CRD IV (COREP) is currently based on Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012.

CRD IV technical standards and guidelines are provided by the European Banking Authority (EBA) and in most of the jurisdictions implemented, COREP Reporting is prepared using XBRL. The XBRL Taxonomy and accompanying technical documents are also published by the EBA and although the Taxonomy itself typically changes once or twice a year there are more frequent changes (quarterly) related to the Validation Rules.

Although typically referred to as a Report, COREP is actually a Reporting Package consisting of a number of different "parts / sections". The most important constituents of the COREP Reporting Package are:
  • Capital Adequacy (CA): an overview of Regulatory Capital and the Total Risk Exposure Amount;
  • Group solvency (GS): an overview of the solvency requirements by all individual entities in the scope of consolidation (Group)
  • Credit Risk (CR): counterparty, dilution, settlement risk, geographical breakdown;
  • Market Risk (MR): position risk in trading book, foreign exchange risk, commodities risk, CVA risk; and
  • Operational Risk (OPR).
Cutting through the calculation and reporting burdens, our solution eases COREP Reporting by providing:
  • Automated Data Loading: in granular / raw form;
  • Enrichment & Verification of Data to ensure that all required attributes are properly populated;
  • Calculation of all necessary attributes and parameters:
    • Risk Weights including all applicable exceptions;
    • Retail / Corporate Classification;
    • Time Bucketing; ...
  • Full Audit Trail of all calculations / processing performed to allow the derivation of a complete and easily traversible reconstruction of the ouptuts;
  • Preparation / Completion of National Outputs (Templates and/or XBRL);
  • XBRL Validations (through XBRL and/or In Database);
  • Data Adjustments Engine;
  • Versionning.
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