Common Reporting aims to increase transparency in regulatory reporting by increasing the granularity of data requirements. It applies to all credit institutions and investment firms operating in EEA. The regulation requires these firms to follow the below mentioned five reporting templates for capital adequacy and capital requirements:
- Capital Adequacy
- Credit and Counterparty Credit Risk
- Group Solvency
- Market Risk
- Operational Risk
These reports have to be filed monthly and quarterly with the National Supervisory Authority.
Built on top of the BRSANALYTICS Core application, the BRSANALYTICS COREP Credit Risk Engine is a customisable and flexible tool which focuses on Stepped Approach to Credit Risk Calculations. This encompasses:
Exposure Value Identification for on balance sheet or off balance sheet items based on risk level associated.
Exposure Class Classification; based on system rules, indicators, CoA placements to classify an on/off balance sheet item to fall under one of the classes. These are part of the base product but configurable/extendable based on customer requirements.
Calculation of Risk Weight according to the Standardised Approach for class and regulations; where each item is split and weighted as required. The BRSANALYTICS Engine comes with a set of inbuilt rules based on the CRR which can then be extended in complexity based on client-specific requirements.
Whilst the base rules cover the essential functionality, the additional rules tackle instruments which may not fall under the standard rule base. All system rules are documented within a detailed manual and can be customised based on customers’ interpretations.
Credit Risk Mitigation is applied to collaterals and items using the Simple Method approach.
Final Risk Weighted Asset is then calculated based on the secured and unsecured exposure values and risk weights associated.
For COREP, the reports are developed based on customer needs and as part of the implementation. The BRS COREP scope covers credit risk and liquidity reports as required by the customer.