Capital Requirements Directive IV (CRD IV) Common Reporting (COREP)

Automates calculation and capital reporting processes and accommodates multiple internal entity structures and jurisdictions to satisfy EBA mandate


Overview


AxiomSL’s Client Engagement

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Complex Framework

As part of the Capital Requirements Directive IV (CRD IV), the European Banking Authority (EBA) has introduced a harmonized European reporting framework for prudential information (COREP) and financial information (FINREP).

The many evolving Basel-driven requirements challenges revolve around:

  • Increased data overlap and granularity
  • Move to more risk metrics

  • Limitation of own estimates

Perspectives on Evolving Basel-Driven Requirements

To continue to comply with COREP evolving requirements, FIs must:

  • Establish processes to meet BCBS 239-driven high data-quality standards and satisfy the many EBA-mandated validation and reconciliation rules
  • Assess impacts of changing rules and approaches

  • Report large volumes of granular data about their capital adequacy, large exposures, liquidity and leverage ratios
  • Source required data, much of which has not previously been needed for external reporting

Questions to Consider

  • Do we have well designed processes to ensure high data-quality standards and satisfy EBA-mandated validation and reconciliation rules?
  • Can we efficiently apply algorithmic calculations and use multiple approaches to optimize for capital savings?
  • Do we understand the delta between Standardized and Internal Ratings Based (IRB) Approaches?
  • Are we able submit COREP returns to the regulator using XBRL?

  • Are we able to track metadata of and derive ‘evidence’ from the models being invoked and the resulting outputs to drive audit-enabled, automated risk calculations?
  • Are we prepared to report large volumes of granular data about our capital adequacy, large exposures, liquidity and leverage ratios?
  • Can we quickly adopt the latest versions of the EBA-published XBRL taxonomy, while retaining access to earlier iterations?

The Basel Journey

Solution

Simple Platform

AxiomSL enables firms to automate the process of calculating and reporting capital and satisfy EBA-mandated CRD IV COREP requirements on ControllerView ― a single platform that accommodates multiple internal entity structures and jurisdictions.

AxiomSL’s solution automates the process of calculating and reporting conservative and countercyclical capital buffers.

Powerful Modules

The COREP solution is powered by:

  • AxiomSL’s CapitalView extensible Data Dictionary for capital reporting that is designed to map against data emanating from multiple capital and risk source systems

  • A robust, transparent capital calculation engine that provides access to its interpretation of the EBA’s standard rules

AxiomSL’s Extensible Capital View Data Dictionary ― Enables Seamless Change Management as Reporting Requirements Evolve

AxiomSL’s Extensible Capital View Data Dictionary ― Enables Seamless Change Management as Reporting Requirements Evolve

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IntegratedModelView

AxiomSL’s COREP Solution
Powered by the CapitalView Data Dictionary


AxiomSL’s COREP Solution
Powered by the CapitalView Data Dictionary

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Navigating Turbulent Waters – Are We Prepared for the Basel Journey?

Benefits

Enables FIs to run required CRD IV capital and risk-weighted asset (RWA) calculations, including credit risk, market risk, operational risk, credit valuation adjustments, default fund contribution, and leverage ratio

Provides FIs opportunity to drive efficiencies from Basel-IV changes

Prepares for future by calculating both standard (SA) and internal ratings-based IRB approaches on the credit risk portfolio

Enables FI to identify where to optimize RWA

Offers FIs flexibility to implement any COREP element as well as emerging Basel IV requirements such as FRTB and SA-CCR

The CapitalView extensible data dictionary enables the data quality essential for capital calculations

FIs can utilize ControllerView for COREP, FINREP and all other regulatory calculation and reporting requirements

Users can drill down into the calculations that are run by AxiomSL’s solution and see how the EBA’s standard rules have been applied

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