EBA Data Point Model
18th EuroFiling Workshop
10 December 2013| Luxembourg
Carlos Martins| EBA
© 2013 | EBA | European Banking Authority
Outline
> EBA mandate
> DPM statistics
> DPM database
> DPM products
2
EBA regulatory tasks
Common rulebook
Maximum harmonisation
...but proportionate to different financial institutions
EU Co-Legislators
Sectoral Directives
(e.g. CRD IV, CRR)
Commission
‘Implementing legislation’
EBA role:
provide advice
EBA issuing guidelines and
recommendations
Developing draft binding technical
standards
3
ITS on supervisory reporting – scope
EBA to deliver ITS in the following areas of the Capital Requirement Regulation
(CRR):
> Art 99 Solvency reporting, Financial reporting
> Art 100 Asset encumbrance
> Art 101 Mortgage exposures reporting
> Art 394 Large exposures reporting
> Art 415 Liquidity ratios reporting
> Art 430 Leverage ratio reporting
Integrated approach to ITS development
> Several ITS packaged as one EU Regulation which is directly applicable to all credit
institutions and investment firms
> Use of common structure/conventions/concepts/definitions
4
ITS on supervisory reporting - benefits
Directly applicable
> No implementation, or interpretation of the Regulation on national level ensures
common definitions and instructions
Technical translation of reporting requirements
> Data Point Model and XBRL taxonomy
> Common validation rules
Truly harmonised supervisory data
> Helps supervisors to assess asset quality, risk concentrations, liquidity positions,
conduct peer analysis, analyse risk parameters across institutions
> Harmonised definitions, especially on forbearance, non-performing loans and asset
encumbrance significantly enhance identification of potential systemic risks
5
Reporting framework development
2011
2011
2012
2012
2013
2013
2014
2014
Legal
Framework
Business
Data Point
Model
IT
EBA mandate
Binding
Technical
Standards
XBRL
Taxonomy
6
ITS Templates, Tables, Data Points
Table Group
Credit Risk
Market Risk
Liquidity Coverage
Stable Funding
Capital Adequacy
Operational Risk
Leverage Ratio
Large Exposures
Leverage Ratio (Consolidated Only)
Group Solvency
FINREP part 1
FINREP part 1 (GAAP only)
FINREP part 2
FINREP part 3
FINREP part 4
#Templates
#Tables
13
8
4
2
6
2
6
6
1
1
49
35
6
10
4
14
69
#DataPoints
20
8
20
8
6
4
9
6
3
1
85
39
6
11
4
14
74
16.847
6.567
3.534
3.004
569
393
257
125
49
48
31.393
2.864
229
408
151
437
4.089
7
COREP Templates vs Tables
20
15
10
5
0
#Templates
#Tables
8
COREP Templates and Data Points
#Templates
#DataPoints
Credit Risk
Market Risk
Liquidity Coverage
Stable Funding
Capital Adequacy
Operational Risk
Leverage Ratio
Large Exposures
Leverage Ratio
(Conso)
Group Solvency
9
COREP tables with open Y axis (repeatable rows)
Group
Template
Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements -
C 08.02 Breakdown of exposures assigned to obligor grades or pools by obligor grades
Credit Risk
Credit risk: Equity - IRB approaches to capital requirements - Breakdown of total exposures
C 10.02 under the PD/LGD Approach by obligor grades
C 14.00 Detailed information on securitisations
Group Solvency
C 06.00 Group Solvency
Dimension
Obligor grade
Obligor grade
Securitisation (row
number)
Legal entity
C 27.00 Identification of the counterparty
Individual clients
C 28.00 Exposures in the non-trading and trading book
Individual clients
C 29.00 Detail of the exposures to individual clients within groups of connected clients
Large Exposures
Group of connected
clients
Individual clients
Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to
C 30.00 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
Individual clients
Group of connected
clients
Individual clients
10
COREP tables with open Z axis (repeatable sheets)
Group Template
Table
ZAxis
124
Country
C 09.02
218
C 09.03
1
C 15.00
10
Geographical breakdown of exposures by residence of the obligor (SA exposures)
Geographical breakdown of exposures by residence of the obligor (SA exposures) - Exposures in
default
Geographical breakdown of exposures by residence of the obligor (IRB exposures)
Breakdown of total own funds requirements for credit risk of relevant credit exposures by
country
Exposures and losses from lending collateralised immovable property
85
Liquidity Coverage. Liquid assets (I). Significant currencies
Currency
176
Liquidity Coverage. Liquid assets (II). Significant currencies
Currency
90
Liquidity Coverage. Outflows (I). Significant currencies
Currency
359
Liquidity Coverage. Outflows (II). Significant currencies
Currency
486
Liquidity Coverage. Outflows (III). Significant currencies
Currency
35
Liquidity Coverage. Outflows (IV). Significant currencies
Currency
41
Liquidity Coverage. Inflows (I). Significant currencies
Currency
237
Liquidity Coverage. Inflows (II). Significant currencies
Currency
234
Liquidity Coverage. Inflows (III). Significant currencies
Currency
24
Liquidity Coverage. Collateral swaps. Significant currencies
Currency
1178
Stable funding. Items requiring stable funding (I). Significant currencies
Currency
211
Stable funding. Items requiring stable funding (II). Significant currencies
Currency
3
Stable funding. Items providing stable funding (I). Significant currencies
Currency
110
Stable funding. Items providing stable funding (II). Significant currencies
Currency
C 09.01
Credit
Risk
#Cells
C 51.00
C 52.00
Liquidity
Coverage
C 53.00
C 54.00
C 60.00
Stable
Funding
C 61.00
57
Country
Country
Country
Country
11
COREP tables with open Z axis (repeatable sheets)
Group
#Templates
#Cells
ZAxis
Credit Risk
5
410
Country
Liquidity Coverage
4
1767
Currency
Stable Funding
2
1502
Currency
12
COREP use of dimensions (per table group)
Group
Capital Adequacy
Credit Risk
General Information - COREP
Group Solvency
Large Exposures
Leverage Ratio
Leverage Ratio (Consolidated Only)
Liquidity Coverage
Market Risk
Operational Risk
Stable Funding
COREP
#Dimensions
24
38
2
6
9
20
11
42
16
9
27
88
13
COREP most/less used dimensions
TOP
Dimension
Base
Main category
Approach for prudential purposes
Prudential portfolio
Type of risk
Exposure class
Counterparty sector
Risk weights
#DataPoints
31.339
31.282
23.538
23.521
21.274
16.599
12.440
8.051
BOTTOM
... (76 dimensions) ...
Type of assets with collateral received
Type of investment firm
Use of allocation mechanism
Location of the activities
2
2
1
1
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© 2013 | EBA | European Banking Authority
DPM Database high level structure
Templates
Dictionary
Framework
Table Group
Table
Dimensional
Modelling
Dimension
Member
Table Version
Axis
Domain
Ordinate
Categorisation
Ordinate
Hierarchy
Node
Metric
Cell
Data Points
Validations
Validation Rule
Data Point
Context
Pre-Condition
Data Point Version
References
Legal Document
Data Point
Categorisation
Expression
Article/Paragraph
Text
Variable
Translations
Scope
Language
Reference
Categorisation
Dictionary Concept
16
Tables structure
17
Dictionary - Dimensional concepts
18
Dimensional categorisation of tables rows/columns/sheets
19
Data Points
20
Validation rules
21
Taxonomy
22
DPM products (business user views)
 DPM Dictionary
 DPM Member hierarchy
 DPM Analysis matrix
– Useful for reviewing data point definition for a related group of data
 Data point definition (ITS Annex XIV)
– List of all data points in the ITS package using exclusively DPM Dictionary concepts
 Validation formulae (ITS Annex XV)
– List of formulae expressed as relations between template cells
• directly defined by business experts
• derived from DPM hierarchies of members
 DPM table layout and data point categorisation
– Combination of data templates (ITS Annexes I, III, IV, VI, VIII, X, XII) and data point definition (Annex
XIV)
– Useful for exploring data point definition and user-friendly presentation of DPM
23
DPM document - Table Layout and Data Point Categorisation
24
DPM document - Validation Formulas
Annex XV - Validation formulae
ID
Tables used in formula
T1
T2
v0330_m
C 08.01.a
v0331_m
C 08.01.a
v0332_m
C 08.01.a
v0333_m
C 08.01.a
v0334_m
C 08.01.a
v0335_m
v0336_m
Sheets
Formula
(All)
{C 08.01.b, c120} <= {C 08.01.a, c110}
(All)
{r120} <= {r110}
(010;070)
(All)
{c030} <= {c020}
C 08.01.b
(010;070;090-170)
(All)
{C 08.01.b, c100} <= {C 08.01.a, c090}
C 08.01.b
(010;070-180)
(All)
{C 08.01.b, c130} <= {C 08.01.a, c110}
C 08.01.a
(010;070)
(All)
{c140} <= {c110}
C 08.01.a
(010;070)
C 08.01.b
T3
Formula applies to
Rows
Columns
(010;070-170)
(020;090;110;260;280;290)
(All)
{c270} <= {c260}
(All)
{r010} = {r020} + {r030} + {r040} + {r050} + {r060}
v0337_m
C 08.01.a
(020;040;050;060;070;080;090;110;150220;260;280;290)
v0338_m
C 08.01.a
(020;090;110;260;280;290)
(All)
{r010} = {r070} + {r080} + {r160} + {r170} + {r180}
v0339_m
C 08.01.a
(020;090;110;260;280;290)
(All)
{r080} = {r090} + {r100} + {r110} + {r130} + {r140} + {r150} + {r160}
v0340_m
C 08.01.a
(020-220;260-290)
(All)
{C 08.01.a, r070} = sum({C 08.02, (rNNN)})
v0341_m
C 08.01.a
(All)
(All)
{c260} <= {c255}
v1662_m
C 08.01.a
(All)
(All)
{c090} = {c020} + {c070} + {c080}
v1663_m
C 08.01.a
(010-070;170-180)
(All)
{c070} = {c040} + {c050} + {c060}
v1664_m
C 08.01.a
(040;050;060)
(All)
{c255} = {c260}
v1894_h
C 08.01.a
C 08.01.d
{C 08.01.a, r030,c090, s007} >= +{C 08.01.d, r010,c100, s019}
v1895_h
C 08.01.a
C 08.01.d
{C 08.01.a, r030,c090, s008} >= +{C 08.01.d, r010,c100, s018}
v1896_h
C 08.01.a
C 08.01.d
{C 08.01.a, r030,c090, s013} >= +{C 08.01.d, r010,c100, s020}
v1897_h
C 08.01.a
C 08.01.d
{C 08.01.a, r030,c090, s016} >= +{C 08.01.d, r010,c100, s021}
C 08.02
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DPM document - Data Point Definition - FINREP
F 01.01 - Balance Sheet Statement [Statement of Financial Position]: Assets
r010 c010
Metric
Carrying amount [mi]
Base
Accounting portfolio
Assets
Cash on hand, Loans and advances. On demand [call] and short notice [current
account]
Cash and cash balances at central banks
Metric
Carrying amount [mi]
Base
Assets
Main category
Cash on hand
Metric
Carrying amount [mi]
Base
Assets
Main category
Loans and advances. On demand [call] and short notice [current account]
Counterparty sector
Central banks
Metric
Carrying amount [mi]
Base
Assets
Main category
Loans and advances. On demand [call] and short notice [current account]
Counterparty sector
Counterparties other than central banks
Metric
Carrying amount [mi]
Base
Assets
Main category
Derivatives, Debt securities, Loans and advances, Equity instruments
Accounting portfolio
Financial assets held for trading
Main category
r020 c010
r030 c010
r040 c010
r050 c010
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Thank you for your attention
Carlos Martins
IT Information Manager
+44 (0) 20 7382 1766
carlos.martins@eba.europa.eu
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