IBM Cognos Disclosure Management Version 10.2.3.1 COREP FINREP Technical Notes
Note Before using this information and the product it supports, read the information in Notices on page 23. Product Information This document applies to Cognos Disclosure Management Version 10.2.3.1 and may also apply to subsequent releases. Licensed Materials - Property of IBM Copyright IBM Corporation 2014. US Government Users Restricted Rights Use, duplication or disclosure restricted by GSA ADP Schedule Contract with IBM Corp.
Contents Introduction.................................. v Chapter 1. Overview of COREP, FINREP, AE, and FP in IBM Cognos Disclosure Management.................................. 1 Terminology................................... 1 Minimum system requirements for COREP, FINREP, AE, and FP.................. 1 Chapter 2. Taxonomy support.......................... 3 Taxonomy version supported by IBM Cognos Disclosure Management for COREP and FINREP....... 3 Data Point Modelling methodology............................ 3 Chapter 3. Synopsis of rules in the Implementing Technical Standard......... 5 Rules for individual disclosures in Implementing Technical Standard................ 5 Reporting frequency................................. 5 EBA Taxonomies roadmap and reporting dates........................ 6 Remittance dates.................................. 6 National and regional differences............................ 7 Chapter 4. Structure of the taxonomy....................... 9 Files required for complete definition of the taxonomy..................... 9 Main folder structure................................ 9 Report types and entry points for COREP, FINREP, AE, and FP.................. 10 Rendering.................................... 10 Chapter 5. Filing packages........................... 11 Repeating templates................................ 19 Filing indicators.................................. 19 Chapter 6. Additional information........................ 21 Reference dates.................................. 21 QName tagging and lookup lists............................ 21 Further information................................ 22 Notices................................... 23 Index.................................... 27 Copyright IBM Corp. 2014 iii
iv IBM Cognos Disclosure Management Version 10.2.3.1: COREP FINREP Technical Notes
Introduction This document provides support for COREP (Common Reporting), FINREP (Financial Reporting), AE (Asset Encumbrance), and FP (Funding Plans) in IBM Cognos Disclosure Management. The document describes the structure of the taxonomies for COREP, FINREP, AE, and FP and the links to regulatory sites. It also describes the different types of templates, such as open and repeating templates, and other related topics. Copyright IBM Corp. 2014 v
vi IBM Cognos Disclosure Management Version 10.2.3.1: COREP FINREP Technical Notes
Chapter 1. Overview of COREP, FINREP, AE, and FP in IBM Cognos Disclosure Management This section describes the system requirements for COREP (Common Reporting), FINREP (Financial Reporting), AE (Asset Encumbrance), and FP (Funding Plans) in the IBM Cognos Disclosure Management Filing Plug-in, the terminology that is used, and the taxonomy version that is supported. Terminology This section describes terms that are related to COREP (Common Reporting), FINREP (Financial Reporting), AE (Asset Encumbrance), and FP (Funding Plans). CRD IV/CRR Capital Requirements Directive 4th version and Capital Requirements Regulations 4th version are the European specific implementation of the Basel III Accord and are extended to address other financial institutions by the EU. BASEL III The Basel III Accord that relates to Capital and Liquidity requirements for banks. COREP/FINREP/AE/FP Common Reporting and Financial Reporting together are the standards that realize CRD IV and CRR. The terms COREP, FINREP, AE, and FP are often used interchangeably. You can find more information at the following locations: CRD IV and CRR IV CRD IV and CRRIV (http://www.europarl.europa.eu/pdfs/news/expert/ background/20130412bkg07195/20130412bkg07195_en.pdf) CRD IV CRD IV (http://eur-lex.europa.eu/legal-content/en/txt/?uri=celex:52011pc0453) CRR IV CRR IV (http://eur-lex.europa.eu/legal-content/en/txt/?uri=celex:52011pc0452) Official Journal Official Journal (http://eur-lex.europa.eu/ JOHtml.do?uri=OJ:L:2013:176:SOM:EN:HTML) Basel III Basel III (http://en.wikipedia.org/wiki/basel_iii) Important: The preceding links are correct as of the publication date of this document. Minimum system requirements for COREP, FINREP, AE, and FP This section provides information about the system requirements that are needed for COREP, FINREP, AE, and FP in IBM Cognos Disclosure Management. Copyright IBM Corp. 2014 1
To process the COREP, FINREP, AE, and FP taxonomies from the European Banking Authority, the minimum requirement is Cognos Disclosure Management Version 10.2.3.1 (10.2 Refresh Pack 3, Fix Pack 1). Updates to the taxonomy set from the regulator might also require later Interim Fixes. 2 IBM Cognos Disclosure Management Version 10.2.3.1: COREP FINREP Technical Notes
Chapter 2. Taxonomy support Taxonomy support in this document includes the taxonomy location on the European Banking Authority website, the methodology that is used, and samples of valid and invalid instances. You can download the taxonomy package for COREP, FINREP, AE, and FP from the European Banking Authority (EBA) website at the following location: EBA publishes XBRL taxonomy for remittance of supervisory reporting by competent regulatory authorities (http://www.eba.europa.eu/regulation-andpolicy/supervisory-reporting/implementing-technical-standard-on-supervisoryreporting-data-point-model-). You can see the links on the right side of the screen. Important: The preceding link is correct as of the publication date of this document. Taxonomy version supported by IBM Cognos Disclosure Management for COREP and FINREP This section describes the versions of the COREP, FINREP, AE, and FP taxonomies that are supported by IBM Cognos Disclosure Management as of 31 October 2014. The taxonomy versions from the central regulator, the European Banking Authority (EBA), that are supported by Cognos Disclosure Management are Version 2.0.1 published 4 December 2013 (applicable as of March 2014), Version 2.1.0 published 15 July 2014 (applicable as of September 2014), and Version 2.2 published 18 August 2014 (applicable as of December 2014). Important: Do not use previous versions of the taxonomy, for example the version that was published in September 2013. IBM provides no support for these previous versions. Data Point Modelling methodology The taxonomy for COREP, FINREP, AE, and FP uses Data Point Modelling methodology for its creation. The reporting requirements were defined in terms of spreadsheet templates and the analysis of each cell that is to contain data determines the dimensionality of the cell. This analysis is used to create the various dimensional metadata in terms of an XBRL taxonomy. The model is delivered as a Microsoft Access database together with the supporting artifacts from which the XBRL taxonomy was generated. Both the taxonomy and the supporting artifacts are available from the website of the European Banking Authority (EBA). Copyright IBM Corp. 2014 3
4 IBM Cognos Disclosure Management Version 10.2.3.1: COREP FINREP Technical Notes
Chapter 3. Synopsis of rules in the Implementing Technical Standard The rules for what data should be reported, and the timing and method for reporting are described in a document that was published by the European Banking Authority (EBA). The document Implementing Technical Standard describes the rules for the data that should be reported and the timing and method for reporting. You can find helpful details on some of the contents of Implementing Technical Standard in this chapter. The document is published at the following location: Draft Implementing Technical Standards with regard to supervisory reporting of institutions (http://eur-lex.europa.eu/legal-content/en/txt/?uri=oj:jol_2014_191_r_0001) Important: The preceding link is correct as of the publication date of this document. Rules for individual disclosures in Implementing Technical Standard Reporting frequency Many disclosures are required under the Implementing Technical Standard (ITS). You can find instructions for disclosures on the ITS web page. Related concepts: Chapter 5, Filing packages, on page 11 You can obtain a filing package that enables you to set up the filing report that suits your NSA and EBA requirements. The rules that govern the reporting frequency for particular types of disclosure are established in ITS on the website of the European Banking Authority (EBA). The COREP module contains multiple templates with various frequencies, described in the following chapters: v v v v v Chapter 3 describes the format and frequency of reporting on own funds and own fund requirements, and financial information. Section 1 describes the format and frequency of reporting on own funds and own fund requirements. Section 2 describes the format and frequency of reporting on financial information on a consolidated basis. Chapter 4 describes the format and frequency of reporting on losses that stem from lending collateralised by immovable property. Chapter 5 describes the format and frequency of reporting on large exposures. Chapter 6 describes the format and frequency of reporting on leverage ratio. Chapter 7 describes the format and frequency of reporting on liquidity. For FINREP, the frequency varies from quarterly to semiannually to annually. Copyright IBM Corp. 2014 5
Forbearance and Non-performing exposures reporting is described in a separate draft ITS at the moment of writing. These templates are additional to the FINREP framework. The reporting frequencies can be found in the associated annexes: https://www.eba.europa.eu/documents/10180/449824/eba-its-2013-03+final+draft+its+on+forbearance+and+non-performing+exposures.pdf/ a55b9933-be43-4cae-b872-9184c90135b9 For AE, the frequency varies from quarterly to semiannually to annually. Read Chapter 7a article 16a of the Draft ITS (correct at the moment of writing):http://www.eba.europa.eu/documents/10180/466544/ EBA+ITS+2013+04+Final+draft+ITS+on+Asset+Encumbrance.pdf/0239d2fe-ff97-4cb4-af04-60eef4808e6f For Funding Plans, the frequency is described in the following document (correct at the moment of writing): http://www.eba.europa.eu/documents/10180/742799/ EBA-GL-2014-04+ %28Guidelines+on+Harmonised+Definitions+and+Templates+for+Funding+Plans %29.pdf/69a06e39-5f9c-4e7f-b240-2c66f09a83c5 EBA Taxonomies roadmap and reporting dates Remittance dates The road map and reporting dates is documented in detail under Supporting Documents\EBA_Taxonomies_Roadmap_2014-07.xlsx in this compressed file: XBRL Taxonony and Supporting Documents.2.2.zip Financial institutions submit their reports to their national competent authority (National Supervisory Authority or NSA) according to the following schedule. 1. Institutions must submit information to the competent authority (NSA) by close of business on the remittance dates described in the following table: Reporting type Monthly reporting Remittance dates 15 calendar days after the reporting reference day Quarterly reporting 12 May, 11 August, 11 November, 11 February Semi-annual reporting 11 August, 11 February Annual reporting 11 February 2. If the remittance day is a public holiday in the Member State of the competent authority to which the report is to be submitted, or a Saturday or Sunday, the data must be submitted the following working day. 3. If institutions submit their financial information using adjusted reporting reference dates that are based on their accounting year end, as described in Article 2 paragraph 3, then the remittance dates can also be adjusted accordingly. The same remittance period from the adjusted reporting reference date is maintained. 4. Institutions can submit unaudited figures. Where audited figures deviate from the submitted unaudited figures, the revised audited figures must be submitted without undue delay. Unaudited figures have not received an external auditor's opinion, whereas audited figures have been audited by an external auditor who has expressed an audit opinion. 6 IBM Cognos Disclosure Management Version 10.2.3.1: COREP FINREP Technical Notes
5. All other corrections to the submitted reports must be submitted to the competent authority without delay. National and regional differences Some national and regional differences exist regarding how National Supervisory Authorities (NSAs) require financial institutions to submit reports. The XBRL taxonomy that is published by the EBA is for the use of each NSA to submit data to the EBA. Some NSAs also choose to use the same taxonomy for financial institutions to report to them. Other NSAs require different submission mechanisms, for example SURFI for France and customized proprietary XML formats for Austria and Slovenia. Other NSAs indicate that they plan to extend the Data Point Model or taxonomy, for example, Spain and Germany. Important: Determine the correct format for your own situation from your own NSA. Do not assume that the taxonomy from the EBA can be used in all cases. Chapter 3. Synopsis of rules in the Implementing Technical Standard 7
8 IBM Cognos Disclosure Management Version 10.2.3.1: COREP FINREP Technical Notes
Chapter 4. Structure of the taxonomy The structure of the taxonomy is described in full in the various documents in the website of the European Banking Authority (EBA). The taxonomy structure is documented in detail in various documents organized by taxonomy version and framework release on the EBA website. The documents can be downloaded as a compressed file: General Documentation.zip (http://www.eba.europa.eu/documents/10180/ 781471/XBRL+Taxonomy+and+Supporting+Documents.2.2.0.0.zip/069c3bc2-a9e6-4c8d-a2ba-a02a3aeaaecf) Important: The preceding link is correct as of the publication date of this document. The following sections of this chapter describe some of the important concepts that are related to the structure of the taxonomy. Files required for complete definition of the taxonomy Main folder structure Three sets of files are required for the complete definition of the taxonomy. The three sets are produced by different parties: the EBA, the Eurofiling Group, and XBRL International. In the taxonomy package they are contained in the following subfolders: v EBA taxonomy files/www.eba.europa.eu v Other referenced XML files (for convenience)/www.eurofiling.info v Other referenced XML files (for convenience)/www.xbrl.org These files are local copies of information that can be found in the following locations: v European Banking Authority (http://www.eba.europa.eu) v Eurofiling Initiative (http://www.eurofiling.info) v XBRL (http://www.xbrl.org) This fact is documented in the catalog.xml files in the folders EBA taxonomy files and Other referenced XML files (for convenience). Some of these files might not have been placed on the web in their canonical location, and therefore they can be used only locally. Important: The preceding links are correct as of the publication date of this document. The main folder structure is in the root directory of the website of the European Banking Authority (EBA). The root directory of www.eba.europa.eu contains a series of empty folders: www.eba.europa.eu\eu\fr\xbrl\crr. Copyright IBM Corp. 2014 9
The crr folder contains the following subfolders: dict and fws. The content of the crr file is subject to change due to EBA taxonomy modifications. It might contain only an fws file. The dict folder contains the following subfolders: dom, met, and dim. v The dom folder contains one subfolder for each domain that forms part of the taxonomy, each identified by the two-character domain code. Each of these folders contains files that define the members of the domain in question and the hierarchies of those members. v The met folder contains the files that define the metrics, also referred to as primary items or concepts, and their hierarchies. v The dim folder contains files that define the dimensions in the model and, for each dimension, the relevant links to its associated domain. Each of the COREP, FINREP, AE, FP folders have an fws folder. Under each of these folders is one more sub-folder indicating the date of the ITS that governs the reporting (for example, its-2013-02). This structure allows for future expansion when new versions of the ITS are published. Under that is a folder indicating the release date of the specific version of the Data Point Model that the taxonomy represents. For example, for the July 2014 version, it is 2014-07-31. That folder is further divided into three subfolders: mod, tab, and val. v The mod folder contains the primary entry points or modules. v v The tab folder contains one subfolder for each table in the model in which are the relevant files pertaining specifically to that table or template. This structure is designed so that the.xsd file can be used as an entry point into the taxonomy pertaining specifically to that table and that table only. This can be loaded into a general purpose XBRL taxonomy viewing tool if you want to understand the specifics about that particular table (such as the hypercubes defined for it). The val folder contains all the formula linkbase files for the framework COREP or FINREP under which it lies. Each file name is similar to that of the table or tables that it relates to. For example, assetc_01.00_c_02.00_c_03.00.xml is the set of assertions that relate to tables or templates C 01.00, C 02.00 and C 03.00. Important: The preceding file names and links are correct as of the publication date of this document. Report types and entry points for COREP, FINREP, AE, and FP Rendering The entry points are automatically identified and used by IBM Cognos Disclosure Management based on the selected Framework and Report Type property of the Filing Report. Included in the taxonomy are the files that form the table linkbases to enable general-purpose XBRL tools to reconstitute tables that have similar layout to the original template. However, these files are not used by IBM Cognos Disclosure Management and are superfluous. Cognos Disclosure Management uses the actual Microsoft Excel templates that are provided by the regulator. 10 IBM Cognos Disclosure Management Version 10.2.3.1: COREP FINREP Technical Notes
Chapter 5. Filing packages You can obtain a filing package that enables you to set up the filing report that suits your NSA and EBA requirements. The filing packages that are obtained from IBM cover all types of templates. Closed templates A closed template is one whose size and shape are fixed and contains a known number of data points to be populated. Some closed templates are repeating in that they can be reproduced a known number of times depending on certain dimensional information, for example, the C 07.00.a series of templates. The certain dimensional information is carried in the Z axis of the template with specific combinations of dimensional members being specified. For example: v Approach for prudential purposes = Standardised Approach v Exposure class = Exposures to central governments or central banks v Counterparty sector = Central governments or central banks This information is available from the template C 07.00.a(002) in the file DPM Table Layout and Data Point Categorisation v2.2.xlsx provided by the EBA. This file already has these repeating templates unrolled so that every possible version is included. In general, there is a limited number of versions (fewer than 25) for each of these repeating closed templates. Open templates Some templates allow for the reporting of as many sets of information as are pertinent to the institution's business. This type of template is called an open template. There are two types of open templates, those that are open on the Y axis, and those that are open on the Z axis. The Y axis open templates are used where there is an unknown number of rows of information to be reported. Each row typically has one or more key values that are dimensionalized using typed dimensions. Thus, typically, the data that these templates represent are to be obtained from a (relational) database query (the data source can also be an OLAP or Excel database). In the July 2014 version of the templates, the following list contains Y axis open templates: C 06.02, C 08.02, C 10.02, C 14.00, C 27.00, C 28.00, C 29.00, C 30.00, C 31.00, F 40.01, and F 40.02 Templates provided by IBM The following tables contain the templates that are provided by IBM from the EBA Framework Release of 07/2014 (applicable as of December 2014). Table 1. COREP templates Template C 00.01 C 01.00 Description Nature of Report (COREP) Capital Adequacy - Own funds definition Copyright IBM Corp. 2014 11
Table 1. COREP templates (continued) C 02.00 Capital Adequacy - Risk Exposure Amounts C 03.00 Capital Adequacy - Ratios C 04.00 Capital Adequacy - Memorandum Items C 05.01 Capital Adequacy - Transitional provisions: Summary C 05.02 Capital Adequacy - Transitional provisions: Grandfathered instruments constituting State aid C 06.01 Group Solvency -Total C 06.02 Group Solvency C 07.00.a Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements C 07.00.b Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Of which: Arising from Counterparty Credit Risk C 07.00.c Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Memorandum items - Secured on Property C 07.00.d Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Memorandum items - in default C 08.01.a Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL C 08.01.b Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL - Of which arising from counterparty credit risk and off balance sheet C 08.01.c Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL (SMEs subject to supporting factor) C 08.01.d Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL - Of which arising from counterparty credit risk and off balance sheet (SMEs subject to supporting factor) C 08.02 Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - Breakdown of exposures assigned to obligor grades or pools by obligor grades C 09.01.a Geographical breakdown of exposures by residence of the obligor (SA exposures) C 09.01.b Geographical breakdown of exposures by residence of the obligor (SA exposures) - Exposures in default C 09.02 Geographical breakdown of exposures by residence of the obligor (IRB exposures) C 09.03 Breakdown of total own funds requirements for credit risk of relevant credit exposures by country C 10.01 Credit risk: Equity - IRB approaches to capital requirements - TOTAL C 10.02 Credit risk: Equity - IRB approaches to capital requirements - Breakdown of total exposures under the PD/LGD Approach by obligor grades C 11.00 Settlement/Delivery risk 12 IBM Cognos Disclosure Management Version 10.2.3.1: COREP FINREP Technical Notes
Table 1. COREP templates (continued) C 12.00 Credit risk: Securitisations - Standardised Approach to own funds requirements C 13.00 Credit risk: Securitisations - IRB Approach to own funds requirements C 14.00 Detailed information on securitisations C 15.00 Exposures and losses from lending collateralised immovable property C 16.00.a Operational risk - Excluding AMA C 16.00.b Operational risk - AMA C 17.00.a Operational risks: Gross losses by business lines and event types in the last year C 17.00.b Operational risks: Thresholds applied in data collections C 18.00 Market risk: Standardised Approach for traded debt instruments C 19.00 Market risk: Standardised Approach for specific risk in securitisations C 20.00 Market risk: Standardised Approach for specific risk in the correlation trading portfolio C 21.00 Market risk: Standardised Approach for position risk in equities C 22.00 Market risk: Standardised Approaches for foreign exchange risk C 23.00 Market risk: Standardised Approach for position risk in commodities C 24.00 Market risk: Internal models - Total C 25.00 CVA RISK C 26.00 Large exposures limits C 27.00 Identification of the counterparty C 28.00 Exposures in the non-trading and trading book C 29.00 Detail of the exposures to individual clients within groups of connected clients C 30.00 Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to 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 C 40.00 Alternative treatment of the Exposure Measure C 41.00 On- and off-balance sheet items additional breakdown of exposures C 42.00 Alternative definition of capital C 43.00.a Breakdown of leverage ratio exposure measure components: Off-balance sheet items, derivatives, SFTs, and trading book C 43.00.b Breakdown of leverage ratio exposure measure components: Other non-trading book exposures (SA) C 43.00.c Breakdown of leverage ratio exposure measure components: Other non-trading book exposures (IRB) Chapter 5. Filing packages 13
Table 1. COREP templates (continued) C 44.00 General information C 45.00.a Leverage ratio calculation C 45.00.b Leverage ratio calculation - average C 46.00.a Entities that are consolidated for accounting purposes but are not within the prudential scope of consolidation (I) C 46.00.b Entities that are consolidated for accounting purposes but are not within the prudential scope of consolidation (II) C 46.00.c Entities that are consolidated for accounting purposes but are not within the prudential scope of consolidation (III) C 51.00.a Liquidity Coverage. Liquid assets (I). Total C 51.00.b Liquidity Coverage. Liquid assets (II). Total C 51.00.w Liquidity Coverage. Liquid assets (I). Significant currencies C 51.00.x Liquidity Coverage. Liquid assets (II). Significant currencies C 52.00.a Liquidity Coverage. Outflows (I). Total C 52.00.b Liquidity Coverage. Outflows (II). Total C 52.00.c Liquidity Coverage. Outflows (III). Total C 52.00.d Liquidity Coverage. Outflows (IV). Total C 52.00.w Liquidity Coverage. Outflows (I). Significant currencies C 52.00.x Liquidity Coverage. Outflows (II). Significant currencies C 52.00.y Liquidity Coverage. Outflows (III). Significant currencies C 52.00.z Liquidity Coverage. Outflows (IV). Significant currencies C 53.00.a Liquidity Coverage. Inflows (I). Total C 53.00.b Liquidity Coverage. Inflows (II). Total C 53.00.c Liquidity Coverage. Inflows (III). Total C 53.00.w Liquidity Coverage. Inflows (I). Significant currencies C 53.00.x Liquidity Coverage. Inflows (II). Significant currencies C 53.00.y Liquidity Coverage. Inflows (III). Significant currencies C 54.00.a Liquidity Coverage. Collateral swaps. Total C 54.00.w Liquidity Coverage. Collateral swaps. Significant currencies C 60.00.a Stable funding. Items requiring stable funding (I). Total C 60.00.b Stable funding. Items requiring stable funding (II). Total C 60.00.w Stable funding. Items requiring stable funding (I). Significant currencies C 60.00.x Stable funding. Items requiring stable funding (II). Significant currencies C 61.00.a Stable funding. Items providing stable funding (I). Total C 61.00.b Stable funding. Items providing stable funding (II). Total C 61.00.w Stable funding. Items providing stable funding (I). Significant currencies C 61.00.x Stable funding. Items providing stable funding (II). Significant currencies 14 IBM Cognos Disclosure Management Version 10.2.3.1: COREP FINREP Technical Notes
Table 2. FINREP templates Template Description F 00.01 Nature of Report (FINREP) F 01.01 Balance Sheet Statement [Statement of Financial Position]: Assets F 01.02 Balance Sheet Statement [Statement of Financial Position]: Liabilities F 01.03 Balance Sheet Statement [Statement of Financial Position]: Equity F 02.00 Statement of profit or loss F 03.00 Statement of comprehensive income F 04.01 Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading F 04.02 Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss F 04.03 Breakdown of financial assets by instrument and by counterparty sector: available-for-sale financial assets F 04.04 Breakdown of financial assets by instrument and by counterparty sector: loans and receivables and held-to-maturity investments F 04.05 Subordinated financial assets F 04.06 Breakdown of financial assets by instrument and by counterparty sector: trading financial assets F 04.07 Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value through profit or loss F 04.08 Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value to equity F 04.09 Breakdown of financial assets by instrument and by counterparty sector: non-trading debt instruments measured at a cost-based method F 04.10 Breakdown of financial assets by instrument and by counterparty sector: other non-trading non-derivative financial assets F 05.00 Breakdown of loans and advances by product F 06.00 Breakdown of loans and advances to non-financial corporations by NACE codes F 07.00 Financial assets subject to impairment that are past due or impaired F 08.01.a Breakdown of financial liabilities by product and by counterparty (a) F 08.01.b Breakdown of financial liabilities by product and by counterparty (b) F 08.02 Subordinated liabilities F 09.01 Off-balance sheet items subject to credit risk: Loan commitments, financial guarantees, and other commitments given Chapter 5. Filing packages 15
Table 2. FINREP templates (continued) F 09.02 Loan commitments, financial guarantees, and other commitments received F 10.00 Derivatives: Trading F 11.01 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge F 11.02 Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk F 12.00 Movements in allowances for credit losses and impairment of equity instruments F 13.01 Breakdown of loans and advances by collateral and guarantees F 13.02 Collateral obtained by taking possession during the period (held at the reporting date) F 13.03 Collateral obtained by taking possession [tangible assets] accumulated F 14.00 Fair value hierarchy: financial instruments at fair value F 15.00.a Financial assets pledged as collateral: derecognition and financial liabilities associated with transferred financial assets (a) F 15.00.b Financial assets pledged as collateral: derecognition and financial liabilities associated with transferred financial assets (b) F 16.01.a Interest income and expenses by instrument and counterparty (a) F 16.01.b Interest income and expenses by instrument and counterparty (b) F 16.02 Realised gains and losses on financial assets and liabilities not measured at fair value through profit or loss by instrument F 16.03 Gains and losses on financial assets and liabilities held for trading by instrument F 16.04 Gains and losses on financial assets and liabilities held for trading by risk F 16.05 Gains and losses on financial assets and liabilities designated at fair value through profit or loss by instrument F 16.06 Gains and losses from hedge accounting F 16.07.a Impairment on financial and non-financial assets (a) F 16.07.b Impairment on financial and non-financial assets (b) F 17.01 Reconciliation between IFRS and CRR scope of consolidation: Assets F 17.02 Reconciliation between IFRS and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees, and other commitments given F 17.03 Reconciliation between IFRS and CRR scope of consolidation: Liabilities F 18.00.a Information on performing and non-performing exposures (I) 16 IBM Cognos Disclosure Management Version 10.2.3.1: COREP FINREP Technical Notes
Table 2. FINREP templates (continued) F 18.00.b Information on performing and non-performing exposures (II) F 18.00.c Information on performing and non-performing exposures (III) F 19.00.a Information forborn exposures (I) F 19.00.b Information forborn exposures (II) F 19.00.c Information forborn exposures (III) F 20.01 Geographical breakdown of assets by location of the activities F 20.02 Geographical breakdown of liabilities by location of the activities F 20.03 Geographical breakdown of main income statement items by location of the activities F 20.04 Geographical breakdown of assets by residence of the counterparty F 20.05.a Geographical breakdown of off-balance sheet items subject to credit risk by residence of the counterparty (a) F 20.05.b Geographical breakdown of off-balance sheet items subject to credit risk by residence of the counterparty (b) F 20.06 Geographical breakdown of liabilities by residence of the counterparty F 20.07 Geographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes F 21.00 Tangible and intangible assets: assets subject to operating lease F 22.01 Fee and commission income and expenses by activity F 22.02 Assets involved in the services provided F 30.01 Interests in unconsolidated structured entities F 30.02 Breakdown of interests in unconsolidated structured entities by nature of the activities F 31.01 Related parties: amounts payable to and amounts receivable from F 31.02 Related parties: expenses and income generated by transactions with F 40.01 Scope of the group: entity-by-entity F 40.02 Scope of the group: "instrument-by-instrument" F 41.01 Fair value hierarchy: financial instruments at amortised cost F 41.02 Use of the Fair Value Option F 41.03 Hybrid financial instruments not designated at fair value through profit or loss F 42.00 Tangible and intangible assets: carrying amount F 43.00 Provisions F 44.01 Components of net defined benefit plan assets and liabilities F 44.02 Movements in defined benefit plans and employee benefits F 44.03 Memo items [related to staff expenses] Chapter 5. Filing packages 17
Table 2. FINREP templates (continued) F 45.01 Gains and losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio F 45.02 Gains and losses on derecognition of non-financial assets other than held for sale F 45.03 Other operating income and expenses F 46.00 Statement of changes in equity Table 3. AE templates Template Description A 00.01 Nature of Report (AE) F 32.01 Asset encumbrance: Encumbrance overview - Assets F 32.02.a Asset encumbrance: Encumbrance overview - Collateral (a) F 32.02.b Asset encumbrance: Encumbrance overview - Collateral (b) F 32.03.a Asset encumbrance: Not pledged. Own covered bonds and ABS issued and not yet pledged (a) F 32.03.b Asset encumbrance: Not pledged. Own covered bonds and ABS issued and not yet pledged (b) F 32.04.a Asset encumbrance: Sources of encumbrance (a) F 32.04.b Asset encumbrance: Sources of encumbrance (b) F 33.00.a Asset encumbrance: Maturity data (a) F 33.00.b Asset encumbrance: Maturity data (b) F 34.00.a Asset encumbrance: Contingent encumbrance (a) F 34.00.b Asset encumbrance: Contingent encumbrance (b) F 34.00.c Asset encumbrance: Contingent encumbrance (c) F 35.00.a Asset encumbrance: Covered bonds issuance (a) F 35.00.b Asset encumbrance: Covered bonds issuance (b) F 35.00.c Asset encumbrance: Covered bonds issuance (c) F 35.00.d Asset encumbrance: Covered bonds issuance (d) F 36.01.a Asset encumbrance: Advance template for assets of the reporting institution (a) F 36.01.b Asset encumbrance: Advance template for assets of the reporting institution (b) F 36.01.c Asset encumbrance: Advance template for assets of the reporting institution (c) F 36.02.a Asset encumbrance: Advance template for collateral and own debt securities issued other than covered bonds or ABSs (a) F 36.02.b Asset encumbrance: Advance template for collateral and own debt securities issued other than covered bonds or ABSs (b) F 36.02.c Asset encumbrance: Advance template for collateral and own debt securities issued other than covered bonds or ABSs (c) 18 IBM Cognos Disclosure Management Version 10.2.3.1: COREP FINREP Technical Notes
Table 4. FP templates Template P 00.01 P 01.01 P 01.02 P 01.03 P 02.01 P 02.02 P 02.03 P 02.04 P 02.05 P 02.06 P 02.07 P 02.08 P 03.00 Description Nature of Report (FP) Assets Liabilities Forecast of Liquidity Ratios Insured and uninsured deposits and uninsured deposit-like financial instruments Public sector sources of funding Innovative funding structures Pricing: Loan Assets Pricing: Deposit Liabilities Structural currency mismatches Loan Assets Acquisitions, Run-Offs, and Disposals Plans Deposit Liabilities Acquisition and Disposal Plans Consolidation perimeter Repeating templates Filing indicators Important: The filing packages that are available from IBM apply only for EBA Standard Reporting. If your local regulator made modifications to these templates or requires more disclosures from institutions that file to them, contact your IBM representative to obtain an updated Filing Package. Related concepts: QName tagging and lookup lists on page 21 You can use QNametemType to refer to values of facts, and you can use a lookup list to simplify data entry for those values. Rules for individual disclosures in Implementing Technical Standard on page 5 Many disclosures are required under the Implementing Technical Standard (ITS). You can find instructions for disclosures on the ITS web page. Some templates are repeating templates. In a repeating template, there can be more than one copy of the template, depending on a dimensional item that is on the Z-axis. For example, there might be one copy of a template for each country of residence of a counterparty that is required for COREP reporting. Removing or Adding repeating templates can be done through the Add form wizard from within the report context or from the initial Filing Report setup wizard. Filing Indicators are automatically identified and generated based on the Reference Date, Frequency and Report Content. Any form that is found within the current Report Context will be considered as intended to be reported. Chapter 5. Filing packages 19
20 IBM Cognos Disclosure Management Version 10.2.3.1: COREP FINREP Technical Notes
Chapter 6. Additional information Reference dates This chapter contains additional information about COREP and FINREP in IBM Cognos Disclosure Management. A reference date in COREP/FINREP filings means that any instance document has only one time period, which is an instant (not a duration). That date is the reference date. The reference date is the date for which the filing is being produced. QName tagging and lookup lists You can use QNametemType to refer to values of facts, and you can use a lookup list to simplify data entry for those values. For example, to report AFGHANISTAN as the value of a fact, you must provide the value as eba_ga:af, where the member AF has the label AFGHANISTAN in the domain GA. Tip: Create a list of members and corresponding labels and domain (using the Microsoft Excel VLOOKUP function) to simplify data entry for these values. This information was also extracted into an Excel workbook by IBM, which you might find to be a more convenient format. The workbook is available from the same source as the pretagged templates. The DPM as expressed in the Access database file that is provided by the EBA can be used to create such lists. When you run the following query in that database, a table with the necessary information is produced. SELECT Table.OriginalTableCode AS [Template Code], Table.OriginalTableLabel AS [Template Name], Axis.AxisOrientation, AxisOrdinate.OrdinateCode AS [Row or Col Number], AxisOrdinate.OrdinateLabel AS [Row or Col Label], Member.MemberLabel AS [XBRL Concept Name], Member.MemberXbrlCode AS [XBRL Concept QName], Member_1.MemberXbrlCode AS [XBRL Value QName], Member_1.MemberLabel AS [XBRL Value Label] FROM (([Table] INNER JOIN TableVersion ON Table.TableID = TableVersion.TableID) INNER JOIN ((Member INNER JOIN ([Domain] INNER JOIN (DataType INNER JOIN Metric ON DataType.DataTypeID = Metric.DataTypeID) ON Domain.DomainID = Metric.CodeDomainID) ON Member.MemberID = Metric.MetricID) INNER JOIN ((Axis INNER JOIN AxisOrdinate ON Axis.AxisID = AxisOrdinate.AxisID) INNER JOIN OrdinateCategorisation ON AxisOrdinate.OrdinateID = OrdinateCategorisation.OrdinateID) ON Member.MemberID = OrdinateCategorisation.MemberID) ON TableVersion.TableVID = Axis.TableVID) INNER JOIN Member AS Member_1 ON Domain.DomainID = Member_1.DomainID WHERE (((DataType.DataTypeCode)="e")) ORDER BY Table.OriginalTableCode, AxisOrdinate.OrdinateCode, Member_1.MemberXbrlCode; Related concepts: Copyright IBM Corp. 2014 21
Further information Chapter 5, Filing packages, on page 11 You can obtain a filing package that enables you to set up the filing report that suits your NSA and EBA requirements. Customers and partners are invited to join a user group that is devoted to sharing experiences in IBM Cognos Disclosure Management. You can find a forum that contains a section that is specifically devoted to these mandates at this location: (https://www-304.ibm.com/connections/communities/community/ IBMCDMUserGroup) To subscribe, send an email to one of the following forum administrators: v Hugh Wallis at hugh.wallis@ca.ibm.com v Ted Potma at tpotma@ca.ibm.com v Debra Pesek at dpesek@us.ibm.com Important: The preceding links and email addresses are correct as of the publication date of this document. 22 IBM Cognos Disclosure Management Version 10.2.3.1: COREP FINREP Technical Notes
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26 IBM Cognos Disclosure Management Version 10.2.3.1: COREP FINREP Technical Notes
Index E EBA taxonomies 6 R reporting dates 6 roadmap 6 Copyright IBM Corp. 2014 27