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Banco de España (BDE) Reporting Overview
AxiomSL provides all of the calculations, templates and reporting functionality needed for disclosures to the Banco de España (BDE), including those introduced by the Capital Requirement Directive IV (CRD IV).
AxiomSL’s ‘one platform’ model means the same system can be used for all regulatory reporting requirements globally, greatly reducing the cost and complexity of compliance.
AxiomSL’s adaptable, high-performance platform can be used for all calculations and disclosures required by the BDE. These include COREP, FINREP and other CRD IV requirements, as well as statistical reporting and disclosures to CIRBE.
AxiomSL’s solution leverages a client’s existing data structure to quickly and accurately aggregate the required data from different lines of business. It reconciles the aggregated data back to its sources and uses it to run any necessary calculations before populating the templates that must be reported to the BDE.
Before submitting a report, the solution checks all values are valid and performs reconciliations with reports filed as part of other regulatory requirements. Users are given the ability to conduct plausibility and variance analysis. If tolerance levels are exceeded, they can make the necessary manual adjustments. Once satisfied with a report, a user can sign off on it. The report will then be submitted to the BDE in the required format, including the latest iteration of the EBA’s XBRL taxonomy.
AxiomSL’s solution offers unparalleled transparency. A dashboard allows users to monitor the entire reporting process. They can also drill down into the template, calculations and source data they have used.
AxiomSL monitors changes to the requirements of the BDE and EBA on an ongoing basis and updates its templates and solutions as required. This relieves clients of onerous development work. Version controls allow users to track changes to regulations and to compare differences. The platform gives users ongoing access to earlier iterations of the EBA’s standard rules and XBRL taxonomy, which they need when rerunning or resubmitting reports.
The Spanish reporting solution is built on the same platform as all of AxiomSL’s other solutions. This ‘one platform’ approach ensures consistency across reports submitted for different regulations. It also reduces cost and complexity because clients do not need to maintain separate systems to comply with different regulations.
Banco de España (BDE) Reporting Benefits
Continually upgraded to reflect changes to regulations
Drilldown to reports, calculations and source data
Audit trail of changes made to data
Cost-effective preparation of regulatory reports
A single platform that can be used not only to comply with the requirements of the BDE, but also for all other regulatory reporting globally
CRD IV liquidity and capital calculations
Data can be uploaded in any format
Powerful data modelling capabilities
The ability to review and sign off on reports
Banco de España (BDE) Reporting Credit Risk
The CRD IV credit risk calculations provided by AxiomSL are:
Own funds requirements for pre-funded contributions to the default fund of a CCP
Exposure value exposure classes
Risk-weighted exposure amounts
Risk weight codes
Market to market
Scaling op of volatility adjustment
Conditions for applying of 0% volatility adjustment
Financial collateral comprehensive method
Maturity mismatch (guarantees)
Valuation of protection
Own funds requirements for pre-funded contribution to the defaults fund of a QCCP
Master netting agreement
Unfunded credit protection
Alpha to calculate exposure value (IMM)
Effects of recognition of netting as risk-reducing
Application of scalar based on margin period of risk
Treatment of exposures to CCP
Maturity (for CVA calculations)
CVA standardized method
Banco de España (BDE) Reporting Operational Risk
The CRD IV operational risk calculations provided by AxiomSL are:
Basic indicator approach
Banco de España (BDE) Reporting Market Risk
The CRD IV market risk calculations provided by AxiomSL are:
Delta plus non-continuous
Delta plus continuous
Net positions in equity instruments
General risk of equity instruments
Specific risk of equity instruments
Positions in commodities
Maturity ladder approach
Extended maturity ladder approach
Interest rate risk on derivatives instruments – full offsetting
Net position in debt instruments
Allowance for hedges by credit derivatives
Maturity-based calculation of general risk
Duration-based calculation of general risk
Own funds requirement for non-securitization debt instruments
Own funds requirements for securitization instruments
Calculation of the overall net foreign exchange position
Closely correlated currencies
De minimis and weighting for foreign exchange risk
Banco de España (BDE) Reporting Large Exposures
The CRD IV large exposure calculations provided by AxiomSL are:
Calculation of exposure value
Large exposure identification
Large exposure reporting requirements
Limits to large exposures
Additional own funds requirements for large exposures in trading book
Large exposure exemptions
Exposures arising from mortgage lending
Banco de España (BDE) Reporting Challenges
Financial firms in Spain must make a wide variety of disclosures to the BDE, including those mandated at European and domestic levels.
As part of CRD IV, firms must submit their Common Reporting (COREP) and Financial Reporting (FINREP) filings to the BDE. They are also obliged to calculate and report their CRD IV liquidity and capital requirements to the BDE. These disclosures must be made using the European Banking Authority’s (EBA) XBRL taxonomy, which is frequently updated.
The BDE is responsible for implementing EBA-mandated stress testing in Spain. For financial firms, these stress tests involve aggregating large volumes of granular data and running complex calculations.
As part of its domestic supervisory role, the BDE maintains Spain’s central credit register: La Central de Información de Riesgos del Banco de España (CIRBE or CIR). To keep CIRBE up to date, credit institutions must submit monthly reports on their credit risk. These filings include detailed information about the recipients of loans and their outstanding debts.
The BDE also requires reports on a wide variety of statistical information – including interest rate payments, balance sheet payments, international lending and foreign exchange – which it uses to inform monetary policy. The BDE is in the process of integrating its reporting regime with pan-European measures by adapting its data point model and data dictionary to the requirements of FINREP.
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