How to support COREP/FINREP - IBM

COREP - COmmon REPorting aims to increase transparency in regulatory reporting by increasing the granularity of data requirements. It applies to all credit ... HowtosupportCOREP/FINREP ThistopicprovidesanoverviewofIBMBankingandFinancial MarketsDataWarehouse(BFMDW) supportforCOREP/FINREP. Thefulldocumentisavailabletolicensedcustomersandcanbe downloadedfromtheIBM SoftwareSupportPortal. ThisdocumentdescribesamethodforusingBFMDWto isolateanddesignthesupportingstructurestoreportaseriesof COREP/FINREPtemplates.ThisdocumentalsodescribestheIGCvocabulary supportforenterprisetermscorrespondingtotheCOREP/FINREPtemplates. ThisdocumentusesCOREPC60.00.aasanexampletemplatewhilealso describethemethodologyfordesignnewsupportingconstructsfor furtherCOREP/FINREPtemplates. 1OverviewofCOREP/FINREPTemplatesandtheEBADataPointModel(DPM) TheEuropeanBankingAuthority(EBA)introducedtheCapitalRequirementsDirectiveIV(CRDIV) withanaimtoensurefinancialtransparencyacrosstheEuropeanEconomicArea(EEA).Thedirective coverbanks,buildingsocietiesandinvestmentfirms.TheCRDIVregulationissupportedbytwo reportingguidelinesnamelyCOREP(CommonReporting)andFINREP(FinancialReporting).COREP- COmmonREPortingaimstoincreasetransparencyinregulatoryreportingbyincreasingthegranularity ofdatarequirements.Itappliestoallcreditinstitutionsandinvestmentfirmsoperatinginthe EEA.Theregulationrequiresthesefirmstofollowthebelowmentionedfivereportingtemplatesfor capitaladequacyandcapitalrequirements: CapitalAdequacy CreditandCounterpartyCreditRisk GroupSolvency MarketRisk OperationalRisk ThesereportshavetobefiledmonthlyandquarterlywiththeNationalSupervisory Authority.FINREP-FINancialREPortingintendstostepuptheharmonizationandconvergencein supervisoryreportingrequirement.Itwillapplytoallcreditinstitutionsthatconsolidatetheir financialreportsbasedonIFRS.ThetemplatescoveredunderFINREPinclude:PrimaryStatements(BalanceSheetandIncomeStatement) PrimaryStatements(ComprehensiveIncomeandEquity) Disclosureoffinancialassetsandliabilities Financialassetdisclosuresandoffbalancesheetactivities Financialassetdisclosuresandoffbalancesheetactivitiesandnon-financialinstrument disclosures Thedirectiveintendstocoverbanks,buildingsocietiesandinvestmentfirms.Mostofthe ruleshavebeeninplacefrom1January2014.TheCRDIVregulationcomprisesoftworeportsnamely COREP(CommonReporting)andFINREP(FinancialReporting). TheEuropeanBankingAuthority (EBA)publishedtheImplementingTechnicalStandards(ITS)forharmonizingsupervisoryreporting acrossmemberstates.Itaimstoprovideaconsistent,repeatable,standardizedmethodfor informationsharing.Itspecifiestheformat,frequency,dates,definitionsandITsolutionstobe appliedbycreditinstitutionsandinvestmentfirmsinEuropeonbothanindividualandconsolidated level."TheseITSwillcoverreportingofown-fundsandcapitalrequirements(currentlyunderthe COREPGuidelines),reportingoffinancialinformation(currentlyundertheFINREPGuidelines), reportingonlargeexposures(currentlyundertheCOREPLargeExposuresGuidelines),reportingon leverageandreportingonliquidityandstablefunding.Theywillbecomplementedbyotherspecific reportingtemplatesintroducedbytheCapitalRequirementsRegulation(assetencumbrance, forbearanceandnon-performingexposures)."(ImplementingTechnicalStandardsonSupervisory Reportingeba.europa.eu) AspartofthesupportfortheuniformimplementationoftheITS,the dataitemsincludedintheITSweretranslatedintoaDataPointModel(DPM).TheDPMisa structuredrepresentationofthedata,identifyingallthebusinessconceptsanditsrelations,as wellasvalidationrules.TheDPMworksontheprincipleofdistinctdatapointswhichisthe identificationofdistinctcommonsetsofinformationusedinacell.TheDPMisanormalizedform ofthecontentintheCOREP,FINREP,etc.reports.TheseDataPointscanbefurtherdecomposedinto non-contextspecificdimensions,membersandmetrics. OverviewofBFMDWapproach TheBFMDWapproach canbesummarisedbythefollowingsteps:InterpretandloadthecoreDPMelementsintoaBFMDWSupportive ContentcategorysoarepresentationoftheexternalDPMmodelcan beusedasasourceforidentifyingatemplatescopeandamapping referencefortheBFMDWenterprise termsandmodels.TheDPMprovidesanormalizedreferenceforCOREP/FINREP andthereforeamoreconsistentmappingpointforBFMDW. TheDPMinIGCcontainstherelationshipsbetweenthedimensional coordinatesandtheCOREP/FINREPtemplatessoIGCqueriescanbeused tosegmenttheextensivecontentsintheDPMtoaspecifictemplate orareaofinterest. Foragiventemplate,identifythedistinctdimensionalcoordinates andmetricsrequired.TheBFMDWsolution focusesonthedimensionsandmemberswhichareusedtodefinethe dimensionalcoordinateswhicharethefoundationfromwhichtheindividual datapointsandresultingCOREP/FINREPdatacellsarepopulated. Forthedimensionalcoordinates,segregatethembytheBFMDW9 dataconceptstheydescribe–thisallowsforamoreaccurate placementofsupportwithinthemodels. BusinessTerms:-FortheBusinessVocabulary,basedontheDPM dimensionandmemberdescription,identifyifitisofmeaningful interesttothebusinessandshouldbedescribedintheenterprise businessvocabularyinIGC.ThenchoosetherightpositionintheBFMDWBusiness Termhierarchy(basedonwhatitdescribes),addthetermthenmap itbacktoitscorrespondingDPMdimensionalequivalentfortraceability. AtomicWarehouseModel:-AstheAtomicWarehouseModelisan entity-relationshipdatawarehousedesignmodelbasedonthe9data concepts,thepositioningofthedimensionaltermintheBusiness Termshierarchywillallowfortheidentificationofthelocation tocreatetheentityorattributelevelsupport.MostoftheDPMdimensions describeorclassifythe9dataconceptssoaremostlycreatedas Classificationentitiesthatarethenrelatedtothecorresponding fundamentalconcept.InIDA,thesenewclassificationsentitiesshould beaddedinthecorrectconceptclassificationhierarchyandthen relatedtotheentitytheydescribe.TheClassificationentitycan thenbedescribedwithacompletedescriptionandameaningfulconsistent keymigratedtoalltheconstructsthatuseitwithinthedata-warehouse. Addthemostgranularform,theAccountingUnitareaoftheBFMDWis flexibleenoughtocapturetheDPMmetricsandrelatethemtoany conceptrequired.Additionally,Summarylevelstructurescanbecreated togathertheAccountingUnitinformationtogetherforeachconcept whoseclassificationsandcharacteristicsmatchthedimensionalcoordinates requiredfortheCOREP/FINREPtemplate.TheseSummaryentitiesreuse theClassificationscreatedinthegranularsupport.Eachoftheentities, attributesandsummariescontainingdescriptiveinformationabout theDPMcoordinatescanbemappedbacktoboththeDPMmodelrepresented inIGCandtheBFMDWBusiness Termsthatdescribetheenterprisevocabularyterms.Thisprovides traceabilityfromtheDPMtothecoreAtomicWarehouseModelelements requiredtoimplementthesupport. DimensionalWarehouseModel:-AstheDimensionalWarehouseModel isastarschemabasedmodelwithdimensionscorrespondingtothe same9dataconceptclassificationsintheBusinessTerms,thepositioning oftheDPMdimensionaltermsupportcanbeusedtoidentifythedimensions andminidimensionswhereadditionalclassificationsupportcanbe created.Typically,theDPMdimensionsaresupportedasattributes inminidimensions.Theconceptoftheunderlyingassetsissupported bythedimension.Theclassificationdetailofthoseconceptsissupported intheminidimensionandbothcanbejoinedonfactstodescribe thesetofmetricsapplicabletothecombinationofcharacteristics atapointintime.Eachofthedimensions,minidimension,facts andattributescontainingdescriptiveinformationabouttheDPMcoordinates canbemappedbacktoboththeDPMmodelrepresentedinIGCandtheBFMDWBusiness Termsthatdescribetheenterprisevocabularyterms.Thisprovides traceabilityfromtheDPMtothecoreDWMelementsrequiredtoimplement thesupport. ThisdocumentusesonetemplatetodescribehowtoextendBFMDWto supporttheDPMdimensionalcoordinatesandmetrics.Thesameapproach canbeappliedtoeachtemplatewithinCOREP/FINREP. Parenttopic:Tutorials