How to support COREP/FINREP
This topic provides an overview of IBM Banking and Financial Markets Data Warehouse (BFMDW) support for COREP/FINREP.
The full document is available to licensed customers and can be downloaded from the IBM Software Support Portal.
This document describes a method for using BFMDW to isolate and design the supporting structures to report a series of COREP/FINREP templates. This document also describes the IGC vocabulary support for enterprise terms corresponding to the COREP/FINREP templates. This document uses COREP C 60.00.a as an example template while also describe the methodology for design new supporting constructs for further COREP/FINREP templates.
1 Overview of COREP/FINREP Templates and the EBA Data Point Model (DPM)
The European Banking Authority (EBA) introduced the Capital Requirements Directive IV (CRD IV) with an aim to ensure financial transparency across the European Economic Area (EEA). The directive cover banks, building societies and investment firms. The CRD IV regulation is supported by two reporting guidelines namely COREP (Common Reporting) and FINREP (Financial Reporting). COREP - COmmon REPorting aims to increase transparency in regulatory reporting by increasing the granularity of data requirements. It applies to all credit institutions and investment firms operating in the EEA. The regulation requires these firms to follow the below mentioned five reporting templates for capital adequacy and capital requirements:
- Capital Adequacy
- Credit and Counterparty Credit Risk
- Group Solvency
- Market Risk
- Operational Risk
- Primary Statements (Balance Sheet and Income Statement)
- Primary Statements (Comprehensive Income and Equity)
- Disclosure of financial assets and liabilities
- Financial asset disclosures and off balance sheet activities
- Financial asset disclosures and off balance sheet activities and non-financial instrument disclosures
The European Banking Authority (EBA) published the Implementing Technical Standards (ITS) for harmonizing supervisory reporting across member states. It aims to provide a consistent, repeatable, standardized method for information sharing. It specifies the format, frequency, dates, definitions and IT solutions to be applied by credit institutions and investment firms in Europe on both an individual and consolidated level. "These ITS will cover reporting of own-funds and capital requirements (currently under the COREP Guidelines), reporting of financial information (currently under the FINREP Guidelines), reporting on large exposures (currently under the COREP Large Exposures Guidelines), reporting on leverage and reporting on liquidity and stable funding. They will be complemented by other specific reporting templates introduced by the Capital Requirements Regulation (asset encumbrance, forbearance and non-performing exposures)." (Implementing Technical Standards on Supervisory Reporting eba.europa.eu)
As part of the support for the uniform implementation of the ITS, the data items included in the ITS were translated into a Data Point Model (DPM). The DPM is a structured representation of the data, identifying all the business concepts and its relations, as well as validation rules. The DPM works on the principle of distinct data points which is the identification of distinct common sets of information used in a cell. The DPM is a normalized form of the content in the COREP, FINREP, etc. reports. These Data Points can be further decomposed into non-context specific dimensions, members and metrics.
Overview of BFMDW approach
- Interpret and load the core DPM elements into a BFMDW Supportive Content category so a representation of the external DPM model can be used as a source for identifying a template scope and a mapping reference for the BFMDW enterprise terms and models. The DPM provides a normalized reference for COREP/FINREP and therefore a more consistent mapping point for BFMDW. The DPM in IGC contains the relationships between the dimensional coordinates and the COREP/FINREP templates so IGC queries can be used to segment the extensive contents in the DPM to a specific template or area of interest.
- For a given template, identify the distinct dimensional coordinates and metrics required. The BFMDW solution focuses on the dimensions and members which are used to define the dimensional coordinates which are the foundation from which the individual data points and resulting COREP/FINREP data cells are populated.
- For the dimensional coordinates, segregate them by the BFMDW 9 data concepts they describe – this allows for a more accurate placement of support within the models.
- Business Terms: - For the Business Vocabulary, based on the DPM dimension and member description, identify if it is of meaningful interest to the business and should be described in the enterprise business vocabulary in IGC. Then choose the right position in the BFMDW Business Term hierarchy (based on what it describes), add the term then map it back to its corresponding DPM dimensional equivalent for traceability.
- Atomic Warehouse Model: - As the Atomic Warehouse Model is an entity-relationship data warehouse design model based on the 9 data concepts, the positioning of the dimensional term in the Business Terms hierarchy will allow for the identification of the location to create the entity or attribute level support. Most of the DPM dimensions describe or classify the 9 data concepts so are mostly created as Classification entities that are then related to the corresponding fundamental concept. In IDA, these new classifications entities should be added in the correct concept classification hierarchy and then related to the entity they describe. The Classification entity can then be described with a complete description and a meaningful consistent key migrated to all the constructs that use it within the data-warehouse. Add the most granular form, the Accounting Unit area of the BFMDW is flexible enough to capture the DPM metrics and relate them to any concept required. Additionally, Summary level structures can be created to gather the Accounting Unit information together for each concept whose classifications and characteristics match the dimensional coordinates required for the COREP/FINREP template. These Summary entities reuse the Classifications created in the granular support. Each of the entities, attributes and summaries containing descriptive information about the DPM coordinates can be mapped back to both the DPM model represented in IGC and the BFMDW Business Terms that describe the enterprise vocabulary terms. This provides traceability from the DPM to the core Atomic Warehouse Model elements required to implement the support.
- Dimensional Warehouse Model: - As the Dimensional Warehouse Model is a star schema based model with dimensions corresponding to the same 9 data concept classifications in the Business Terms, the positioning of the DPM dimensional term support can be used to identify the dimensions and mini dimensions where additional classification support can be created. Typically, the DPM dimensions are supported as attributes in mini dimensions. The concept of the underlying assets is supported by the dimension. The classification detail of those concepts is supported in the mini dimension and both can be joined on facts to describe the set of metrics applicable to the combination of characteristics at a point in time. Each of the dimensions, mini dimension, facts and attributes containing descriptive information about the DPM coordinates can be mapped back to both the DPM model represented in IGC and the BFMDW Business Terms that describe the enterprise vocabulary terms. This provides traceability from the DPM to the core DWM elements required to implement the support.