DEX RS for EBA stress test 2020

On November 7, 2019 the European Banking Authority (EBA) published the final methodology and draft templates for the 2020 EU-wide stress test along with the key milestones of the exercise. The stress test exercise will be formally launched in January 2020 and the results published by 31 July 2020. The exercise is primarily focused on the assessment of the impact of risk drivers on the solvency of banks. Banks are required to stress a common set of risks (credit risk – including securitisations – market risk and counterparty credit risk, and operational risk – including conduct risk). In addition, banks are requested to project the impact of the scenarios on net interest income and to stress P&L and capital items not covered by other risk types. DEX Data Explorers launches a module which contains all requested reports.

 EBAStress


Key milestone dates of the 2020 EU-wide stress test exercise:

  • Launch of the exercise at the end of January 2020
  • First submission of results to the EBA at the beginning of April 2020;
  • Second submission to the EBA in mid-May 2020
  • Third submission to the EBA at the end of June 2020
  • Final submission to the EBA in mid-July 2020
  • Publication of results by end-July 2020

The set of templates contains 32 templates which cover the following subjects:

  • Credit risk
  • Market risk, CCR losses and CVA
  • Conduct risk and other operational risks
  • Non-interest income, expenses and capital

 

Datapointmodels and DEX Regulatory Suite

EBA normally publishes their reporting requirements for e.g. COREP in the form of a datapointmodel. A datapointmodel is a database which contains all taxonomies, reports, metrics, dimensions and validations. DEX Data Explorers has developed DEX Regulatory Suite (DEX RS). DEX RS is able to interpret the datapointmodel and produce the reports and interfaces based on the requirements detailed in the datapointmodel.

 

DEX Regulatory Suite for EBA Stresstest 2020

DEX Data Explorers offers DEX Regulatory Suite for EBA Stresstest 2020. DEX RS generates the stresstest reports using the EBA specifications.

 

EBA menu

 

DEX has developed a datapointmodel based on the templates which can be used to populate the reports. A bank's data can be mapped on the datapointmodel to populate the reports. Validations can be executed. The output can be exported to the EBA-defined Excel templates. This supports a more effective and repeatable process.
Below an example of a Market risk - Full revaluation template generated by DEX RS is shown.

EBA ST report

 

DEX Data Explorers maintains the definitions of the reports according to the regulator standards. When updates to the standards are submitted, you as a customer will receive an update on the set of reporting definitions.

DEX Regulatory Suite offers the following functionality:

  • Lay-out specified in the datapointmodel
  • Formula’s loaded in the datapointmodel, all calculations can be reviewed in the system
  • Updates by EBA can easily be processed
  • The output can be exported to the EBA templates

 

Efficient mapping of data

The user can map the source data to the target in an efficient way. In datapointmodelling there are the following concepts:

  • Metrics are the values that are measured in the reports
  • Dimensions describe the characteristics of a metric

Below the mapping screen is shown. Metrics and dimensions can be mapped to source data. Template CSV_MR_FULL_REVAL has for example 34.498 datapoints. The template can be populated by mapping 4 metrics and 24 dimensions. This is a far more efficient process than mapping individual datapoints. DEX RS can translate code values, so the user can deliver proprietary code values which can be mapped in DEX RS to the target values.

 

Platform-independent solution

DEX RS has been developed in Python. Every SQL based database can be used (e.g. MySQL, SQLite, SQL Server, Oracle, PostgreSQL). The system can be deployed on-premise, in Azure, AWS and outsourced at Addition. Data can be read from CSV, Excel, SQL databases and SAS datasets.

 

Workflow support

DEX RS offers workflow integration. The DEX RS functionality has been integrated with workflow systems. Users are guided through the regulatory process; manual steps are integrated with automated steps. All actions are logged.

DEX Data Explorers offers integration with Camunda and Viewflow, but DEX RS can be also be invoked from other workflow systems.

FTKWorkflow

 

 

Design your own reports

On top of delivering the required regulatory reports DEX RS offers you the possibility of designing you own reports. This way you can reuse the data you use for regulatory reports for e.g. internal reports. You can also add your own calculations and validations.

DEXDesignMenu

 

Available solutions

DEX Regulatory Suite supports the following regulations:

  • MiFID ii
  • Solvency
  • Financial Assessment Scheme (FTK)
  • DNB Digital Reporting (DRA)
  • Country Risk
  • AnaCredit / Residential Real Estate
  • Deposit Guarantee Scheme
  • FINREP / COREP / Asset Encumbrance / Funding Plans / Supervisory Benchmarking Portfolio
  • Social Economic Reports
  • SFTR
  • AIFMD
  • Premium Pension Institutions
  • Stress test

 

Addition Knowledge House and DEX Regulatory Suite

Addition Knowledge House (www.addition.nu) is a reseller of DEX Regulatory Suite. Addition Knowledge House delivers the following services with regards to DEX Regulatory Suite:Addition

  • Implementation support
  • Maintenance
  • Business process outsourcing

Addition Knowledge House offers the possibility to outsource large parts of the regulatory process.

Addition can offer the following services using DEX RS:

  • Collect the information source systems
  • Generate the CRD iv reports and distribute them to interested parties
  • Create the XBRL and send it to the regulator.

Each situation is unique. Addition Knowledge House will be happy to discuss how we can support your process in an optimal way.