corep/finrep a technical insight - arkk solutions · 2015-05-09 · corep/finrep overview josef...
TRANSCRIPT
PRESENTERS
COREP/FINREP OVERVIEW Josef Macdonald AND TECHNICAL BRIEFING External Consultant
Michal Skopowski External Consultant
COREP EXPERIENCE Richard Metcalfe
Director, London
FINANCIAL MARKETS SUPERVISION IN EU
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
European Banking Authority
European Insurance and Occupa/onal Pensions Authority
European Securi/es and
Markets Authority
supervisory colleagues
supervisory colleagues
supervisory colleagues
chairperson chairperson chairperson
un/l 2011 un/l 2011 un/l 2011
European System of Financial
Supervisors (ESFS)
European Systemic Risk Board (ESRB)
micro level
macro level
Single Supervisory Mechanism (SSM) will affect the current status quo: -‐ ECB involved in
monetary policy as well as supervision
-‐ ECB involved in micro-‐ and macro level supervision
-‐ Rela/on between EBA and ECB not in every scenario clear
-‐ Equilibrium between EBA, EIOPA and ESMA poten/ally affected
SUPERVISORY REPORTING LEVELS
NSA
CI
CI
CI
EBA
NSA
CI
CI
CI
Level 1 Level 2
ITS and DPMs Taxonomies
Source: Andreas Weller EBA XBRL 26, Dublin (adapted diagram)
DEPENDENCIES BETWEEN FRAMEWORKS AND INSTITUTIONS FOR BANKING SECTOR IN EU
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
JEGR
Data Model Taxonomy
common sta/s/cal requirements
Interna/onal standards
THREE PILLARS APPROACH FOR BASEL III
Basel III
Pillar I Minimum capital
requirements and Ra7os For example: • Own funds • Credit, market, opera7onal
risk requirements • Minimum capital ra7os • Minimum liquidity ra7os • Minimum leverage ra7o • Regulatory repor7ng
Pillar II Risk management and
supervision For example: • Stress tes7ng • Pruden7al supervision • Risk management • Capital buffers • Corporate governance • Supervisory colleges
Pillar III Market discipline
For example: • Public disclosure • Reconcilia7on of regulatory
capital to accoun7ng framework
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
INTERNATIONAL vs EUROPEAN LAW
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
Basel 2 2004
Basel 2,5 2009
Basel 3 2010
CRD (Direc/ve 2006/49/EC)
In force since Jan. 1, 2007
CRD III (Direc/ve 2010/76/EU)
In force since Dec. 31, 2011
CRR/CRD IV (Direc/ve and Regula/on)
In force since ???
CRD II (Direc/ve 2009/111/EC)
In force since Dec. 31, 2010
• Large exposures • Hybrid capital
instruments • Liquidity risk
management • Cross border
supervision
• Higher risk for resecuri/sa/on in banking book
• Securi/sa/on in trading book
• Stressed VAR • Incremental default
and migra/on risk (IRC)
• Remunera/on policies (i.e. earnings above 1 mn EUR)
• Defini/on of capital • Credit risk approach • Opera/onal risk
Regula/on: • Upgrade of capital defini/on • Single rule book • Credit valua/on adjustment • Charge for CCPs • Liquidity coverage • Counterparty credit risk • Leverage ra/o • Wrong-‐way risk (EAD) Direc/ve • Capital buffers • Enhanced governance and
supervision • Sanc/ons • SIFI
• Exemplary shordalls of CRD I-‐III: • Systemic risk was not appropriately addressed • Excessive leverage • Insufficient liquidity • Not adequate and low quality of own funds • Procyclical effects
LACK OF COMPARABILITY OF DATA FOR CRD I-III REPORTING
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
Basel II
EC 2006/48 & 49 …
Country 1
NBP 1
Report 2 Report 1
------------------------------------
Country 3 Country 2 Country 27
NCB 2 FSA 3 NBB 27
Report 3
----------------------------------------------------------------------------------------------------------------------------------------------------------------
Transi/on into na/onal legisla/on
(na7onal op7ons)
European Law 9X,XX% best prac/ces + EU requirements
OBLIGATORY but so far mostly DIRECTIVES!
Na/onal implementa/on
Challenge! RelaPons between
informaPon models. Necessity to introduce single rule book based on regulaPon (not only
direcPve)
Global best prac/ces
Report 27
---------------------------------------------------------------------------------------------------------------------------------------------------------------- To
be replaced
by Single ru
le boo
k un
der
CRD
IV/CRR
– ITS!!!
GOAL OF CRR/SINGLE RULES BOOK (OWN FUNDS PERSPECTIVE)
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
Quality
• Must absorb losses (separately for going-‐ and gone-‐concern) • Strict criteria depending on ability to absorb losses (not just a type of instrument, elimina/on of Tier 3, reduc/on of Tier 2)
• Regulatory adjustments
Consistency
• Simple defini/ons/criteria harmonized between countries
• Regula/on is binding in its en/rety and directly applicable in all Member States
Transparency
• Clear rela/on to financial reports • Comparison between jurisdic/ons
THE FRAMEWORKS
COREP FINREP
Capital Adequacy Group Solvency
Credit Risk IP Losses
Opera/onal Risk Market Risk
Large Exposures
Primary Statements Assets & Liabili/es
Financial Asset Disclosures & Off Balance Sheet
Income & Equity Financial & Non-‐Financial Disclosures, OBS Leverage
Liquidity Coverage Net Stable Funding
Asset Encumbrance
Forbearance Non-‐performance
...
...
...
...
Source: Owen Jones EBA EuroFiling, London, 19 June 2013
MODULES
Source: Owen Jones EBA, Eurofiling, London
COREP FINREP
Capital Adequacy Group Solvency
Credit Risk Opera/onal Risk Market Risk
Leverage Ra/o Liquidity Coverage Net Stable Funding
Ra/o
Large Exposures
Part 1 Part 2 Part 3 Part 4 Part 5
COREP LE
COREP FINREP
TECHNICAL BRIEFING
UNDERSTAND …
" Templates " DPM
" Taxonomies
" Validation
" Rendering … AND THEIR ROLES IN PRODUCING XBRL FILINGS
ITS
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
OVERVIEW OF THE COMPONENTS
DPM
EBA Business experts EBA IT experts
RegulaPons
Templates
InstrucPons
ValidaPons
Taxonomy
NSA IT experts
Transmit to EBA
Transmit to EBA
Understand Requirements
Credit InsPtuPons
Report to NSA
Taxonomy primary purpose: Data exchange from NSAs to EBA
Many NSAs will use substantially the same for 1st level reporting, including UK and Ireland
Source: Owen Jones EBA EuroFiling, London, 19 June 2013 (adapted)
HOW TO NAVIGATE THE TEMPLATES
§ Data is collected in Excel template § Templates vs Tables
§ Simple (2-D)
§ Complex (nested headers, fixed sheets (Z-axes), open tables and open sheets )
HOW TO UNDERSTAND THE DPM
§ What is a data model?
receiver
analysis and audit data
Data requirements / concepts defini/ons
sender
Data exchange format
? Data Model e.g. XBRL
taxonomy
data
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
What is the difference between form and data centric defini/on of a data model?
"form centric" based on presenta/on that expresses meaning (interpreta/on in certain contexts)
"data centric" explicit defini/on irrespec/ve of
presenta/on (every term fully understood by its own with all proper/es included in
defini/on)
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
HOW XBRL AND TAXONOMIES ARE USED
What is ?
communica/on (encoding and decoding) of informa/on:
sentences build according to certain syntax (grammar) and seman/cs (meaning)
informa/ve repor/ng: exchange of
aggregated data for analysis and decision making
a flexible framework: allows for customiza/on and applica/on in different repor/ng
scenarios independent from legal regula/ons
designed for descrip/on and exchange of
business related data (includes all
required characteris/cs and func/onali/es for this applica/on)
20
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
WHAT IS THE PRINCIPLE OF OPERATION OF XBRL?
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
TAXONOMY Catalogue of concepts, defini/on of exchanged
informa/on
INSTANCE DOCUMENT Report containing facts (business data)
XBRL specifica/ons best/common prac/ces
METADATA EXCHANGE Allows for understanding
content of business report for the pladorm (program)
DATA EXCHANGE DATA EXCHANGE
METADATA EXCHANGE Allows for understanding
content of business report for the pladorm (program)
21
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
WHAT GOES WHERE IN XBRL?
a business term (financial
concept) and all its proper/es
en/ty
value
unit
XBRL Taxonomy XBRL Instance
context
22 Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
EBA XBRL TAXONOMY: CONTENTS OF EACH MODULE
Source: Owen Jones EBA EuroFiling, London, 19 June 2013
COREP FINREP
51 Templates 81 Tables
669 Valida/ons
Expected file size 30-‐100MB
2 Templates 2 Tables
13 Valida/ons
Expected file size 1-‐100MB+
68 Templates 77 Tables
658 Valida/ons
Expected file size 5-‐10MB
COREP LE
COREP FINREP
EBA XBRL TAXONOMY: CHARACTERISTICS
§ “Very dimensional” • 286 Primary Items • 101 Dimensions, 1500
members • 43 of 32000 data points
use only 1 dimension, none use 0
• Large 1800 files, 100 MB
Source: Owen Jones EBA EuroFiling, London, 19 June 2013 (adapted)
WHAT IS THE LINK BETWEEN DATA MODEL AND TAXONOMY?
25
Data Model XBRL Taxonomy
Business Experts
Mapping document
IT Experts
95%
tools and processes
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
HOW TO VALIDATE FILINGS
§ XML and XBRL validations
§ Business Rules
§ Formula Linkbase
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
COREP CA TEMPLATE VALIDATION RULE EXAMPLE
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
graphical representa/on
error documenta/on/message
expression in form of DPM proper/es
HOW TO VISUALISE THE XBRL
§ XBRL instances contain embedded relational information
§ Data and Tags can be viewed i) using Table Linkbase
ii) through an XBRL viewer
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
COREP CA TEMPLATE “RENDERING” EXAMPLE
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
tabular view DPM proper/es
rendering nodes
RECALL: OVERVIEW OF ITS COMPONENTS
DPM
EBA Business experts EBA IT experts
RegulaPons
Templates
InstrucPons
ValidaPons
Taxonomy
NSA IT experts
Transmit to EBA
Transmit to EBA
Understand Requirements
Credit InsPtuPons
Report to NSA
Taxonomy primary purpose: Data exchange from NSAs to EBA
Many NSAs will use substantially the same for 1st level reporting, including UK and Ireland
Source: Owen Jones EBA EuroFiling, London, 19 June 2013 (adapted)
HOW TO PREPARE XBRL FILINGS
ERP REPORT WRITER
Portal
ERP
1. Receiver provides XBRL enabled excel, word, PDF templates
2. Outsourcing (printer, consultant, vendor to prepare reports )
3. Bolt-‐on (tools to transform your reports into XBRL at the last stage )
4. Integrate (build XBRL into company’s business repor/ng supply chain)
Portal
Portal
Portal
Benefits Challenges
• no implementa/on costs • need for manual work (rekeying data)
• error prone • no benefit outside of this
par/cular repor/ng context?
• comprehensive support • low risk • no knowledge required
• lack of control • possibly high cost • lack of internal capabili/es
• simplified approach • poten/al cost-‐saving • control over result
• comprehensive approach • cost-‐saving (mid-‐long) • control over result • automated processing • enhanced repor/ng • high data quality
• upfront investment • level of complica/on
• knowledge required • /me risk • significant effort for change
update
31 Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
CHALLENGES
§ Aggressive Timelines
§ Changing Regulations
§ Data Quality
§ Immature Technologies
§ Readability” and Visualisation
§ “Volume, Size, Complexity
§ Availability and Performance of Tools
§ Data Collection and Integration
§ Taxonomy Maintenance
§ Error messaging
Filer concerns
EBA concerns
Other concerns
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd
“Possible Concerns”: EBA
§ “Extensive use of Table Linkbase
§ Specification is still fluid
§ Implementations are currently “patchy”
§ The taxonomy being reviewed is based on the previous PWD
§ Volume of data, size of instance files, complexity of tables
§ Performance of tools
§ Availability of tools suitable for the reporting process
§ Manual entry / tagging will not be plausible
§ Integration with accounting / risk management / regulatory reporting
systems needed”
Source: Owen Jones EBA EuroFiling, London, 19 June 2013 (adapted)
CHECKLIST
ENSURE: " You are planning ahead* " You have devised suitable processes* " You have dialogue with vendors* " Vendors are up to date with Table Linkbase spec* " Tools are ready for volume and complexity* " Vendors dialogue with EBA/NSA/XBRL International " Your software license includes template maintenance " Software error messages are human readable " XBRL instances can be visualised " Other
… AND THAT THIS IS INDEPENDENTLY VERIFIED
Source: Business Repor/ng Advisory Group (BR-‐AG) and Extensible Ltd. * Iden/fied by EBA
ConsulPng • Readiness
Assessments/ Requirements gathering
• Implementa/on • User training
Tools • Sosware solu/on • Pre-‐mapped templates + Maintenance
TesPng • Use cases • Issues Reports • Analysis
SOLUTIONS AND SERVICES