Methodology of Data Point Model in European Banking Supervision: COREP/FINREP Ignacio Boixo, EuroFiling Coordinator Ma

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

2. European Supervisory framework 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!

3. 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): COmonREPorting , Basel II solvency ratio FINREP (≤25,000 cells): FINancialREPorting, IFRS / CRD 3 3

4. EuroFiling Collaborative Framework Cooperation Int’l Decisions Advice NSAs Jurisdictions Membership ….. ….. 4 4

5. Data Point Model use case reporting entity Data exchange format: XBRL taxonomy DataPoint Model Data requirements + concepts definitions ? data supervisor analysis and audit 5 5

6. Java 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

7. A common understanding solution? Supervisor IT Analyst Regulator = Reporting Entity XBRL Regulation Data Point IT Analyst Business expert 7 7

8. 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 8

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 10 10

11. Data Point Model enabling tool Open Source tool at www.openfiling.info

12. Queries 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

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

14. <context 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

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. 15 15

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

17. Data Point Model progression 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

18. Main Properties: 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

19. IT 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

20. Welcome to Madrid! 20 20

21. Ignacio Boixoboixo [at] eurofiling.info Many thanks!