INFORMATION SYSTEMS AND PROCESSES

BANK OF SPAIN’S XBRL FORMULAE SYSTEM IMPLEMENTATION AND CONCLUSIONS

Víctor MorillaIT Project Manager of Bank of SpainMember of CEBS XBRL Network

IX European Banking Supervisors XBRL Workshop

Paris September 29th 2008

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INFORMATION SYSTEMS AND PROCESSES

XBRL FORMULAE DEVELOPMENT

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Business rules document

InitialAnalysis

InitialAnalysis

Documentreference numbers and EU / SP classification

DevelopmentDevelopment

Formulae intermediate formula

LinkbasegenerationLinkbase

generation

Formulae linkbase

Instance generationand testing

Instance generationand testing

Test instancedocuments + corrected linkbase

INFORMATION SYSTEMS AND PROCESSES

BUSINESS RULES DOCUMENT

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INFORMATION SYSTEMS AND PROCESSES

BUSINESS FORM

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INFORMATION SYSTEMS AND PROCESSES

BUSINESS RULES WITH REFERENCES AND EUROPEAN / SPANISH CLASSIFICATION

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INFORMATION SYSTEMS AND PROCESSES

INTERMEDIATE FORMULA FORMAT

Not convenient formula editors available when we startedIntermediate XML format as temporal alternative to graphical editorProperties of the intermediate XML format:

- Based on a XML Schema definition- Uses only a subset of the Formulae specification- Simplifies Xlink Syntax

We designed an intermediate XML format and developed XSLT transformations to obtain the final linkbase:

- Isolates us from changes in the syntax of the specification-Takes care of default values-Takes care of style guide issues

But:-It doesn’t check Xpath expressions- It doesn’t check missing variables or name mistakes- Error detection quite limited

We used Fujitsu’s taxonomy editor to help debugging

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INFORMATION SYSTEMS AND PROCESSES

INTERMEDIATE FORMULA FORMAT

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INFORMATION SYSTEMS AND PROCESSES

INTERMEDIATE FORMULA FORMAT

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INFORMATION SYSTEMS AND PROCESSES

RESOURCES

About 400 XBRL Formulae for 3.400 business rules

About 120 working days= 5,5 months / one

person(2 months with 4 people part time)

In a stable environment, we estimate 36 working days (including both development and tests)

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INFORMATION SYSTEMS AND PROCESSES

FIRING SUBSETS OF ASSERTIONS

Each solvency statement has different frequency requirementsCA: half-yearly for groups and individual companies and yearly for subsidiariesOperational risk: yearly

We generally assume that not reported data is zero

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What happens to a rule like this?Addition of operational requirements by method (OR template) must be equal to total operational requirements (CA template)

What happens to a rule like this?Addition of operational requirements by method (OR template) must be equal to total operational requirements (CA template)

We need a way to select which assertions must be applied

depending on the data reported

We need a way to select which assertions must be applied

depending on the data reported

INFORMATION SYSTEMS AND PROCESSES

FIRING SUBSETS OF ASSERTIONS

Each assertion set represents the assertions to be applied to a statement

A set of items in the instance document are used to claim which statements are reported (a manifest)

Fujitsu’s processor asks the calling application before processing each assertion set

Our application obtains the reference of the assertion set and checks whether the that statement is in the manifest

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AssertionSetAssertionSet

Assertion 1Assertion 1

Assertion 2Assertion 2

Assertion 3Assertion 3

Reference:

Statement

3010

INFORMATION SYSTEMS AND PROCESSES

HOW ERRORS ARE COMMUNICATED

Each assertion has:A reference numberA label that describes the error

When an assertion is not satisfied the following information is sent to the user:

The reference numberThe label describing the errorThe expression that failedThe value of each input variableIn the case of consistency assertion:

The calculated value

The reported value

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AssertionAssertion

Reference:

3010-sv-1

Reference:

3010-sv-1

Label: “Operational risk capital requirements not consistent with its breakdown by method applied”

Label: “Operational risk capital requirements not consistent with its breakdown by method applied”

INFORMATION SYSTEMS AND PROCESSES

FUTURE PLANS: VALIDATION AGAINST INFORMATION IN A DATABASE

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XBRLInstance docume

nt

XBRLInstance docume

nt

XBRLprocessor

XBRLprocessor

Xpath externalfunctions

Xpath externalfunctions

Test = “abs(($assets - $prevAssets) / $assets) lt 2.00”

Fact variable

$assets : Concept filter

General variable

$prevAssets: “db:fact-from-period($assets, -1)”

| (Assets – Assets last year) / Assets| < 200%

INFORMATION SYSTEMS AND PROCESSES

CONCLUSIONS

XBRL Formulae covers perfectly our needsPowerfulExtensibleMaintainableIntuitive and easy to use

In spite the lack of homogeneity, it is possible to reuse formulae across different countries

Market tools are promising but...

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INFORMATION SYSTEMS AND PROCESSES

COREP STANDS FOR COMMON REPORTING

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INFORMATION SYSTEMS AND PROCESSES

ARE WE USING XBRL PROPERLY?

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d-mr:MRiskSAEQUExchangeTradedStockIndexFuturesBroadlyDiversifiedSubjectParticularApproach +d-mr:MRiskSAEQUOtherEquitiesThanExchangeTradedStockIndexFuturesBroadlyDiversified

0501 + 0502

INFORMATION SYSTEMS AND PROCESSES

THANKS FOR YOUR ATTENTIONVÍCTOR MORILLA