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, 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, 2011-12-20 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.
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 www.openfiling.info 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:= 24.320.223,54€ Queries
13 Ochocki, B. et al. (2011) Data Point Model reconciliation
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