Methodology of Data Point Model in European Banking Supervision: COREP/FINREP Ignacio Boixo, EuroFiling Coordinator Malatya, 3 th May 2012

2 Basel II, IFRS/IAS … EC 2006/48 & 49 … Country 1 NSA 1 Report 2 Report Report Country 3 Country 2 Country 27 NSA 2 NSA 3 NSA 27 Report Report Transposition into national Legislation European Directive 9X,XX% best practices + EU requirements National Regulation Challenge! Global Standard Report Report (…) National Implementation European Supervisory framework

: 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! EuroFiling way forward COREP (≤115,000 cells): COmon REPorting, Basel II solvency ratio FINREP (≤25,000 cells): FINancial REPorting, IFRS / CRD

444 NSAs Jurisdictions Decisions Advice ….. Membership Int’l EuroFiling Collaborative Framework Cooperation

555 ? ? Data requirements + concepts definitions Data exchange format: XBRL taxonomy analysis and audit supervisor data reporting entity Data Point Model use case Data Point Model

666 Reporting Entity Supervisor Programmer System Requirements Programmer Regulator Business Expert IT Analyst System Requirements Java Code IT Analyst ≠ ? C++ Regulation IT Format The traditional misunderstanding problem

777 Reporting Entity Supervisor Regulator IT Analyst = Business expert IT Analyst Regulation Data Point XBRL A common understanding solution?

888 European Parliament, , Art. 74(2), 110(2): … shall develop implementing technical standards to introduce… uniform formats … regarding IT solutions. European Banking Authority (EBA) EBA consultation paper, 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.

9 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)

10 Data Point Model example Location of activity: Spain Amount type: Outstanding 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

11 Open Source tool at Data Point Model enabling tool

12 by portfolio by category 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″ AND ctResidence=″UK″ AND ctSector=″credit institutions″ AND originalCurrency=″eur″ AND riskType=″commodity″ AND market=″OTC″ AND … assets:= ,54€ Queries

13 Ochocki, B. et al. (2011) Data Point Model reconciliation

Entity B XBRL int. € $ Cash 721, ,658 XBRL Internal Structure XII iso4217:USD

15 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.

16 Regulatory framework cells Cartesian product Data Point Model C D  : C  D subjective Data Point Model function

17 Total number of potential data points = ∏ n i i=1 to d Total number of members ≤ ∑ n i i=1 to d ∏ n i i=1 to d ∑ n i i=1 to d ________________ d _ n = ∑ n i i=1 to d n i = number of members of the dimension i d = number of dimensions _nd ≈_nd ≈ _ _ and dn << n d Typically << as it is equivalent to: ∏ n i i=1 to d Data Point Model progression

18 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

19 COREP/FINREP implementation model Bank IT Banking Operations Counterparties Collateral … Instance Supervisor IT Supervision Reports Other data … Presentation, Analysis… Bank operations, controls…. Basel II IFRS to XBRL from XBRL Basel II IFRS File Transfer (National) XBRL (Europe) XBRL (National) Errors National implementation Europe Institution Consultants Vendors Institution Consultants Vendors Didactic model for explanatory purposes only REGULATION Instance INDUSTRY Internet

20 Welcome to Madrid!

Ignacio Boixo boixo [at] eurofiling.info Many thanks!