EBA欧洲银行-CP04rev2_Annex-1_192页_991kb

Summary of GUIDELINES FOR THE IMPLEMENTATION OF THE COMMON REPORTING FRAMEWORK (COREP)

Core Content Overview

The Common Reporting Framework (COREP) is a standardized prudential reporting framework developed by the Committee of European Banking Supervisors (CEBS) to enable financial institutions to report their capital and risk data to supervisory authorities in a consistent manner. It is based on the Capital Requirements Directive (CRD) and Capital Requirements Regulation (CRR), incorporating amendments from the CRD II directives. The framework includes a set of templates for reporting various types of risk and capital adequacy, along with detailed instructions, validation rules, and reporting frequencies.

Main Components of COREP

1. General Guidelines

• Purpose: To provide a prudential reporting scheme for credit institutions and investment firms, enabling them to report regulatory capital, capital requirements, and risk-related data in a standardized format.
• Adoption: Developed in preparation for the EU Capital Requirements Directive (CRD) adopted in June 2006, with further revisions to align with CRD II.
• Objective: Ensure harmonization and comparability of prudential data across the European Economic Area (EEA), facilitating cross-border analysis.

2. Structure of COREP Templates

• The framework consists of five main blocks of templates:

  1. Capital Adequacy (CA) – Overview of regulatory capital and capital requirements.
  2. Credit Risk (CR) – Including counterparty, dilution, and settlement risks.
  3. Market Risk (MKR) – Position risks in traded debt instruments, equities, foreign exchange, and commodities.
  4. Operational Risk (OPR) – Reporting of operational risk and its detailed aspects.
  5. Large Exposures – Information on significant exposures.

• Each template includes:

  • Legal references to the relevant directives.
  • Detailed instructions for specific rows and columns.
  • Validation rules to ensure data accuracy.
  • Numerical examples for clarification.

Reporting Frequencies and Remittance Dates

1. Baseline Reporting Frequency

• Credit Institutions:

  • CA, CR SA, CR IRB, CR EQU IRB, CR TB SETT, CR SEC SA, CR SEC IRB, OPR, MKR SA TDI, MKR SA EQU, MKR SA FX, MKR SA COM, MKR IM, and Large Exposures are reported quarterly.
  • OPR DETAILS and CR SEC DETAILS are reported annually.

• Investment Firms:

  • CA, CR SA, CR IRB, CR EQU IRB, CR TB SETT, CR SEC SA, CR SEC IRB, OPR, and MKR SA TDI, MKR SA EQU, MKR SA FX, MKR SA COM, MKR IM, and Large Exposures are reported quarterly for individual basis and semi-annually for consolidated basis.
  • OPR DETAILS and CR SEC DETAILS are reported annually.

2. Adjusted Reporting Frequency

• For credit institutions and investment firms under Article 5 (3) of the amended Directive 2006/49/EC, all templates (except Large Exposures) are reported semi-annually.

3. Reporting Reference Dates

• Quarterly: 31 March, 30 June, 30 September, and 31 December.
• Semi-annual: 30 June and 31 December.
• Annual: 31 December.

4. Remittance Dates

• Individual basis: 20 business days.
• Consolidated basis: 40 business days.
• Competent authorities may provide additional time for domestic-only institutions.

Template-Specific Guidelines

1. CA - Capital Adequacy

• Contains three parts:

  • Total own funds for solvency purposes (sum of Tier 1, Tier 2, and Tier 3 capital).
  • Capital requirements by type of risk and approach.
  • Memorandum items for solvency assessment.

• Own Funds:

  • Tier 1 capital: Eligible for all risk types.
  • Tier 2 capital: Limited to the amount of Tier 1 capital.
  • Tier 3 capital: Limited to 250% of unused Tier 1 less unused Tier 2 capital.

• Special Rules:

  • Tier 2 capital cannot exceed 50% of Tier 1 capital.
  • Own funds designated to cover risks outside the banking sector (e.g., large exposures) are not used for solvency purposes.

2. Group Solvency Template

• Provides an overview of the fulfillment of solvency requirements by consolidated subgroups and individual affiliates.
• Includes validation rules and instructions for specific positions.

3. Credit Risk Templates

• CR SA (Standardised Approach):

  • Covers credit and counterparty credit risks.
  • Includes breakdowns by exposure classes.
  • Clarifications on the scope of specific exposure classes under Article 79 of the amended CRD are provided.

• CR IRB (Internal Ratings Based Approach):

  • Provides detailed reporting on credit and counterparty credit risks.
  • Includes instructions for specific positions and validation rules.

• CR EQU IRB (Equity Exposures):

  • Specific instructions and validation rules for equity exposures under the IRB approach.

• CR TB SETT (Settlement Risk):

  • Covers settlement/delivery risk in the trading book.
  • Includes instructions and validation rules.

• CR SEC SA & CR SEC IRB (Securitisation):

  • Provides reporting on securitisation risks.
  • Includes clarifications, instructions, and validation rules.

• CR SEC Details:

  • Offers detailed information on securitisations.
  • Includes numerical examples for clarity.

4. Operational Risk Templates

• OPR:

  • Reports operational risk.
  • Includes instructions for specific positions.

• OPR Details:

  • Reports gross losses by business lines and event types.
  • Includes validation rules and reporting examples.

5. Market Risk Templates

• MKR SA TDI (Traded Debt Instruments):

  • Reports position risks in traded debt instruments.
  • Includes instructions and reporting examples.

• MKR SA EQU (Equities):

  • Reports position risk in equities.
  • Includes instructions and reporting examples.

• MKR SA FX (Foreign Exchange):

  • Reports foreign exchange risk.
  • Includes instructions and reporting examples.

• MKR SA COM (Commodities):

  • Reports commodities risk.
  • Includes instructions and reporting examples.

• MKR IM (Internal Models):

  • Allows for internal model-based market risk reporting.
  • Includes instructions and reporting examples.

Key References and Supporting Documents

• CRDTG Questions:

  • Provide guidance on the interpretation of the amended CRD and CAD.
  • Some are relevant for common reporting and are quoted in this document.

• COREP Implementation Questions (IQs):

  • Address practical issues in implementing the COREP templates.
  • Many are quoted in the instructions or included in the numerical examples.

• Legal References:

  • Include directives such as CRD, CAD, and CRD II.
  • Also reference FINREP, which is the standardized financial reporting framework for EEA institutions.

• Taxonomy Resources:

  • Detailed information on XBRL taxonomy for COREP is available at http://www.eurofiling.info/corepTaxonomy/taxonomy.html.

Summary of Key Acronyms

Conclusion

The COREP guidelines aim to ensure a harmonized and standardized prudential reporting framework across the EEA. They include detailed templates, instructions, validation rules, and reporting frequencies for various risk categories. The framework is continuously revised to align with evolving regulatory requirements and is supported by a comprehensive set of legal references and implementation questions. The goal is to improve data comparability, supervisory efficiency, and risk transparency.