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XBRL, Solvency II approach
15th Eurofiling workshopMadrid, 2012-05-31
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012 2
Agenda
• Introduction• Reporting frameworks in EU• Choice of XBRL and architecture• Initial taxonomy development: moderately dimensional• Introduction of Data Point Modelling and highly
dimensional approach• EIOPA approach: MD and HD• Tool for undertakings
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012 3
2001 In force
Nov. 2009: Solvency II Directive
1/1/2011
Technical preparation (advices)
Technical standards
Solvency II Timeline
Implementing measures
Omnibus II
TODAY
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XBRL issues
• Main issues to solve for a successful implementation
o Scarcity of available skilled XBRL resources
o Short timeframe before the go-live date
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EIOPA current work
• Mutualized developmento An EIOPA effort instead of 30 national effortso A taxonomy project, to be delivered as soon as possible
after the availability of the stable reporting package (target: this autumn)
• Outcome of the technical consultation: cross sector consistency desirable.o Experience sharing with the others ESAs (EBA, ESMA) and
ESRBo Data Point Modelling project launched (EBA used
methodology)
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Tight deadlines and resources scarcity
• Stable reporting requirements in June, DPM in September, supporting stable taxonomy this autumn
• A tool for undertakings project launched o To provide a (non mandatory) possibility for undertakings
to produce valid XBRL instances from the start
• EIOPA need to be able to validate, extract, store and then use datao Mutualization/sharing possibilities currently examined (e.g.
providing a benchmarking validation service)
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Agenda
• Reporting frameworks in EU• Choice of XBRL and architecture• Initial taxonomy development: moderately dimensional• Introduction of Data Point Modelling and highly
dimensional approach• EIOPA approach: MD and HD• Tool for undertakings
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012 8
Overall reporting framework in EU
……
CountriesReporters NSAs ESAs
Europe
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Agenda
• Reporting frameworks in EU• Choice of XBRL and architecture• Initial taxonomy development: moderately dimensional• Introduction of Data Point Modeling and highly
dimensional approach• EIOPA approach: MD and HD• Tool for undertakings
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012 10
Path to XBRL
• Solvency II is a complex reporting• Structured XML, first chosen, is not adequate• Choice of XBRL, over an EIOPA-specific flat XML
language: YARL (Yet Another Reporting Language)
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• Reasons for alignment considerationso Certain firms are required to send reports to both
banking and insurance regulatorso Certain software vendors offer products or solutions for
both, banks and insurance companies• Commonalities between EBA and EIOPA
taxonomies under consideration:o Common dimensionso Data Point Modellingo Common data typeso Taxonomy architecture
o Base primary itemso Label construction
ruleso Toolso etc
Commonalities with EBA taxonomies
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012 12
Agenda
• Reporting frameworks in EU• Choice of XBRL and architecture• Initial taxonomy development: moderately dimensional• Introduction of Data Point Modelling and highly
dimensional approach• EIOPA approach: MD and HD• Tool for undertakings
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012 13
Taxonomy generated from templates
Abstract primary items
(label or alias)
Primary items(label or alias)
Dimension Domain, value or
list of values
Types
Pop-up windowshowing P.Item +
Characteristics + Dim. combinaison(s)
Header dimension(s)
Line dimension(s)
Column dimension(s)
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Use of codes for concepts
• Codes are used as tag names for conceptso To get usable names (not too log)o To be language-agnostic
o The codes used are those that are defined by the business people in the Quantitative Reporting Templates (regulatory document)
o They are not Excel cell coordinates !
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A real template (extract)
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AS_D1 Annotated [Ids] Key Mandatory Type Indicators Balance PeriodTypeInvestments data Solo or group
Asset identification
Identification sectionPortfolio type A1 X Y InvestmentPortfolioType D IFund number A2 X FundNumber D IAsset held in unit linked and index linked funds, Y/N A3 Y YN D IID code A4 X Y IdCode D IID code type A5 X Y IdCodeType D IAsset pledged as collateral A6 X AssetPledged D ISecurity title A7 Y String100 D IIssuer name A8 Name D IIssuer sector A9 IssuerSector D IIssuer group, Code A10 String20 D IIssuer country A11 Y Country D ICustody ountry A12 Country D I
Categorization sectionCurrency A13 Y Currency D ICIC A15 Y CIC D IParticipation type A16 YNAndConsolidation D I
Risk sectionExternal rating A17 Rating D I
Rating agency A18 Y Name D I
Duration A20 DurationInYears D IData section
Quantity A22 Quantity D IUnit SII price A23 Monetary D IValuation method SII A24 Y ValuationMethod D IAcquisition cost A25 Monetary D ITotal SII amount A26=A22*A23+A30 Y Monetary D IMaturity date A28 Date D IAccrued interest A30 Monetary D I
Additional information needed in annotated templates
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Expression of validations
• Generation of XBRL assertions with code, label, messages, using patterns
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Agenda
• Reporting frameworks in EU• Choice of XBRL and architecture• Initial taxonomy development: moderately dimensional• Introduction of Data Point Modelling and highly
dimensional approach• EIOPA approach: MD and HD• Tool for undertakings
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• which is a base item, what is a breakdown?
• alignment with design of analytical models
Dimensions in data models
• each data point defined as a base item• high total number of items• easy to define, difficult to maintain• significant consequences of little
changes to data model
only base items few base items, many breakdowns
• each data point defined as a base item in a combination of members of breakdowns
• lower number of items in total (Cartesian product is multiplication)
• distinguishing between base items and breakdowns not always easy
• supports maintenance: relation concept-breakdown is stable but components of breakdowns tend to change
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held-for-trading
assets liabilities income/expense
loans
derivatives
natures
instruments
debt securities
designated at fair value
available-for-sale
portfolios
Portfolio breakdown (purpose and measurement)•e.g. held for trading - „acquired or incurred principally for the purpose of selling or repurchasing it in the near term”; includes different instruments: Derivatives, Loans, Debt securities, Equity instruments, …
Instruments breakdown:•e.g. debt instrument - „contractual or written assurance to repay a debt”; can fall into different portfolios: Held-for-trading, Designated at fair value, Available for sale, …
assets: property, resources, goods, etc that a company possesses and controls, e.g. financial instruments
owned by a reporting entity that shall generate economic benefits in the
future
liabilities: sources of funding for company’s assets and operations, e.g. financial instruments that have been
issued by a reporting entity, thus represents an obligation that needs to be settled in the future by a transfer of some
assets (such as cash) from the entity
income/gains or expenses/losses:
economic benefits that occurred during the period and originated
from increase/decrease in value or result on sales/purchase of a given
financial instrument
Almost everything is a perspective
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DATA POINT: Net carrying amount of not yet unimpaired but already past due (over 180 days) debt securities held, issued in EUR by MFIs located in EMU with original maturity under one year, measured at amortised cost and relating only to business activities conduced in Spain (local business).
Categories:Total (…)
CashLoansDebt securitiesEquity instrumentsTangible and intangibleOther than (…)
Counterparty sectors:All / Not-applicable
MFIsMMFsMFIs other than MMFs
Central AdministrationOther general governmentNon-MFIs other than government
Original maturity:All
< 1 year≥ 1 year < 2 year≥ 2 years
Counterparty residences:All / Not-applicable
EMU (…)SpainOther than Spain in EMU (…)
Other than EMU (…)
Original currencies:All / Not-applicable
EUROther than EUR Locations of activities:
All / Not-applicableSpainOther than Spain (…)
Amount types:Carrying amount
Gross carrying amount(Specific allowances)(Collective allowances)
Base terms:AssetsLiabilitiesEquityOff-balance sheetExposures
Portfolios:Total (…)
Fair value through profit or lossAmortised cost
Impairment statusAll / Not-applicable
ImpairedUnimpaired
Past due periods:All
0 days< 180 days≥ 180 days
Base term: AssetsCategory: Debt securitiesPortfolio: Amortised costAmount type: Carrying amountImpairment status: UnimpairedPast due period: ≥ 180 daysOriginal currency: EUROriginal maturity: < 1 yearCounterparty sector: MFIsCounterparty residence: EMULocation of activity: Spain
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Annotated templates using generic base items
• Data can be analysed from multiple perspectives• Most changes in the model do not affect primary items
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Agenda
• Reporting frameworks in EU• Choice of XBRL and architecture• Initial taxonomy development: moderately dimensional• Introduction of Data Point Modelling and highly
dimensional approach• EIOPA approach: MD and HD• Tool for undertakings
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012 25
EIOPA XBRL Approach: Two Layers
Data Point Model
DPM XBRL architecture
HDA taxonomy layer
Non-DPM Eurofiling XBRL
architecture MDA taxonomy layer
DPM-based annotated templates
Solvency II templates
Annotated templates
(limited DPM)
Mapping layer
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Benefits of two layersDerivatives, Investments other than held for index-linked or unit-linked fundsBS_C1:A10A
Solo or GroupSoloGroup
Solo or Group
PeriodicityAnnually
Quarterly
Monthly
Ad hoc
Valuation method
Solvency II
CRD
Statutory
Line of businessTotal
Non-life, non SLT healthSLT health
LifeNon-SLT health
…
Investment or own useInvestmentOwn use
Not unit-linked, not index-linked
LinkingUnit-linked or index-linked
Types of assetsTotal
Debt instruments
Issuer or residence countryTotal…
Country of custodyTotal…
Type of amountCarrying amount…
Original currencyTotal……
Assets
Highly dimensional approach
Marked to market Marked to model
Solo or GroupSoloGroup
Solo or Group
PeriodicityAnnually
Quarterly
Monthly
Ad hoc
Valuation method
Solvency II
CRD
Statutory
Marked to market Marked to model
Derivatives
……
Moderate dimensional approach
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Mapping layer considerations
o Mapping approach:- Equivalence linkbase - Formula linkbase - Instance mapping - Resource mapping - XSLT style-sheets- Rendering linkbase
o Criteria for evaluation of mapping solutions- Standard specifications compliance- Maintenance of solution- Performance of processing (mapping)- Resources required for development- Support by software vendors
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Agenda
• Introduction• Reporting frameworks in EU• Choice of XBRL and architecture• Initial taxonomy development: moderately dimensional• Introduction of Data Point Modelling and highly
dimensional approach• EIOPA approach: MD and HD• Tool for undertakings
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012 29
Why are we going to provide a XBRL Tool for Undertakings?
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What are we looking for?
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23/7/2012
How and when are we going to develop it?
1st Phase 2nd Phase
21/09/201229/03/2012
1.-Project Setup
Establish the members of the project,
general goals,
software methodology, calendar, etc.
2.- Create the first draft of the analysis of
requirements
Identify the scope of the project, analyse the
alternatives, create the draft of the analysis of
requirements.
3.- The open tender
Write and publish a public tender request for an offer
which includes the requirements established
on the analysis.
The interested companies will have 2 months to
submit their offers.
Timeline
4/7/2012
4.- Evaluation Process
Analyse the received offers
and choose one of them.
26/10/2012
5 .- Design, implementation,
test and integration
Refine the analysis with the selected
contractor, Implementing phase,
testing phase, integration and NSA
test.
01/01/201401/01/2013
3rd Phase
7 .- Production, configuration and change
management
Adaptive maintenance of
the project.
6 .- Publication
Publish a release for public test.
01/05/201411/04/2012
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Requirements
Distribution license for all
Europe. Preferable
EUPLA licenseUsing the input
forms in a similar layout as the public
reference templates.
Use of XBRL label,
rendering, reference,
formulas, etc.
Allowing reusing or
extension of the tool for
national extensions
Easy to use for administrative
staff with limited IT knowledge
Multiplatform
XBRL syntax and formula validation at client sideEasy to
update when the taxonomy
changes
Internationalization: Languages, data
formats, currencies, etc.
2nd level support
Open source, reusable
Easy to deploy
Good performance
with large amounts of
data
Note that these requirements are under discussion and not final
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Thank you
Any questions?