PRA111 – Stress Test Data Reporting on Gabriel

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PRA111 – Stress Test Data Reporting is required to be in XBRL format for submission on the Gabriel system starting from 1 October 2018.

To support the assessment of stress testing in ICAAPs, firms are expected to complete the templates with their baseline and stress scenario projections.

The stress results reported should represent the stress scenario in the ICAAP document which firms deem adequately severe to be used for the calculation of the buffer requirement (PRA buffer). Firms should refer to the Bank of England’s Stress Test web page on the clarification of IFRS9 for ICAAP stress testing and capital planning.

Capital+ Taxonomy in DPM Authority

CONTENTS.

The PRA111 submission is spread over ten templates:

  • 01 Comments
  • 02 UK macro economic variables
  • 03 Other macro economic variables
  • 04 Profit or loss
  • 05 Impairments and other losses
  • 06 RWA
  • 07 Exposure for RWA
  • 08 Capital items
  • 09 Capital and leverage
  • 10 Stress case management actions

BANK OF ENGLAND BANKING XBRL TAXONOMY.

The taxonomy, data point model (DPM) dictionary, annotated templates and validation rules cover the requirements for financial statements as set out in PS36/16 ‘Financial statements – responses to Chapter 3 of CP17/16’ , which takes effect from 1 January 2018.

It also covers the requirements for Capital+ Reporting as set out in PS32/16 ‘Responses to Chapter 3 of CP17/16 – forecast capital data’, which takes effect from 1 October 2017.

Capital+ Taxonomy and DPM in DPM Authority
CRD IV Taxonomy Representation in Report Authority

INTUITIVE PRESENTATION OF DPM TEMPALTES.

DPM Authority presents individual DPM templates as XBRL tagged tables as described by the XBRL taxonomy.

GENERATION OF EXCEL INPUT TEMPLATES.

DPM Authority can generate and link to Excel versions of the DPM templates. These workbooks can be used to automate reported data points using calculations and linking to external data sources for automatic importing into DPM Authority.

Creation of Excel Versions of the Solvency II QRTsExcel Version of COREP Templates
Interactive Validation Results

INTERACTIVE VALIDATION RESULTS.

XBRL validation failure messages are typically very difficult to understand and to resolve. DPM authority helps the user by presenting each failure in a number of different ways. Each message is interactive where clicking on a failure will highlight the data points contributing to the issue in the user interface.

DRAG AND DROP ORACLE EPM AUTOMATION.

DPM Authority is the only Capital+ tool that can integrate natively with Oracle EPM (HFM, Planning and Essbase).  EPM dimensions and their members are listed in the automation panel and can be dragged and dropped onto individual cells, entire rows, columns or sheets.  It couldn’t be simpler.

 

Drag and Drop Automation with Oracle EPM

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