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Comprehensive Guide to Data Point Model (DPM) for COREP Reporting

Dive into the intricacies of the Data Point Model (DPM) for COREP reporting, including the base, dimensions, and core elements crucial for accurate financial data representation. Understand the main categories, family of dimensions, and classification criteria to enhance your reporting efficiency. Uncover detailed insights on amount types, portfolios, risk types, exposure classes, and more, to streamline your COREP reporting process effectively.

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Comprehensive Guide to Data Point Model (DPM) for COREP Reporting

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  1. INTRODUCTION •  ‘Data point model (DPM)’ - It is a systematic representation of the data of a reporting framework. - It represents every single data (cell) of the reporting tables using the values of the “Base” and “Dimensions” that characterize them. [See next slide] - It does not add or delete any of the cells of the tables. These are simple presentations of several data points. - It facilitates the development of any IT Taxonomy. •  Initial purpose of a DPM for COREP - To have a “Base” and “Dimensions” that are consistent from a conceptual (prudential) point of view and easily understandable from the business side. - To use the same approach already used for CEBS: • The number of dimensions should be the strictly necessary. • To use thesamedomains/dimensions as in FINREP DPM whentheyrefertothesameconcepts.

  2. IDENTIFICATION OF A DATA POINT (CELL) • A data point (cell) isrepresentedusingthevalues of the “Base” and “Dimensions” thatcharacterizeit. • Thesame data pointisdefinedonly once, regardlesswhetheritisincludedornot in more thanonetable.

  3. COREP: BASE • BASE  Basic meaning (nature) of every data point from a supervisory point of view • - Own funds for solvency purposes [CA] • - Capital requirements • - Credit risk and settlement/delivery risk [GS] • Credit risk (Credit, counterparty credit and dilution risks and free delivery) [CA, CR] • Settlement/delivery risk [CA, CR TB SETT] • - Market risk (Position, foreign exchange and commodities risks ) [CA, MKR] • - Operational risk [CA, OPR] • - Fixed overheads [CA] • - Other and transitional capital requirements [CA] • - Memorandum items [CA]

  4. COREP: FAMILY OF DIMENSIONS • Rest of Family of Dimensions • - Creditriskmitigation/(Collateral/guarantees) • - Currency • - Geographicalarea • - Impaired / Unimpaired • - Percentageinterval • - Securitization • - Time interval Key Family of dimensions - Maincategory • - Amounttype For capital requirementsalso: - Portfolio - Approachto capital requirements • - Exposureclasses(forcreditrisk) • - Risktype(formarketrisk)

  5. COREP: MAIN CATEGORY • MAIN CATEGORY indicatesthespecificmeaning of the data. • CLASSIFICATION CRITERIA  By- (detailed) nature of the data • DIMENSIONS: - Own funds for solvency purposes [CA, GS]: Total own funds, Original own funds, Eligible Capital,… - Contribution to own funds [GS]: Total, of which. … - Capital requirements [CA]: Total, of which: Investment firms under article … - Type of exposure [CR and MKR]: Total exposures, On balance sheet items, Off balance sheet items,… - Operational risk [Business lines] [OPR and OPR Details]: Corporate finance, Trading and sales,... - Operational risk [Event types - losses] [OPR Details]: Internal fraud, External fraud, … - Operational risk [Threshold applied in data collection] [OPR]: Lowest, Highest - Other and transitional capital requirements [CA]: Complements to overall floor for capital requirements,… - Assets [OPR]: Loans and advances - Comprehensive income [OPR]: Gross income - Contribution to own funds [GS]: Total, of which: … - Memorandum items [CA]: IRB provision excess (+) / shortfall (-), Solvency ratio (%), …

  6. COREP: AMOUNT TYPE • AMOUNT TYPE identifies the class of amount reported for the main category of the data. • Examples of amount types for: • - Own funds for solvency purposes [CA]: Outstanding • - Capital requirements [CA]: Capital requirements • - Memorandum items [CA]: Outstanding,Percentage (%) • - Credit risk [CR] : Original exposure pre conversion factors, Value adjustments and provisions, • Capital requirements, PD (%), ... • Settlement / Delivery risk [CR TB SETT] : Capital requirements, Settlement price, … • - Market risk [MKR]: Capital requirements, All position (long, short), Net positions, Previous day VaR, … • - Operational risk [OPR Details]: Capital requirements, Number of events, Total (gross) loss, … • - Contribution to own funds [GS]: Contribution

  7. COREP: PORFOLIO AND APPROACH • PORTFOLIO • - Prudential portfolios: Allbooks, Bankingbook, Trading book • Approachto capital requirements • - Creditrisk [CR] : SA, SEC SA (Rated, Unrated), IRB (non ownestimates, ownestimates), SEC IRB • - Marketrisk [MKR]: SA (General risk, Specificrisk, …), IM (GR, SR) • - Operationalrisk [OPR]: BIA, TSA, ASA, AMA • - IRB approaches for credit risk [CR IRB]: Exposures assigned to obligor grades or pools, …

  8. COREP: EXPOSURE CLASSES AND RISK TYPE • EXPOSURE CLASSES • - Standardised approach (CR SA Total): Central Governments or central banks, … • - Standardised approach (CR SA Details): General Government, Institutions, Corporates, Retail [Thisdimensioncouldbenecessaryifthedefinitions of themembers are widerthan in CR Total] • - IRB approach [CR IRB]: Central Governments and central banks, … • - Assessmentby a nominated ECAI [CR SA]: Withoutcreditassessment • Risk type • - Market risk types (MKR): Traded Debt Instruments, Equities, Foreign Exchange, Commodities

  9. COREP: REST OF DOMAINS (DOM) (1/2) • Collateral/Guarantees (credit risk mitigation) • - Credit Risk Mitigation (Type of credit protection) [CR]: Unfunded credit protection (guarantees/credit derivatives), Funded credit protection (financial collateral, …) • - Credit Risk Mitigation [Method applied] [CR]: Substitution effect, Comprehensive method, … • Currency • - Currency of the instrument [MKR TDI/FX]: ISO code (4217) • - Currency positions [MKR SA FX]: Currency 1, 2, …,10 • Geographical area • - Country code [CR IRB and MKR SA EQU]: ISO code (3166-2) • - Country of origin of exposures assigned to obligor grades or pools [CR IRB]: Country with most exposures, … • - National market of equity instruments [CR EQU IRB]: ISO code (3166-2) • Impaired/Unimpaired. • - Default for prudential purposes [CR IRB]: Non - defaulted exposures • - Transactions unsettled [CR TB SETT]: Up to 4 days (Factor 0%), …

  10. COREP: REST OF DOMAINS (DOM) (2/2) • Percentage interval • Risk weights [CR SA]: 0%, 10%, … • Risk weights [CR IRB: Specialized lending slotting criteria]: 0%, 50%, … • Risk weight (CR EQU IRB: Simple risk weight): 190%, … • Conversion factors of off-balance sheet items [CR SA]: 0%, 20%, … • Conversion factors of off-balance sheet items [CR SEC SA/IRB]: 0%, > 0% and ≤ 20%, … • Securitization [CR SEC] • Securitizationtype: Traditional, Synthetic • Securitisation: Securitisedexposures, Securitisationexposuresoriginated, Securitization position,… • Tranche: Senior, Mezzanine, Firstloss • Roll of the reporting institution: Originator, Sponsor, Investor • Originators and sponsors involvement: Entities not complying with the retention requirement • Early amortization provisions: Early amortization • Rated (credit quality steps)[at inception] [CR SA]: CQS 1, … • Rated (amount quality steps)[at reporting date] [CR SA]: CQS 1, … • Rating based approach [at inception] [CR IRB]:CQS 1 & S/T CQS 1, … • Rating based approach [at reporting date] [CR IRB]:CQS 1 & S/T CQS 1, ... • Time interval • Remaining maturity [MKR SA TDI]: 0 ≤ 1 months, > 1 ≤ 3 months, ... • Modified duration [MKR SA TDI: Duration based approach]: Zone 1 [≤ 1 year], … • Financial year [OPR]: Year – 3, Year – 2, Last year

  11. EXAMPLE 1. Simplified CA Table

  12. EXAMPLE 2. Simplified CR SA Total table (I)

  13. EXAMPLE 2. Simplified CR SA Total table (II)

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