ppt - Eurofiling

Report
Methodology of Data Point Model in
European Banking Supervision:
COREP/FINREP
Ignacio Boixo, EuroFiling Coordinator
Malatya, 3th May 2012
European Supervisory framework
Basel II, IFRS/IAS …
Global Standard
European Directive
9X,XX% best practices + EU requirements
EC 2006/48 & 49 …
Country 1
NSA 1
Report 1
----------------------------------
Country 2
NSA 2
Report 2
Country 3
NSA 3
Transposition
into national Legislation
(…)
Country 27
(…)
NSA 27
National Regulation
Report 3
Report 27
-------------------------------------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------------------------------
National
Implementation
Challenge!
2
EuroFiling way forward
2004: First contacts
2005: Kick off meeting. Dimensions adopted
2006: COREP first dimensional XBRL taxonomy worldwide
2007: COREP/FINREP implemented, national extensions
2008: Matrix schema modeling
2009: Data Point Modeling
2010: Formulae implemented
2011: Common dimensions for COREP, FINREP, ECB statistics
2012: New COREP/FINREP XBRL taxonomies
2013: EBA harmonized framework go live!
COREP (≤115,000 cells): COmon REPorting , Basel II solvency ratio
FINREP (≤25,000 cells): FINancial REPorting, IFRS / CRD
3
EuroFiling Collaborative Framework
Int’l
Decisions
Advice
NSAs
…..
Jurisdictions
Membership
…..
4
Data Point Model use case
reporting
entity
Data exchange format:
XBRL taxonomy
?
Data
Data
Point
Model
requirements
+ concepts
definitions
data
supervisor
analysis and audit
5
The traditional misunderstanding problem
Supervisor
C++
IT Analyst
System
Programmer
Code
Requirements
Regulation
Business
Expert
?
IT Format
IT Analyst
Code
≠
Regulator
Java
System
Requirements
Programmer
Reporting Entity
6
A common understanding solution?
Supervisor
IT Analyst
Regulation Data Point
Business expert
XBRL
IT Analyst
=
Regulator
Reporting Entity
7
European Banking Authority (EBA)
European Parliament, 2010-09-22, Art. 74(2), 110(2):
… shall develop implementing technical standards to
introduce… uniform formats … regarding IT solutions.
EBA consultation paper, 2011-12-20
Reporting 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.
8
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
9
statements)
Data Point Model example
PrimaryItem: Assets
Category of assets: Debt securities
Counterparty sector: Monetary Financial
Institutions
Original maturity: ≥ 1 year < 2 year
Counterparty residence: Spain
Instrument original currency: EUR
Location of activity: Spain
Amount type: Outstanding
10
Data Point Model enabling tool
Open Source tool at www.openfiling.info
11
Queries
SELECT SUM (factValue)
FROM allFacts
assets
by residence
WHERE item=″assets″ AND
portfolio=″held-for-trading″
AND category=″derivatives″
AND amount=″notional″ AND
ctResidence=″UK″ AND
ctSector=″credit
institutions″ AND
originalCurrency=″eur″ AND
riskType=″commodity″ AND
market=″OTC″ AND
…
assets:= 24.320.223,54€
12
Data Point Model reconciliation
Ochocki, B. et al. (2011)
13
<context id="c001“><….entity><…="www.xbrl.org">XII</…></…>
<xbrli:period><xbrli:instant>2011-06-30</…> </…></…>
<xbrli:unit id="u001"><….>iso4217:USD</…> </…>
<us-gaap:Cash
<us-gaap:Cash
contextRef="c001" unitRef="u001">721596</…>
contextRef="c002" unitRef="u001“>624658</…>
Cash
XBRL
Internal
Structure
Entity B
XBRL int.
721,596
2011
€
624,658
2010
$
14
DEFINITIONS
Data point = Base item [Dimension(member), Dimension(member)…]
Base item = Conceptual meaning: asset, liability, capital, exposure …
Dimension= Breakdown / Disaggregation: Country, Counterparty
Member = Each “value” of a dimension: Cash, Loans, Shares…
Asset [Type(Shares), Country(UK), Counterparty(Corporations)]
Method
If 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.
15
Data Point Model function
: C  D
C
subjective
D
Data
Point
Model
Regulatory
framework
cells
Cartesian
product
16
Data Point Model progression
ni = number of members of the dimension i
d = number of dimensions
Total number of members ≤
∑ ni
Total number of potential data points = ∏
i=1 to d
Typically
∑ ni
i=1 to d
_
n=
∑ ni
i=1 to d
________________
d
<<
∏ ni
i=1 to d
ni
as it is equivalent to:
i=1 to d
_d
∏
n
n ≈
i
i=1 to d
and
_ _d
dn << n
17
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
18
COREP/FINREP implementation model
National implementation
Institution
Consultants
Vendors
XBRL
(National)
REGULATION
XBRL
(Europe)
Institution
Consultants
Vendors
Europe
Internet
Bank operations,
controls….
Errors
Bank
to XBRL
IT Banking
Operations
Counterparties
Collateral
…
Presentation,
Analysis…
Errors
INDUSTRY
Basel II
IFRS
Supervisor
from
XBRL
IT Supervision
Basel II
IFRS
Instance
----------------------------------
Instance
----------------------------------
File Transfer (National)
Reports
Other data
…
…
Didactic model for explanatory purposes only
19
Welcome to Madrid!
20
Many thanks!
Ignacio Boixo
boixo [at] eurofiling.info

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