity Coverage. Outflows (I). Significant currencies Currency 359 Liquidity Coverage. Outflows (II). Significant currencies Currency 486 Liquidity Coverage. Outflows (III). Significant currencies Currency 35 Liquidity Coverage. Outflows (IV). Significant currencies Currency 41 Liquidity Coverage. Inflows (I). Significant currencies Currency 237 Liquidity Coverage. Inflows (II). Significant currencies Currency 234 Liquidity Coverage. Inflows (III). Significant currencies Currency 24 Liquidity Coverage. Collateral swaps. Significant currencies Currency 1178 Stable funding. Items requiring stable funding (I). Significant currencies Currency 211 Stable funding. Items requiring stable funding (II). Significant currencies Currency 3 Stable funding. Items providing stable funding (I). Significant currencies Currency 110 Stable funding. Items providing stable funding (II). Significant currencies Currency C 52. 00 C 53. 00 C 54. 00 Stable Funding ZAxis C 09. 02 C 51. 00 Liquidity Coverage Table Geographical breakdown of exposures by residence of the obligor (SA exposures) - Exposures in default Geographical breakdown of exposures by residence of the obligor (IRB exposures) Breakdown of total own funds requirements for credit risk of relevant credit exposures by country Exposures and losses from lending collateralised immovable property C 09. 01 Credit Risk #Cells C 60. 00 C 61. 00 57 Country 11

COREP tables with open Z axis (repeatable sheets) Group #Templates #Cells ZAxis Credit Risk 5 410 Country Liquidity Coverage 4 1767 Currency Stable Funding 2 1502 Currency 12

COREP use of dimensions (per table group) Group Capital Adequacy Credit Risk General Information - COREP Group Solvency Large Exposures Leverage Ratio (Consolidated Only) Liquidity Coverage Market Risk Operational Risk Stable Funding COREP #Dimensions 24 38 2 6 9 20 11 42 16 9 27 88 13

COREP most/less used dimensions TOP Dimension Base Main category Approach for prudential purposes Prudential portfolio Type of risk Exposure class Counterparty sector Risk weights #Data. Points 31. 339 31. 282 23. 538 23. 521 21. 274 16. 599 12. 440 8. 051 BOTTOM . . . (76 dimensions). . . Type of assets with collateral received Type of investment firm Use of allocation mechanism Location of the activities 2 2 1 1 14

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DPM Database high level structure Dictionary Templates 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 Data Point Context Data Point Version Legal Document Data Point Categorisation Expression Variable Scope References Article/Paragraph Text Translations Language Reference Categorisation Dictionary Concept 16

Tables structure 17

Dictionary - Dimensional concepts 18

Dimensional categorisation of tables rows/columns/sheets 19

Data Points 20

Validation rules 21

Taxonomy 22

DPM products (business user views) q DPM Dictionary q DPM Member hierarchy q DPM Analysis matrix – Useful for reviewing data point definition for a related group of data q Data point definition (ITS Annex XIV) – List of all data points in the ITS package using exclusively DPM Dictionary concepts q Validation formulae (ITS Annex XV) – List of formulae expressed as relations between template cells • directly defined by business experts • derived from DPM hierarchies of members q DPM table layout and data point categorisation – Combination of data templates (ITS Annexes I, III, IV, VIII, X, XII) and data point definition (Annex XIV) – Useful for exploring data point definition and user-friendly presentation of DPM 23

DPM document - Table Layout and Data Point Categorisation 24

DPM document - Validation Formulas Annex XV - Validation formulae ID Tables used in formula T 1 T 2 Sheets Formula v 0330_m C 08. 01. a (All) {C 08. 01. b, c 120} <= {C 08. 01. a, c 110} v 0331_m C 08. 01. a (All) {r 120} <= {r 110} v 0332_m C 08. 01. a (010; 070) (All) {c 030} <= {c 020} v 0333_m C 08. 01. a C 08. 01. b (010; 070; 090 -170) (All) {C 08. 01. b, c 100} <= {C 08. 01. a, c 090} v 0334_m C 08. 01. a C 08. 01. b (010; 070 -180) (All) {C 08. 01. b, c 130} <= {C 08. 01. a, c 110} v 0335_m C 08. 01. a (010; 070) (All) {c 140} <= {c 110} v 0336_m C 08. 01. a (010; 070) C 08. 01. b T 3 Formula applies to Rows Columns (010; 070 -170) (020; 090; 110; 260; 280; 290) (All) {c 270} <= {c 260} (All) {r 010} = {r 020} + {r 030} + {r 040} + {r 050} + {r 060} v 0337_m C 08. 01. a (020; 040; 050; 060; 070; 080; 090; 110; 150220; 260; 280; 290) v 0338_m C 08. 01. a (020; 090; 110; 260; 280; 290) (All) {r 010} = {r 070} + {r 080} + {r 160} + {r 170} + {r 180} v 0339_m C 08. 01. a (020; 090; 110; 260; 280; 290) (All) {r 080} = {r 090} + {r 100} + {r 110} + {r 130} + {r 140} + {r 150} + {r 160} v 0340_m C 08. 01. a (020 -220; 260 -290) (All) {C 08. 01. a, r 070} = sum({C 08. 02, (r. NNN)}) v 0341_m C 08. 01. a (All) {c 260} <= {c 255} v 1662_m C 08. 01. a (All) {c 090} = {c 020} + {c 070} + {c 080} v 1663_m C 08. 01. a (010 -070; 170 -180) (All) {c 070} = {c 040} + {c 050} + {c 060} v 1664_m C 08. 01. a (040; 050; 060) (All) {c 255} = {c 260} v 1894_h C 08. 01. a C 08. 01. d {C 08. 01. a, r 030, c 090, s 007} >= +{C 08. 01. d, r 010, c 100, s 019} v 1895_h C 08. 01. a C 08. 01. d {C 08. 01. a, r 030, c 090, s 008} >= +{C 08. 01. d, r 010, c 100, s 018} v 1896_h C 08. 01. a C 08. 01. d {C 08. 01. a, r 030, c 090, s 013} >= +{C 08. 01. d, r 010, c 100, s 020} v 1897_h C 08. 01. a C 08. 01. d {C 08. 01. a, r 030, c 090, s 016} >= +{C 08. 01. d, r 010, c 100, s 021} C 08. 02 25

DPM document - Data Point Definition - FINREP F 01. 01 - Balance Sheet Statement [Statement of Financial Position]: Assets r 010 c 010 Metric Carrying amount [mi] Base Accounting portfolio Assets Cash on hand, Loans and advances. On demand [call] and short notice [current account] Cash and cash balances at central banks Metric Carrying amount [mi] Base Assets Main category Cash on hand Metric Carrying amount [mi] Base Assets Main category Loans and advances. On demand [call] and short notice [current account] Counterparty sector Central banks Metric Carrying amount [mi] Base Assets Main category Loans and advances. On demand [call] and short notice [current account] Counterparty sector Counterparties other than central banks Metric Carrying amount [mi] Base Assets Main category Derivatives, Debt securities, Loans and advances, Equity instruments Accounting portfolio Financial assets held for trading Main category r 020 c 010 r 030 c 010 r 040 c 010 r 050 c 010 26

Thank you for your attention Carlos Martins IT Information Manager +44 (0) 20 7382 1766 carlos. martins@eba. europa. eu 27