Methodology of Data Point Model in European Banking Supervision: COREP/FINREP Ignacio Boixo,...
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Methodology of Data Point Model in European Banking Supervision: COREP/FINREP Ignacio Boixo, EuroFiling CoordinatorMalatya, 3th May 2012
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Basel II, IFRS/IAS …
EC 2006/48 & 49 …
Country 1
NSA 1
Report 2Report 1
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Country 3Country 2 Country 27
NSA 2 NSA 3 NSA 27
Report 3
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Transposition into national Legislation
European Directive9X,XX% best practices + EU requirements
National Regulation
Challenge!
Global Standard
Report 27
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(…)
(…)National
Implementation
European Supervisory framework
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2004: First contacts2005: Kick off meeting. Dimensions adopted2006: COREP first dimensional XBRL taxonomy worldwide2007: COREP/FINREP implemented, national extensions 2008: Matrix schema modeling2009: Data Point Modeling2010: Formulae implemented2011: Common dimensions for COREP, FINREP, ECB statistics2012: New COREP/FINREP XBRL taxonomies2013: EBA harmonized framework go live!
EuroFiling way forward
COREP (≤115,000 cells): COmon REPorting , Basel II solvency ratioFINREP (≤25,000 cells): FINancial REPorting, IFRS / CRD
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NSAs Jurisdictions
Decisions Advice
….. …..Membership
Int’l
EuroFiling Collaborative Framework
Coop
erati
on
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?Data requirements
+ concepts definitions
Data exchange format:XBRL taxonomy
analysis and auditsupervisor data
reporting entity
Data Point Model use case
DataPoint Model
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Reporting Entity
Supervisor
ProgrammerSystem Requirements
Programmer
Regulator
BusinessExpert
IT Analyst System Requirements
Java
Code
CodeIT Analyst ≠?
C++
Regulation IT Format
The traditional misunderstanding problem
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Reporting Entity
Supervisor
Regulator IT Analyst
=Business expert IT Analyst
Regulation Data Point XBRL
A common understanding solution?
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European Parliament, 2010-09-22, Art. 74(2), 110(2):… shall develop implementing technical standards to introduce… uniform formats … regarding IT solutions.
European Banking Authority (EBA)
EBA consultation paper, 2011-12-20Reporting shall be done in accordance with the specifications included in the Data Point Model and the XBRL taxonomies,
Data Point Model: structured formal representation of the data, identifying all the business concepts and its relations, as well as validation rules, oriented to all kind of implementers.
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XBRL EBA Workshop – Nov ‘07
“The same information should be produced only once”
• as such, certain elements have been defined as common i.e. :
• Elements requested by the 3 mains regulators (CB, CBFA, CSSF)
• Elements requested by the holding (in the consolidated financial statements)
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Data Point Model example
Location of activity: SpainAmount type: Outstanding
PrimaryItem: AssetsCategory of assets: Debt securitiesCounterparty sector: Monetary Financial InstitutionsOriginal maturity: ≥ 1 year < 2 yearCounterparty residence: SpainInstrument original currency: EUR
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11Open Source tool at www.openfiling.info
Data Point Model enabling tool
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by p
ortfo
lioby
categ
ory
by residence
by original currency
by amount
by …
by sector
assets
SELECT SUM (factValue)
FROM allFacts
WHERE item=″assets″ AND portfolio=″held-for-trading″ AND category=″derivatives″ AND amount=″notional″ ANDctResidence=″UK″ ANDctSector=″credit institutions″ ANDoriginalCurrency=″eur″ ANDriskType=″commodity″ ANDmarket=″OTC″ AND…
assets:= 24.320.223,54€
Queries
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131313Ochocki, B. et al. (2011)
Data Point Model reconciliation
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1414142011 2010
Entity B
XBRL int. €
$
Cash
721,596 624,658
XBRLInternal
Structure
<us-gaap:Cash contextRef="c001" unitRef="u001">721596</…> <us-gaap:Cash contextRef="c002" unitRef="u001“>624658</…>
<context id="c001“><….entity><…="www.xbrl.org">XII</…></…><xbrli:period><xbrli:instant>2011-06-30</…> </…></…><xbrli:unit id="u001"><….>iso4217:USD</…> </…>
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DEFINITIONSData point = Base item [Dimension(member), Dimension(member)…]Base item = Conceptual meaning: asset, liability, capital, exposure …Dimension= Breakdown / Disaggregation: Country, CounterpartyMember = Each “value” of a dimension: Cash, Loans, Shares…
Asset [Type(Shares), Country(UK), Counterparty(Corporations)]
MethodIf two cells in the reporting framework are disaggregations, breakdowns, or share characteristics of the same business concept, the differences are to be expressed as members of dimensions. At the end of the process, only a few of “pure” base items and a number of dimensional members are defined to express in a combinational structure the original regulatory framework.
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Regulatory framework
cellsCartesian product
DataPointModel
C D¦: C D
subjective
Data Point Model function
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Total number of potential data points =
∏ nii=1 to d
Total number of members ≤
∑ nii=1 to d
∏ ni i=1 to d
∑ ni i=1 to d ________________
d_n =
∑ nii=1 to d
ni = number of members of the dimension id = number of dimensions
_nd ≈
_ _and dn << nd
Typically << as it is equivalent to:
∏ nii=1 to d
Data Point Model progression
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Main Properties:
1. Arithmetic progression in the number of members creates data points exponentially
2. Each cell defines one data point; each data point is defined by one cell (at least).
3. Each dimension would be used only zero or one times in each data point
4. A member would be shared among several dimensions
5. The dimensional expression is commutative
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COREP/FINREP implementation model
BankIT Banking
OperationsCounterparties
Collateral… Instance
------------------------------------
SupervisorIT Supervision
ReportsOther data
……
Presentation, Analysis…
Bank operations, controls….
Basel IIIFRS
to XBRL from XBRL
Basel IIIFRS
File Transfer (National)
XBRL (Europe)
XBRL (National)
Errors Errors
National implementation
Europe
InstitutionConsultantsVendors
InstitutionConsultants
Vendors
Didactic model for explanatory purposes only
REGULATION
Instance------------------------------------
INDUSTRY
Internet
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202020
Welcome to Madrid!
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Ignacio Boixoboixo [at] eurofiling.info
Many thanks!