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1 XBRL, Solvency II approach 15th Eurofiling workshop Madrid, 2012-05-31.

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Presentation on theme: "1 XBRL, Solvency II approach 15th Eurofiling workshop Madrid, 2012-05-31."— Presentation transcript:

1 1 XBRL, Solvency II approach 15th Eurofiling workshop Madrid,

2 – XBRL, Solvency II approach - Madrid – © Agenda Introduction Reporting frameworks in EU Choice of XBRL and architecture Initial taxonomy development: moderately dimensional Introduction of Data Point Modelling and highly dimensional approach EIOPA approach: MD and HD Tool for undertakings

3 – XBRL, Solvency II approach - Madrid – © In force Nov. 2009: Solvency II Directive 1/1/2011 Technical preparation (advices) Technical standards Solvency II Timeline Implementing measures Omnibus II TODAY

4 – XBRL, Solvency II approach - Madrid – © XBRL issues Main issues to solve for a successful implementation oScarcity of available skilled XBRL resources oShort timeframe before the go-live date

5 – XBRL, Solvency II approach - Madrid – © EIOPA current work Mutualized development oAn EIOPA effort instead of 30 national efforts oA taxonomy project, to be delivered as soon as possible after the availability of the stable reporting package (target: this autumn) Outcome of the technical consultation: cross sector consistency desirable. oExperience sharing with the others ESAs (EBA, ESMA) and ESRB oData Point Modelling project launched (EBA used methodology)

6 – XBRL, Solvency II approach - Madrid – © Tight deadlines and resources scarcity Stable reporting requirements in June, DPM in September, supporting stable taxonomy this autumn A tool for undertakings project launched oTo provide a (non mandatory) possibility for undertakings to produce valid XBRL instances from the start EIOPA need to be able to validate, extract, store and then use data oMutualization/sharing possibilities currently examined (e.g. providing a benchmarking validation service)

7 – XBRL, Solvency II approach - Madrid – © Agenda Reporting frameworks in EU Choice of XBRL and architecture Initial taxonomy development: moderately dimensional Introduction of Data Point Modelling and highly dimensional approach EIOPA approach: MD and HD Tool for undertakings

8 – XBRL, Solvency II approach - Madrid – © Overall reporting framework in EU … … Countries ReportersNSAsESAs Europe

9 – XBRL, Solvency II approach - Madrid – © Agenda Reporting frameworks in EU Choice of XBRL and architecture Initial taxonomy development: moderately dimensional Introduction of Data Point Modeling and highly dimensional approach EIOPA approach: MD and HD Tool for undertakings

10 – XBRL, Solvency II approach - Madrid – © Path to XBRL Solvency II is a complex reporting Structured XML, first chosen, is not adequate Choice of XBRL, over an EIOPA-specific flat XML language: YARL (Yet Another Reporting Language)

11 – XBRL, Solvency II approach - Madrid – © Reasons for alignment considerations oCertain firms are required to send reports to both banking and insurance regulators oCertain software vendors offer products or solutions for both, banks and insurance companies Commonalities between EBA and EIOPA taxonomies under consideration: oCommon dimensions oData Point Modelling oCommon data types oTaxonomy architecture oBase primary items oLabel construction rules oTools oetc Commonalities with EBA taxonomies

12 – XBRL, Solvency II approach - Madrid – © Agenda Reporting frameworks in EU Choice of XBRL and architecture Initial taxonomy development: moderately dimensional Introduction of Data Point Modelling and highly dimensional approach EIOPA approach: MD and HD Tool for undertakings

13 – XBRL, Solvency II approach - Madrid – © Taxonomy generated from templates Abstract primary items (label or alias) Primary items (label or alias) Dimension Domain, value or list of values Types Pop-up window showing P.Item + Characteristics + Dim. combinaison(s) Header dimension(s) Line dimension(s) Column dimension(s)

14 – XBRL, Solvency II approach - Madrid – © Use of codes for concepts Codes are used as tag names for concepts oTo get usable names (not too log) oTo be language-agnostic oThe codes used are those that are defined by the business people in the Quantitative Reporting Templates (regulatory document) oThey are not Excel cell coordinates !

15 – XBRL, Solvency II approach - Madrid – © A real template (extract)

16 – XBRL, Solvency II approach - Madrid – © Additional information needed in annotated templates

17 – XBRL, Solvency II approach - Madrid – © Expression of validations Generation of XBRL assertions with code, label, messages, using patterns

18 – XBRL, Solvency II approach - Madrid – © Agenda Reporting frameworks in EU Choice of XBRL and architecture Initial taxonomy development: moderately dimensional Introduction of Data Point Modelling and highly dimensional approach EIOPA approach: MD and HD Tool for undertakings

19 – XBRL, Solvency II approach - Madrid – © which is a base item, what is a breakdown? alignment with design of analytical models Dimensions in data models each data point defined as a base item high total number of items easy to define, difficult to maintain significant consequences of little changes to data model only base items few base items, many breakdowns each data point defined as a base item in a combination of members of breakdowns lower number of items in total (Cartesian product is multiplication) distinguishing between base items and breakdowns not always easy supports maintenance: relation concept- breakdown is stable but components of breakdowns tend to change

20 – XBRL, Solvency II approach - Madrid – © held-for-trading assets liabilities income/ expense loans derivatives natures instruments debt securities designated at fair value available-for-sale portfolios Portfolio breakdown (purpose and measurement) e.g. held for trading - acquired or incurred principally for the purpose of selling or repurchasing it in the near term; includes different instruments: Derivatives, Loans, Debt securities, Equity instruments, … Instruments breakdown: e.g. debt instrument - contractual or written assurance to repay a debt; can fall into different portfolios: Held-for-trading, Designated at fair value, Available for sale, … assets: property, resources, goods, etc that a company possesses and controls, e.g. financial instruments owned by a reporting entity that shall generate economic benefits in the future liabilities: sources of funding for companys assets and operations, e.g. financial instruments that have been issued by a reporting entity, thus represents an obligation that needs to be settled in the future by a transfer of some assets (such as cash) from the entity income/gains or expenses/losses: economic benefits that occurred during the period and originated from increase/decrease in value or result on sales/purchase of a given financial instrument Almost everything is a perspective

21 – XBRL, Solvency II approach - Madrid – © DATA POINT: Net carrying amount of not yet unimpaired but already past due (over 180 days) debt securities held, issued in EUR by MFIs located in EMU with original maturity under one year, measured at amortised cost and relating only to business activities conduced in Spain (local business). Categories: Total (…) Cash Loans Debt securities Equity instruments Tangible and intangible Other than (…) Counterparty sectors: All / Not-applicable MFIs MMFs MFIs other than MMFs Central Administration Other general government Non-MFIs other than government Original maturity: All < 1 year 1 year < 2 year 2 years Counterparty residences: All / Not-applicable EMU (…) Spain Other than Spain in EMU (…) Other than EMU (…) Original currencies: All / Not-applicable EUR Other than EUR Locations of activities: All / Not-applicable Spain Other than Spain (…) Amount types: Carrying amount Gross carrying amount (Specific allowances) (Collective allowances) Base terms: Assets Liabilities Equity Off-balance sheet Exposures Portfolios: Total (…) Fair value through profit or loss Amortised cost Impairment status All / Not-applicable Impaired Unimpaired Past due periods: All 0 days < 180 days 180 days Base term:Assets Category:Debt securities Portfolio:Amortised cost Amount type:Carrying amount Impairment status:Unimpaired Past due period: 180 days Original currency:EUR Original maturity:< 1 year Counterparty sector:MFIs Counterparty residence:EMU Location of activity:Spain

22 – XBRL, Solvency II approach - Madrid – © Annotated templates using generic base items Data can be analysed from multiple perspectives Most changes in the model do not affect primary items

23 – XBRL, Solvency II approach - Madrid – © Pro and cons for HD taxonomies Pros oQuality check for the model (via DPM) oExplicit dependencies between concepts oChange management with stable base items oUse of breakdowns for internal purposes (databases, BI…) oPotential bridge with other reporting frameworks oNo need for arbitrary decisions (base vs dimensions) oData centric model (template independent) Cons oLess readability of taxonomies oBigger instances and lower performances (more breakdowns used) oMore time and resources required for preparation oMore complex formulas / assertions with need of dimension filters

24 – XBRL, Solvency II approach - Madrid – © Agenda Reporting frameworks in EU Choice of XBRL and architecture Initial taxonomy development: moderately dimensional Introduction of Data Point Modelling and highly dimensional approach EIOPA approach: MD and HD Tool for undertakings

25 – XBRL, Solvency II approach - Madrid – © EIOPA XBRL Approach: Two Layers Data Point Model DPM XBRL architecture HDA taxonomy layer Non-DPM Eurofiling XBRL architecture MDA taxonomy layer DPM-based annotated templates Solvency II templates Annotated templates (limited DPM) Mapping layer

26 – XBRL, Solvency II approach - Madrid – © Benefits of two layers Derivatives, Investments other than held for index-linked or unit- linked funds BS_C1:A10A Solo or Group Solo Group Solo or Group Periodicity Annually Quarterly Monthly Ad hoc Valuation method Solvency II CRD Statutory Line of business Total Non-life, non SLT health SLT health Life Non-SLT health … Investment or own use Investment Own use Not unit-linked, not index-linked Linking Unit-linked or index-linked Types of assets Total Debt instruments Issuer or residence country Total … Country of custody Total … Type of amount Carrying amount … Original currency Total … … Assets Highly dimensional approach Marked to market Marked to model Solo or Group Solo Group Solo or Group Periodicity Annually Quarterly Monthly Ad hoc Valuation method Solvency II CRD Statutory Marked to market Marked to model Derivatives … … Moderate dimensional approach

27 – XBRL, Solvency II approach - Madrid – © Mapping layer considerations oMapping approach: -Equivalence linkbase -Formula linkbase -Instance mapping -Resource mapping -XSLT style-sheets -Rendering linkbase oCriteria for evaluation of mapping solutions -Standard specifications compliance -Maintenance of solution -Performance of processing (mapping) -Resources required for development -Support by software vendors

28 – XBRL, Solvency II approach - Madrid – © Agenda Introduction Reporting frameworks in EU Choice of XBRL and architecture Initial taxonomy development: moderately dimensional Introduction of Data Point Modelling and highly dimensional approach EIOPA approach: MD and HD Tool for undertakings

29 – XBRL, Solvency II approach - Madrid – © Why are we going to provide a XBRL Tool for Undertakings?

30 – XBRL, Solvency II approach - Madrid – © What are we looking for?

31 – XBRL, Solvency II approach - Madrid – © /7/2012 How and when are we going to develop it? 1 st Phase 2 nd Phase 21/09/ /03/ Project Setup Establish the members of the project, general goals, software methodology, calendar, etc. 2.- Create the first draft of the analysis of requirements Identify the scope of the project, analyse the alternatives, create the draft of the analysis of requirements. 2.- Create the first draft of the analysis of requirements Identify the scope of the project, analyse the alternatives, create the draft of the analysis of requirements. 3.- The open tender Write and publish a public tender request for an offer which includes the requirements established on the analysis. The interested companies will have 2 months to submit their offers. 3.- The open tender Write and publish a public tender request for an offer which includes the requirements established on the analysis. The interested companies will have 2 months to submit their offers. Timeline 4/7/ Evaluation Process Analyse the received offers and choose one of them. 4.- Evaluation Process Analyse the received offers and choose one of them. 26/10/ Design, implementation, test and integration Refine the analysis with the selected contractor, Implementing phase, testing phase, integration and NSA test. 5.- Design, implementation, test and integration Refine the analysis with the selected contractor, Implementing phase, testing phase, integration and NSA test. 01/01/201401/01/ rd Phase 7.- Production, configuration and change management Adaptive maintenance of the project. 7.- Production, configuration and change management Adaptive maintenance of the project. 6.- Publication Publish a release for public test. 6.- Publication Publish a release for public test. 01/05/ /04/2012

32 – XBRL, Solvency II approach - Madrid – © Requirements Distribution license for all Europe. Preferable EUPLA license Using the input forms in a similar layout as the public reference templates. Use of XBRL label, rendering, reference, formulas, etc. Allowing reusing or extension of the tool for national extensions Easy to use for administrative staff with limited IT knowledge Multiplatform XBRL syntax and formula validation at client side Easy to update when the taxonomy changes Internationalization: Languages, data formats, currencies, etc. 2 nd level support Open source, reusable Open source, reusable Easy to deploy Good performance with large amounts of data Note that these requirements are under discussion and not final

33 – XBRL, Solvency II approach - Madrid – © Thank you Any questions?


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