Methodology of Data Point Model in European Banking Supervision:
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Methodology of Data Point Model in European Banking Supervision: COREP/FINREP Ignacio Boixo, EuroFiling Coordinator Malatya, 3 th May 2012. European Supervisory framework. Basel II, IFRS/IAS …. Global Standard. E uropean Directive 9X,XX% best practices + EU requirements.

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Methodology of Data Point Model in European Banking Supervision: COREP/FINREPIgnacio Boixo, EuroFiling CoordinatorMalatya, 3th May 2012


European supervisory framework
European Supervisory framework Supervision:

Basel II, IFRS/IAS …

Global Standard

European Directive

9X,XX% best practices + EU requirements

EC 2006/48 & 49 …

Transposition into national Legislation

Country 1

Country2

Country3

Country27

(…)

National Regulation

NSA 1

NSA 2

NSA 3

NSA 27

(…)

National Implementation

Report 27

----------------------------------------------------------------------------------------------------------------------------------------------------------------

Report 1

------------------------------------

Report 2

Report 3

----------------------------------------------------------------------------------------------------------------------------------------------------------------

Challenge!


Eurofiling way forward
EuroFiling way forward Supervision:

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): COmonREPorting , Basel II solvency ratio

FINREP (≤25,000 cells): FINancialREPorting, IFRS / CRD

3

3


EuroFiling Supervision: Collaborative Framework

Cooperation

Int’l

Decisions

Advice

NSAs

Jurisdictions

Membership

…..

…..

4

4


Data point model use case
Data Point Model use case Supervision:

reporting entity

Data exchange format:

XBRL taxonomy

DataPoint Model

Data requirements

+ concepts definitions

?

data

supervisor

analysis and audit

5

5


The traditional misunderstanding problem

Java Supervision:

C++

System

Requirements

System

Requirements

Programmer

IT Analyst

Regulator

Business

Expert

IT Analyst

Programmer

The traditional misunderstanding problem

Supervisor

Code

Reporting Entity

Regulation

IT Format

Code

?

6

6


A common understanding solution
A common understanding solution? Supervision:

Supervisor

IT Analyst

Regulator

=

Reporting Entity

XBRL

Regulation

Data Point

IT Analyst

Business expert

7

7


European banking authority eba
European Banking Authority (EBA) Supervision:

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

8


XBRL Supervision: 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)


Data point model example
Data Point Model example Supervision:

10

10


Data point model enabling tool
Data Point Model enabling tool Supervision:

Open Source tool at www.openfiling.info


Queries
Queries Supervision:

SELECT SUM (factValue)

FROMallFacts

WHERE item=″assets″ AND

portfolio=″held-for-trading″ ANDcategory=″derivatives″ AND amount=″notional″ AND

ctResidence=″UK″ AND

ctSector=″credit institutions″ AND

originalCurrency=″eur″ AND

riskType=″commodity″ AND

market=″OTC″ AND

by portfolio

by category

by amount

assets

by residence

by sector

by original currency

by …

assets:= 24.320.223,54€

12

12


Data point model reconciliation
Data Point Model reconciliation Supervision:

Ochocki, B. et al. (2011)

13

13


<context Supervision: id="c001“><….entity><…="www.xbrl.org">XII</…></…>

<xbrli:period><xbrli:instant>2011-06-30</…></…></…>

<xbrli:unit id="u001"><….>iso4217:USD</…></…>

  • <us-gaap:CashcontextRef="c001"unitRef="u001">721596</…>

  • <us-gaap:CashcontextRef="c002"unitRef="u001“>624658</…>

XBRL

Internal

Structure

Cash

Entity B

XBRL int.

$

721,596 624,658

2011 2010

14

14


DEFINITIONS Supervision:

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

15


Data point model function
Data Point Model function Supervision:

  • : CD

  • subjective

D

C

Data

Point

Model

Regulatory framework cells

Cartesian product

16

16


Data point model progression
Data Point Model progression Supervision:

ni = number of members of the dimension i

d = number of dimensions

∑ ni

  • i=1 to d

Total number of members ≤

∏ ni

i=1 to d

Total number of potential data points =

∑ ni

  • i=1 to d

∏ ni

i=1 to d

Typically << as it is equivalent to:

∑ ni

  • i=1 to d

  • ________________

  • d

_ _

and dn<< nd

_

nd≈

∏ ni

i=1 to d

_

n =

17

17


Main Properties: Supervision:

Arithmetic progression in the number of members creates data points exponentially

Each cell defines one data point; each data point is defined by one cell (at least).

Each dimension would be used only zero or one times in each data point

A member would be shared among several dimensions

The dimensional expression is commutative

18

18


IT Supervision Supervision:

Reports

Other data

COREP/FINREP implementation model

REGULATION

National implementation

Institution

Consultants

Vendors

XBRL (National)

Institution

Consultants

Vendors

Europe

XBRL (Europe)

Bank

Supervisor

Internet

Bank operations, controls….

Presentation, Analysis…

Errors

Errors

IT Banking

INDUSTRY

Basel II

IFRS

Basel II

IFRS

to XBRL

from XBRL

Operations

Counterparties

Collateral

Instance

------------------------------------

Instance

------------------------------------

File Transfer (National)

Didactic model for explanatory purposes only

19

19


Welcome to Madrid! Supervision:

20

20


Ignacio boixo boixo at eurofiling info

Ignacio Boixo Supervision: boixo [at] eurofiling.info

Many thanks!


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