COREP/FINREP A Technical Insight. 26 June 2013, London
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1 COREP/FINREP A Technical Insight 26 June 2013, London
2 PRESENTERS COREP/FINREP OVERVIEW AND TECHNICAL BRIEFING Josef Macdonald External Consultant Michal Skopowski External Consultant COREP EXPERIENCE Richard Metcalfe Director, London
3 AGENDA 1) UNDERSTANDING THE REQUIREMENTS 2) TECHNICAL BRIEFING 3) CHALLENGES
4 1) UNDERSTANDING THE REQUIREMENTS
5 FINANCIAL MARKETS SUPERVISION IN EU micro level macro level European Systemic Risk Board (ESRB) European System of Financial Supervisors (ESFS) chairperson chairperson chairperson European Banking Authority supervisory colleagues European Insurance and Occupa/onal Pensions Authority supervisory colleagues European Securi/es and Markets Authority supervisory colleagues Single Supervisory Mechanism (SSM) will affect the current status quo: - ECB involved in monetary policy as well as supervision - ECB involved in micro- and macro level supervision - Rela/on between EBA and ECB not in every scenario clear - Equilibrium between EBA, EIOPA and ESMA poten/ally affected un/l 2011 un/l 2011 un/l 2011
6 SUPERVISORY REPORTING LEVELS CI Level 1 Level 2 CI CI NSA CI ITS and DPMs Taxonomies EBA CI CI NSA Source: Andreas Weller EBA XBRL 26, Dublin (adapted diagram)
7 DEPENDENCIES BETWEEN FRAMEWORKS AND INSTITUTIONS FOR BANKING SECTOR IN EU Interna/onal standards Taxonomy Data Model JEGR common sta/s/cal requirements
8 THREE PILLARS APPROACH FOR BASEL III Basel III Pillar I Minimum capital requirements and Ra7os For example: Own funds Credit, market, opera7onal risk requirements Minimum capital ra7os Minimum liquidity ra7os Minimum leverage ra7o Regulatory repor7ng Pillar II Risk management and supervision For example: Stress tes7ng Pruden7al supervision Risk management Capital buffers Corporate governance Supervisory colleges Pillar III Market discipline For example: Public disclosure Reconcilia7on of regulatory capital to accoun7ng framework
9 INTERNATIONAL vs EUROPEAN LAW Basel Basel 2, Basel CRD (Direc/ve 2006/49/EC) In force since Jan. 1, 2007 CRD II (Direc/ve 2009/111/EC) In force since Dec. 31, 2010 CRD III (Direc/ve 2010/76/EU) In force since Dec. 31, 2011 CRR/CRD IV (Direc/ve and Regula/on) In force since??? Defini/on of capital Credit risk approach Opera/onal risk Large exposures Hybrid capital instruments Liquidity risk management Cross border supervision Exemplary shordalls of CRD I- III: Systemic risk was not appropriately addressed Excessive leverage Insufficient liquidity Not adequate and low quality of own funds Procyclical effects Higher risk for resecuri/sa/on in banking book Securi/sa/on in trading book Stressed VAR Incremental default and migra/on risk (IRC) Remunera/on policies (i.e. earnings above 1 mn EUR) Regula/on: Upgrade of capital defini/on Single rule book Credit valua/on adjustment Charge for CCPs Liquidity coverage Counterparty credit risk Leverage ra/o Wrong- way risk (EAD) Direc/ve Capital buffers Enhanced governance and supervision Sanc/ons SIFI
10 LACK OF COMPARABILITY OF DATA FOR CRD I-III REPORTING Basel II Global best prac/ces EC 2006/48 & 49 European Law 9X,XX% best prac/ces + EU requirements OBLIGATORY but so far mostly DIRECTIVES! To be replaced by Single rule book under CRD IV/CRR ITS!!! Country 1 NBP 1 Report Country 2 Report 2 Country 3 Country 27 NCB 2 FSA 3 NBB 27 Report Report Transi/on into na/onal legisla/on (na7onal op7ons) Na/onal implementa/on Challenge! RelaPons between informapon models. Necessity to introduce single rule book based on regulapon (not only direcpve)
11 GOAL OF CRR/SINGLE RULES BOOK (OWN FUNDS PERSPECTIVE) Clear rela/on to financial reports Comparison between jurisdic/ons Transparency Consistency Simple defini/ons/criteria harmonized between countries Regula/on is binding in its en/rety and directly applicable in all Member States Quality Must absorb losses (separately for going- and gone- concern) Strict criteria depending on ability to absorb losses (not just a type of instrument, elimina/on of Tier 3, reduc/on of Tier 2) Regulatory adjustments
12 THE FRAMEWORKS COREP FINREP Leverage Liquidity Coverage Net Stable Funding Capital Adequacy Group Solvency Credit Risk IP Losses Opera/onal Risk Market Risk Large Exposures Asset Encumbrance Primary Statements Assets & Liabili/es Financial Asset Disclosures & Off Balance Sheet Income & Equity Financial & Non- Financial Disclosures, OBS Forbearance Non- performance Source: Owen Jones EBA EuroFiling, London, 19 June 2013
13 MODULES COREP FINREP COREP Capital Adequacy Group Solvency Credit Risk Opera/onal Risk Market Risk Leverage Ra/o Liquidity Coverage Net Stable Funding Ra/o COREP LE Large Exposures FINREP Part 1 Part 2 Part 3 Part 4 Part 5 Source: Owen Jones EBA, Eurofiling, London
14 2) TECHNICAL BRIEFING
15 TECHNICAL BRIEFING UNDERSTAND " Templates " DPM " Taxonomies ITS " Validation " Rendering AND THEIR ROLES IN PRODUCING XBRL FILINGS
16 OVERVIEW OF THE COMPONENTS Taxonomy primary purpose: Data exchange from NSAs to EBA RegulaPons Transmit to EBA Report to NSA Templates InstrucPons DPM Taxonomy Transmit to EBA ValidaPons Understand Requirements EBA Business experts EBA IT experts NSA IT experts Credit InsPtuPons Many NSAs will use substantially the same for 1 st level reporting, including UK and Ireland Source: Owen Jones EBA EuroFiling, London, 19 June 2013 (adapted)
17 HOW TO NAVIGATE THE TEMPLATES Data is collected in Excel template Templates vs Tables Simple (2-D) Complex (nested headers, fixed sheets (Z-axes), open tables and open sheets )
18 HOW TO UNDERSTAND THE DPM What is a data model? data sender Data requirements / concepts defini/ons Data Model? Data exchange format e.g. XBRL taxonomy analysis and audit receiver data
19 What is the difference between form and data centric defini/on of a data model? "form centric" based on presenta/on that expresses meaning (interpreta/on in certain contexts) "data centric" explicit defini/on irrespec/ve of presenta/on (every term fully understood by its own with all proper/es included in defini/on)
20 HOW XBRL AND TAXONOMIES ARE USED What is? a flexible framework: allows for customiza/on and applica/on in different repor/ng scenarios independent from legal regula/ons designed for descrip/on and exchange of business related data (includes all required characteris/cs and func/onali/es for this applica/on) informa/ve repor/ng: exchange of aggregated data for analysis and decision making communica/on (encoding and decoding) of informa/on: sentences build according to certain syntax (grammar) and seman/cs (meaning)
21 WHAT IS THE PRINCIPLE OF OPERATION OF XBRL? XBRL specifica/ons best/common prac/ces METADATA EXCHANGE Allows for understanding content of business report for the pladorm (program) TAXONOMY Catalogue of concepts, defini/on of exchanged informa/on METADATA EXCHANGE Allows for understanding content of business report for the pladorm (program) DATA EXCHANGE DATA EXCHANGE INSTANCE DOCUMENT Report containing facts (business data) 21
22 WHAT GOES WHERE IN XBRL? XBRL Instance value en/ty context a business term (financial concept) and all its proper/es XBRL Taxonomy unit 22
23 EBA XBRL TAXONOMY: CONTENTS OF EACH MODULE COREP FINREP COREP 51 Templates 81 Tables 669 Valida/ons Expected file size MB COREP LE 2 Templates 2 Tables 13 Valida/ons Expected file size 1-100MB+ FINREP 68 Templates 77 Tables 658 Valida/ons Expected file size 5-10MB Source: Owen Jones EBA EuroFiling, London, 19 June 2013
24 EBA XBRL TAXONOMY: CHARACTERISTICS Very dimensional 286 Primary Items 101 Dimensions, 1500 members 43 of data points use only 1 dimension, none use 0 Large 1800 files, 100 MB Source: Owen Jones EBA EuroFiling, London, 19 June 2013 (adapted)
25 WHAT IS THE LINK BETWEEN DATA MODEL AND TAXONOMY? Data Model 95% XBRL Taxonomy Mapping document Business Experts IT Experts tools and processes Source: Business Repor/ng Advisory Group (BR- AG) and Extensible Ltd 25
26 HOW TO VALIDATE FILINGS XML and XBRL validations Business Rules Formula Linkbase
27 COREP CA TEMPLATE VALIDATION RULE EXAMPLE expression in form of DPM proper/es graphical representa/on error documenta/on/ message
28 HOW TO VISUALISE THE XBRL XBRL instances contain embedded relational information Data and Tags can be viewed i) using Table Linkbase ii) through an XBRL viewer
29 COREP CA TEMPLATE RENDERING EXAMPLE rendering nodes tabular view DPM proper/es
30 RECALL: OVERVIEW OF ITS COMPONENTS Taxonomy primary purpose: Data exchange from NSAs to EBA RegulaPons Transmit to EBA Report to NSA Templates InstrucPons DPM Taxonomy Transmit to EBA ValidaPons Understand Requirements EBA Business experts EBA IT experts NSA IT experts Credit InsPtuPons Many NSAs will use substantially the same for 1 st level reporting, including UK and Ireland Source: Owen Jones EBA EuroFiling, London, 19 June 2013 (adapted)
31 HOW TO PREPARE XBRL FILINGS Benefits Challenges 1. Receiver provides XBRL enabled excel, word, PDF templates Portal no implementa/on costs need for manual work (rekeying data) error prone no benefit outside of this par/cular repor/ng context? 2. Outsourcing (printer, consultant, vendor to prepare reports ) Portal comprehensive support low risk no knowledge required lack of control possibly high cost lack of internal capabili/es 3. Bolt- on (tools to transform your reports into XBRL at the last stage ) ERP ERP REPORT WRITER Portal 4. Integrate (build XBRL into company s business repor/ng supply chain) Portal simplified approach poten/al cost- saving control over result comprehensive approach cost- saving (mid- long) control over result automated processing enhanced repor/ng high data quality knowledge required /me risk significant effort for change update upfront investment level of complica/on 31
32 3) CHALLENGES
33 CHALLENGES Aggressive Timelines Changing Regulations Data Quality Filer concerns Immature Technologies Readability and Visualisation Volume, Size, Complexity Availability and Performance of Tools Data Collection and Integration EBA concerns Taxonomy Maintenance Error messaging Other concerns
34 Possible Concerns : EBA 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 Source: Owen Jones EBA EuroFiling, London, 19 June 2013 (adapted)
35 CHECKLIST ENSURE: " You are planning ahead* " You have devised suitable processes* " You have dialogue with vendors* " Vendors are up to date with Table Linkbase spec* " Tools are ready for volume and complexity* " Vendors dialogue with EBA/NSA/XBRL International " Your software license includes template maintenance " Software error messages are human readable " XBRL instances can be visualised " Other AND THAT THIS IS INDEPENDENTLY VERIFIED. * Iden/fied by EBA
36 SOLUTIONS AND SERVICES Tools Sosware solu/on Pre- mapped templates + Maintenance ConsulPng Readiness Assessments/ Requirements gathering Implementa/on User training TesPng Use cases Issues Reports Analysis
37 Contact Details Max Gerrard Charlode Road, London EC2A 3PE
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