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COREP Taxonomy Status
COREP Project Team
Katrin SchmehlDaniel Hamm
Deutsche Bundesbank
Madrid, 2006-10-04
6th European Banking Supervisors XBRL Workshop
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
template.XSD
imports
Each template taxonomy consists of one template taxonomy that imports one template specific primary taxonomy and none or several dimension taxonomies.
COREP Taxonomies Version 1.0
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.
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.
..dimension
.XSD
primary.XSD
template.XSD
imports
COREP Taxonomies Version 1.2
.commonprimary.XSD
imports
Common primary elements
CA templates
CR templates
MKR templates
p-cm-ca.XSD p-cm-cr
.XSDp-cm-mkr.XSD
Elements with the same meaning were identified by business experts and extracted in separate primary taxonomies for each template group.
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.
d-pm….XSD
Merging of dimension taxonomies
d-rc….XSD
d-ri….XSD
d-pc….XSD
d-mr….XSD
the CA template defines a total element for all the different breakdowns of risk nature of the instrument.
Dimension taxonomies of the MKR taxonomies of COREP Version 1.0
The new dimension taxonomy contains the complete MKR-dimension-member network
Merging of dimension taxonomies
Correspondence with CA Instrument positions dimension
2.3 Total (default member)
2.3.1 Total positions under standardised approach
2.3.1.1 Traded debt instruments in trading book
General risk. Maturity-based approach
Zone 1
0<=1 month
…
2.3.1.2 Equities in trading book
General risk
Exchange traded…
Other equities…
…
2.3.1.3 Total positions in non-reporting currencies
Currencies in second stage of EMU
Currencies subject to intergovermmental agreements
…
2.3.1.4 Total positions in commodities
Maturity ladder approach
Maturity zone <= 1 year
…2.3.2 Total positions under internal models
Traded debt instrumentsTDI - General riskTDI - Specific risk
…
Standardised approach
Internal m
odel
Traded debt
instruments
Equities
Foreign
exchangeC
omm
odities
d-mr….XSD
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
CreditRiskIRBOwn EstimatesHypercube
New CA
…
CAPITAL REQUIREMENTS
TOTAL CAPITAL REQUIREMENTS FOR CREDIT, COUNTERPARTY CREDIT, DILUTION AND DELIVERY RISKS
SETTLEMENT RISK
TOTAL CAPITAL REQUIREMENTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS
TOTAL CAPITAL REQUIREMENTS FOR OPERATIONAL RISKS (OpR )
…
SettlementRisk Hypercube
MarketRisk Hypercube
OperationalRisk Hypercube
CreditRiskMain Hypercube
CreditRiskIRBNoOwn EstimatesHypercube
CreditRiskSA Hypercube
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-ca-2006-07-01.xsd
Questions
Thank you for your attention!
Time for your questions!
Katrin [email protected]
Daniel [email protected]
