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

333

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

444

NSAs Jurisdictions

Decisions Advice

….. …..Membership

Int’l

EuroFiling Collaborative Framework

Coop

erati

on

555

?Data requirements

+ concepts definitions

Data exchange format:XBRL taxonomy

analysis and auditsupervisor data

reporting entity

Data Point Model use case

DataPoint Model

666

Reporting Entity

Supervisor

ProgrammerSystem Requirements

Programmer

Regulator

BusinessExpert

IT Analyst System Requirements

Java

Code

CodeIT 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, 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)

101010

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

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

131313Ochocki, B. et al. (2011)

Data Point Model reconciliation

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

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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

202020

Welcome to Madrid!

Ignacio Boixoboixo [at] eurofiling.info

Many thanks!