De Nederlandsche Bank (DNB) Reporting

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AxiomSL provides all of the calculations, templates and reporting functionality needed for disclosures to De Nederlandsche Bank (DNB). Its platform includes embedded XBRL functionality and is perfectly designed to support banks migrating to the format.

AxiomSL’s ‘one platform’ model means the same system can be used for all other regulatory reporting requirements, greatly reducing the cost and complexity of compliance.

DNB reporting: The requirements and challenges

Banks in the Netherlands must file a variety of complex reports to the DNB, based on both European and domestic requirements.

The DNB is responsible for collecting the reports required as part of the Capital Requirements Directive IV (CRD IV) in the Netherlands. In order to remain compliant, banks must aggregate and process large volumes of data, and ensure they have access to the latest versions of the European Banking Authority’s (EBA) calculations and templates.

Banks that do not consolidate their annual accounts using International Financial Reporting Standards (IFRS) are not subject to the EBA’s Financial Reporting (FINREP) requirements. However, these institutions (‘FINREP Title 9 banks’) must complete the DNB’s financial information survey, which is modelled on the EBA’s templates.

Banks also face a range of statistical reporting requirements in the Netherlands – including Balance Sheet Item (BSI) and Monetary Financial Institution (MFI) Interest Rate (MIR) filings. These DNB/ECB reports combine the data needs of both regulatory bodies.

Firms in the Netherlands must comply with a variety of other requirements including: Targeted Longer-term Refinancing Operations (TLRO), Financial Stability Board (FSB) Data Gap Initiative, Centraal Bureau Voor De Statistiek (CBS) savings, Deposit Guarantee Scheme (DGS), DRA RBG, DRA-SLB and DRA-CLM reports, as well as disclosures about interest-rate risk, loan-level data and monetary distressed loans.

At present the majority of DNB reports are submitted in XML, via its e-Line online portal. However, the DNB has indicated that it will migrate to XBRL. This will be a significant change for banks, which will need to implement three-dimensional taxonomies with embedded validation rules, and which will require a flexible platform in order to manage the transition smoothly (for more on this topic, see this blog post).

The AxiomSL solution

The AxiomSL platform has been used for DNB reporting since 2006, and includes all of the calculations and templates mandated as part of pan-European and domestic requirements (including all of those mentioned above).

The CRD IV capital calculations provided by AxiomSL are:

  • Exposure value exposure classes
  • Risk-weighted exposure amounts
  • Risk weight codes
  • Market to market
  • Volatility adjustments
  • Scaling op of volatility adjustment
  • Conditions for applying of 0% volatility adjustment
  • Financial collateral comprehensive method
  • Maturity mismatch (guarantees)
  • Valuation of protection
  • 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
  • Own funds requirements for pre-funded contributions to the default fund of a CCP
  • Own funds requirements for pre-funded contribution to the defaults fund of a QCCP
  • Maturity (for CVA calculations)
  • CVA standardized method
  • Settlement/delivery risk
  • Free deliveries
  • Basic indicator approach
  • Standardized approach

Options

  • Delta
  • Delta plus non-continuous
  • Delta plus continuous
  • Scenario approach

Interest Rate

  • Underwriting
  • Netting
  • 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

Equity

  • Underwriting
  • Net positions in equity instruments
  • General risk of equity instruments
  • Specific risk of equity instruments
  • Stock indices

FX

  • Calculation of the overall net foreign exchange position
  • Closely correlated currencies
  • De minimis and weighting for foreign exchange risk

Commodity

  • Positions in commodities
  • Particular instruments
  • Maturity ladder approach
  • Extended maturity ladder approach

CIU

  • Basic Method
  • 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

The AxiomSL platform leverages a firm’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 DNB.

Business dashboards give users the ability to drill down from the final reports to the source data, and to make manual adjustments if necessary. Once they are satisfied with their reports, users can sign off on them before they are submitted to the DNB via e-Line.

AxiomSL supports all electronic submission formats. Both XML and XBRL functionality is fully embedded in the reporting platform, which supports both formats from the same taxonomy. This ensures firms can smoothly migrate to XBRL when required to do so by the DNB, while retaining access to validations that are not contained within the standard. The flexibility of the platform also means users can do validations between XBRL and non-XBRL reports.

AxiomSL monitors changes to the requirements of the DNB and European authorities on an ongoing basis, and updates its calculations and templates accordingly. This relieves firms of onerous development work. Version controls allow users to track changes to regulations and to compare differences. The platform also gives users ongoing access to earlier iterations of calculations and templates, which they need when rerunning or resubmitting reports.

The same platform can be used for all other reporting requirements globally. This ‘one platform’ approach ensures consistency between reports submitted for different regulations. It also reduces cost and complexity because banks do not need to maintain separate systems to comply with different reporting requirements.

Key Benefits

  • A single platform that can be used not only to comply with the requirements of the DNB, but also for all other regulatory reporting globally
  • Automation of the entire reporting process
  • Support for all electronic submission formats, including XML and XBRL
  • CRD IV liquidity and capital calculations
  • Data can be uploaded in any format
  • The ability to review and sign off on reports
  • Drilldown to reports, calculations and source data
  • Ongoing monitoring of changes to regulatory calculations and templates, and provision of updated versions

AxiomSL Solution - DNB Reporting

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