COREP: Data Point Model
July, 5 2010
DIRECTORATE GENERAL BANKING REGULATION
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 the same domains/dimensions as in FINREP DPM when they refer to
the same concepts.
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IDENTIFICATION OF A DATA POINT (CELL)
 A data point (cell) is represented using the values of the “Base” and “Dimensions” that characterize it.
 The same data point is defined only once, regardless whether it is included or not in more than one table.
BASE
 Business/Users point of view: Basic [financial/supervisory/statistical] meaning (nature) of the
data from a conceptual point of view (e.g. Capital requirements: OPR).
 IT point of view: Its “values “ are the “primary items”.
DIMENSION
 Each of the different “characteristics/breakdowns/disaggregation” that identify the information
included in a data point (e.g. types of exposure, approach, currency, …).
 Every “dimension” must have two or more possible values (members).
 It is possible to use more than one “dimension” of a “domain” to identify a data point (cell) (e.g.
business lines, event types-losses).
 It is not possible to use more than one “member” of a “dimension” to identify a data point (cell).
MEMBER
 Each “value” or part of a single dimension /domain (e.g. Corporate finance).
 A “member” can be used in more than a dimension when it has the same meaning (e.g. the
member 0% is used in several dimensions of the domain “Percentage interval”).
DOMAIN
 IT point of view: All possible values (members) that can be asigned to a dimension or a set of
dimensions that share members (e.g. the “Percentage interval” is the domain of the dimensions
“Risk weights” and “Conversion factors”, because their members are percentages.
FAMILY OF
DIMENSIONS
 Business/Users point of view: Group of “domains/dimensions” that have similar function in the
model (e.g. main category is a family of dimensions of different domains: Own funds for solvency
purposes, capital requirements , … ).
 These groups simplify the data model understanding from a business/users point of view.
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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]
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COREP: FAMILY OF DIMENSIONS
Key Family of dimensions
Rest of Family of Dimensions
- Main category
- Amount type
- Credit risk mitigation/(Collateral/guarantees)
- Currency
- Geographical area
- Impaired / Unimpaired
- Percentage interval
- Securitization
- Time interval
For capital requirements also:
- Portfolio
- Approach to capital requirements
- Exposure classes (for credit risk)
- Risk type (for market risk)
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COREP: MAIN CATEGORY
MAIN CATEGORY  indicates the specific meaning 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 (%), …
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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
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COREP: PORFOLIO AND APPROACH
PORTFOLIO
- Prudential portfolios: All books, Banking book, Trading book
APPROACH TO CAPITAL REQUIREMENTS
- Credit risk [CR] : SA, SEC SA (Rated, Unrated), IRB (non own estimates, own estimates), SEC
IRB
- Market risk [MKR]: SA (General risk, Specific risk, …), IM (GR, SR)
- Operational risk [OPR]: BIA, TSA, ASA, AMA
- IRB approaches for credit risk [CR IRB]: Exposures assigned to obligor grades or pools, …
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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
[This dimension could be necessary if the definitions of the members are wider than in CR Total]
- IRB approach [CR IRB]: Central Governments and central banks, …
- Assessment by a nominated ECAI [CR SA]: Without credit assessment
RISK TYPE
- Market risk types (MKR): Traded Debt Instruments, Equities, Foreign Exchange, Commodities
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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%), …
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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]
Securitization type: Traditional, Synthetic
Securitisation: Securitised exposures, Securitisation exposures originated, Securitization position,…
Tranche: Senior, Mezzanine, First loss
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
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EXAMPLE 1. Simplified CA Table
ID
LABEL
0010
1
TOTAL OWN FUNDS FOR SOLVENCY PURPOSES
1270
1.8
MEMORANDUM ITEMS
1.8.1
IRB provision excess (+) / shortfall (-)
2
CAPITAL REQUIREMENTS
2.1.1.1.01
Central Goverments or Central Banks
1420
MEMORANDUM ITEMS
1980
3.2.a
Solvency ratio (%)
Cells
Base
Main
category
0010
Own funds for
solvency purposes
Own funds:
Total own funds
Outstanding
1270
Memorandum item
Memorandum items:
IRB provision excess (+)/
shortfall (-)
Outstanding
1420
Capital requirements:
Credit risk
Type of exposure:
Total exposures
1980
Memorandum item
Memorandum items:
Solvency ratio (%)
Portfolio
Banking
book
Approach
Credit risk:
SA
Exposure class
SA approach:
Central Government or
Central Bank
Amount
type
Capital requirement
Percentage
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EXAMPLE 2. Simplified CR SA Total table (I)
CR SA Total
CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS
ORIGINAL EXPOSURE
CREDIT RISK MITIGATION (CRM)
PRE CONVERSION TECHNIQUES WITH SUBSTITUTION EFFECTS
FACTORS
ON THE EXPOSURE
FULLY ADJUSTED
EXPOSURE VALUE
(E*)
UNFUNDED CREDIT PROTECTION:
ADJUSTED VALUES (Ga)
GUARANTEES
CREDIT DERIVATIVES
40
50
BREAKDOWN OF THE
FULLY ADJUSTED
EXPOSURE OF OFFBALANCE SHEET
ITEMS BY
CONVERSION
FACTORS
Breakdown of
expousre value by risk
weights
CAPITAL
REQUIREMENTS
EXPOSURE VALUE
100%
75%
180=130-14010
130
170
260
330
0,8*150-0,5*160
10
TOTAL EXPOSURES
Cell linked to CA
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
20
On balance sheet
exposures subject to
credit risk
30
Off balance sheet
exposures subject to
credit risk
BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
70
0%
BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE CLASSES:
240
Central governments
or central banks
Cell linked to CA
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EXAMPLE 2. Simplified CR SA Total table (II)
Cells
Base
Main
category
Portfolio
Approach
Exposure
class
Amount
type
CRM
Risk
weight
240/330
Capital requirements: Type of exposure:
Credit risk
Total exposures
Banking
book
Credif risk:
SA
SA approach:
Central Govern.
or Central Bank
Capital
requirements
_____
010/010
Capital requirements: Type of exposure:
Credit risk
Total exposures
Banking
book
Credif risk:
SA
SA approach:
All
Original exposure
pre conversion
factors
_____
020/040
Capital requirements: Type of exposure:
Credit risk
On balance sheet
Banking
book
Credif risk:
SA
SA approach:
Prud. Port:
Adjusted value (Ga)
All
Guarantee
240/170
Capital requirements: Type of exposure:
Credit risk
Off balance sheet
Banking
book
Credif risk:
SA
SA approach:
Central Govern.
or Central Bank
Fully adjusted
exposure
_____
Conversion factor (CR SA):
100%
030/260
Capital requirements: Type of exposure:
Credit risk
Off balance sheet
Banking
book
Credif risk:
SA
SA approach:
All
Exposure value
_____
Risk weight (CR SA):
75%
070/010
Capital requirements: Type of exposure:
Credit risk
Total exposures
Banking
book
Credif risk:
SA
SA approach:
All
Original exposure
pre conversion
factor
_____
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THANK YOU FOR YOUR ATTENTION
Address for comments:
carlosj.rodriguez@bde.es; luis.gutierrezderozas@bde.es
DIRECTORATE GENERAL BANKING REGULATION