Transcript Folie 1 - Eurofiling

6th European Banking Supervisors XBRL Workshop
COREP Taxonomy Status
COREP Project Team
Katrin Schmehl
Daniel Hamm
Deutsche Bundesbank
Madrid, 2006-10-04
Agenda

COREP Taxonomies Version 1.2
 Why creating a new release of the COREP taxonomies?
 Common primary elements
 Empty dimensions and prohibiting hypercubes
 Combining typed dimensions in one taxonomy
 Moving dimension elements in the dimension taxonomies
 Merging of dimension taxonomies
 Adding new dimension for currencies
 New CA
 New OPR

COREP Taxonomies Version 1.2.1
 Naming conventions
 Unique namespaces
 Consistency details
 References

Future:
 Maintenance
 Bugtracking
 Taxonomies on the CEBS website
Why creating a new release of the COREP taxonomies?
Extension requirements


The COREP framework must be highly flexible and
extensible.
To meet this goal the framework is as modular as possible.
.
.
dimension
.XSD
primary
.XSD

i
m
p
o
r
t
s
template
.XSD
COREP Taxonomies
Version 1.0
Each template taxonomy consists of one template taxonomy
that imports one template specific primary taxonomy and
none or several dimension taxonomies.
Why creating a new release of the COREP taxonomies?
It is needed to know the elements with the same meaning used
in different templates, i. e. for a generic database mapping
Maintenance of these elements can be reduced.
Relations between templates can be identified easily.



COREP Taxonomies
Version 1.2
.
dimension
.XSD
common
.
primary
.XSD

i
m
p
o
r
t
s
.
i
m
p
o
r
t
s
template
.XSD
primary
.XSD
Each template taxonomy consists of one template taxonomy
that imports one template specific primary taxonomy and
none or several common primary taxonomies as well as none
or several dimension taxonomies.
Common primary elements

Elements with the same meaning were identified by business
experts and extracted in separate primary taxonomies for each
template group.
CA
templates
p-cm-ca
.XSD
CR
templates
p-cm-cr
.XSD
MKR
templates
p-cm-mkr
.XSD
Empty dimensions and prohibiting hypercubes


New constraints were needed to restrict elements from
being reported.
One constraint to restrict the report of dimensional
information for a primary at all.

Second constraint to prevent their instantiation from
templates that don’t explicitly allow them.

These hypercubes are assigned to the primary with an “…all” arc.
Combining typed dimensions in one taxonomy
 A typed dimension defines its content by a set of rules
(an XML Schema type).
 Typed dimensions allow the definition of large or infinite set
of members.
Typed dimension
Explicit dimension
Combining typed dimensions in one taxonomy
COREP Taxonomies Version 1.0
 all typed dimensions are defined in the template taxonomy
 typed dimensions definitions/elements are not reused
COREP Taxonomies Version 1.2
 typed dimensions are defined in a separate dimension
taxonomy named d-ty
 template taxonomy using typed dimensions have to import
the d-ty taxonomy
 typed dimension can be reused
Moving dimension elements in the dimension taxonomies
COREP Taxonomies Version 1.0
 explicit dimension elements are defined in the template
taxonomy
 dimension taxonomies were reused but not the dimension
elements themselves
COREP Taxonomies Version 1.2
 explicit dimension elements were moved into their
correspondent dimension taxonomy
 now templates sharing common dimension elements share
also the same dimension item.
Merging of dimension taxonomies
Dimension taxonomies of
the MKR taxonomies of
COREP Version 1.0
The new dimension taxonomy
contains the complete MKRdimension-member network
d-pm…
.XSD
d-rc…
.XSD
d-ri…
.XSD
d-mr…
.XSD
d-pc…
.XSD

the CA template defines a total element for all the different
breakdowns of risk nature of the instrument.
Merging of dimension taxonomies
Correspondence with CA
Instrument positions dimension
2.3
Total (default member)
2.3.1
Total positions under standardised approach
Traded debt instruments in trading book
General risk. Maturity-based approach
Zone 1
0<=1 month
Traded debt
instruments
2.3.1.1
d-mr…
.XSD
…
Equities in trading book
Exchange traded…
Other equities…
Equities
General risk
Standardised approach
2.3.1.2
…
Total positions in non-reporting currencies
Currencies in second stage of EMU
Currencies subject to intergovermmental agreements
…
Total positions in commodities
Maturity ladder approach
Maturity zone <= 1 year
2.3.2
Internal
model
…
Total positions under internal models
Traded debt instruments
TDI - General risk
TDI - Specific risk
…
Commodities
2.3.1.4
Foreign
exchange
2.3.1.3
Adding new dimension for currencies
COREP Taxonomies Version 1.0
 the cell “currency” of the MKR SA TDI template is a
typed dimension
COREP Taxonomies Version 1.2
 the infinite set of possible values for currency is
restricted by using an explicit dimension taxonomy
New CA
…
CAPITAL REQUIREMENTS
CreditRiskMain
Hypercube
TOTAL CAPITAL REQUIREMENTS FOR
CREDIT, COUNTERPARTY CREDIT,
DILUTION AND DELIVERY RISKS
SETTLEMENT RISK
CreditRiskSA
Hypercube
CreditRiskIRBNoOwn
EstimatesHypercube
CreditRiskIRBOwn
EstimatesHypercube
SettlementRisk
Hypercube
MarketRisk
Hypercube
OperationalRisk
Hypercube
TOTAL CAPITAL REQUIREMENTS FOR
POSITION, FOREIGN EXCHANGE AND
COMMODITY RISKS
TOTAL CAPITAL REQUIREMENTS FOR
OPERATIONAL RISKS (OpR )
…
The breakdown of these
primary elements is
now contained in the
dimension taxonomies.
Enables to refer to the
specific templates
marked by the note:
Link to CA template
New model of OPR Details template
primary items
Event Types Dimension
Business Lines Dimension
allowed for every Business Line
domain member, but only for „Total“
from Event Types dimension
New model of OPR Details template
This is repeated for every business lines domain member
New COREP taxonomy release 1.2.1
 Next release will be published this Friday
(2006-10-06)
 Changes in 1.2.1 compared to 1.2
 Known bugs are fixed
 CA Template (t-ca)
 CR SA Template (t-cs)
 OPR Template (t-op)
 References of revised CEBS templates have
been added (references to new Directives
2006/48/EC and 2006/49/EC)
 Naming conventions
Consistency of namespaces
Same namespaces have the same prefixes across
different templates now
 Prefix of namespace http://www.xbrl.org/2003/linkbase
is changed to
No default namespaces are used any more – every namespace
has its own explicit prefix
Consistency of roletypes
Each extended link role is defined with a roleType element in the
schema file
Unused roleType elements have been removed
ID attributes follow common naming convention now:
rt_tax-prefix_rolename
Other Changes
label and title attributes of locators and arcs in linkbases
are consistent now
XBRL schema file locations are linked with their URL
Documentation is updated on http://www.corep.info
Further processing
COREP Taxonomy 1.2.1 is stable for national extensions – what
follows now?

Fix of known bugs
 Yahoo Group!
 Bugtracking Tool?

Making taxonomies online available on the CEBS website, so
they can be referenced with a unique URL
 E.g. http://www.c-ebs.org/eu/fr/esrs/corep/2006-07-01/t-ca2006-07-01.xsd
Questions
Thank you for your attention!
Katrin Schmehl
[email protected]
Daniel Hamm
[email protected]
Time for your questions!