Post on 11-Mar-2018
AALTO University, XBRL Finland
Helsinki, March 25, 2013
Bridging compliance and internal use: XBRL & DPM value for data organisation, sourcing and
analysis for banking and insurance entities
Michal Piechocki
2006 - 2012 © Business Reporting – Advisory Group
Introduction: Michal Piechocki
• Member | XBRL International Member Assembly
• Member | IFRS XBRL Quality Review Team
• Member | Institute of Management Accountants XBRL Committee
• Member | IBM Information Governance Council
• Subject Matter Expert | XBRL International Certification Board
• Co-author | Leveraging XBRL for Value in Organizations (IFAC & ISACA)
• Co-author | XBRL for Interactive Data: Engineering …
• Instructor | XBRL International Taxonomy Development Training
• CEO | Business Reporting – Advisory Group
Past:
• Member At Large | XBRL International Steering Committee
• Chair | XBRL International Certification Committee
• Member | IASCF XBRL Team (IASB)
2006 - 2012 © Business Reporting – Advisory Group
European Supervision (new architecture)
European Systemic Risk Board (ESRB)
European System of Financial Supervisors (ESFS)
Eu
rop
ea
n B
an
kin
g A
uth
ori
ty (
EB
A)
Eu
rop
ea
n I
nsu
ran
ce
an
d O
ccu
pa
tio
na
l P
en
sio
ns A
uth
ori
ty (
EIO
PA
)
Eu
rop
ea
n S
ecu
riti
es a
nd
Ma
rke
ts
Au
tho
rity
(E
SM
A)
mic
ro l
eve
l m
acro
le
ve
l
Superv
isory
colle
ges
Superv
isory
colle
ges
Superv
isory
colle
ges
until 2011
Chairperson Chairperson Chairperson
until 2011 until 2011
2006 - 2012 © Business Reporting – Advisory Group
Three pillars approach for Basel III
Basel III
Pillar I Minimum capital requirements and
Ratios For example: • Own funds • Credit, market, operational
risk requirements • Minimum capital ratios • Minimum liquidity ratios • Minimum leverage ratio • Regulatory reporting
Pillar II Risk management and
supervision For example: • Stress testing • Prudential supervision • Risk management • Capital buffers • Corporate governance • Supervisory colleges
Pillar III Market discipline
For example: • Public disclosure • Reconciliation of regulatory
capital to accounting framework
2006 - 2012 © Business Reporting – Advisory Group
Basel II
EC 2006/48 & 49 …
Country 1
NBP 1
Report 2 Report 1
------------
------------
------------
Country 3 Country 2 Country 27
NCB 2 FSA 3 NBB 27
Report 3
-----------------------------------------
-----------------------------------------
-----------------------------------------
-------------------------------------
Transition into national legislation
(national options)
European Law 9X,XX% best practices + EU
requirements
National implementation
Challenge! Relations between
information models. Necessity to introduce single rule book based on regulation (not only
directive)
Global best practices
Report 27
-----------------------------
-----------------------------
-----------------------------
-----------------------------
-----------------------------
---------------
Lack of comparability of data for CRD I-III reporting
2006 - 2012 © Business Reporting – Advisory Group
Old way of modelling COREP
at least one base item is necessary • 1 base item - 3 breakdowns (# of members: 6, 4, 4) • 4 base items - 2 breakdowns (# of members: 6, 4) • 6 base items - 2 breakdowns (# of members: 4, 4) • 15 base items - 1 breakdown (# of members: 4) • ? base items – ? breakdowns (# of members: ?) • hidden (implicit) dimensions:
– measurement - carrying amount net or gross? – consolidation scope (CRD/IFRS) – counterparty sector (e.g. debt securities issues by non-retail)
financial liabilities
total
instruments
derivatives
short positions
deposits
debt securities
issued
other
total
portfolio
held for trading
designated at FV through
P&L
measures at amortised
cost
residence (not usable)
domestic
EMU
other EU
other
2006 - 2012 © Business Reporting – Advisory Group
• which is a base item, what is a breakdown?
• alignment with design of analytical models
Old way - consequences
• 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
2006 - 2012 © Business Reporting – Advisory Group
"form centric” • based on presentation that
conveys semantics (interpretation in certain contexts)
• identification of data based on location in table (i.e. Table XYZ, Row 010, Column 200)
"data centric” • explicit definition irrespective of
presentation (every term fully understood by its own with all properties included in its definition)
• identification of data based on its attributes (i.e. Type of instrument, Counterparty, Currency)
2006 - 2012 © Business Reporting – Advisory Group
information requirements (legal acts, templates and
guidelines)
definitions of business terms and their classification
valid combinatinos
$v1 = $v2 + $v3
$v1 = abs($v2 div $v3)
...
business rules and error messages
data model
§
Need for a data model
§ Business Domain Experts
IT Experts
analysis (query, comparisons, manipulation) and supervision
Processes
1 2 3
2006 - 2012 © Business Reporting – Advisory Group
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 company’s 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
Everything is a perspective
2006 - 2012 © Business Reporting – Advisory Group
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
Other than EMU (…)
Original currencies:
All / Not-applicable
EUR
Other than EUR Locations of activities:
All / Not-applicable
EU
Other than EU (…)
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: EU
Measure (metric):
Monetary
Text
Date
Time reference:
Current period end
Previous period end
Current period
Measure (metric): Monetary
Time reference: Current period end
Data point
2006 - 2012 © Business Reporting – Advisory Group
Queries based on DPM
by counterparty residence 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
…
24.320.223,54
2006 - 2012 © Business Reporting – Advisory Group
Analysing data based on DPM
static views
dynamic analysis
modelling of databases (e.g. by regions, by products,
by clients, etc.)
2006 - 2012 © Business Reporting – Advisory Group
Impact of DPM
Entity
Period
Unit
Fact
Risk type
Exposure type
Cunterparty
Data point = new point of view on fact
2006 - 2012 © Business Reporting – Advisory Group
DPM and cross-sector reporting
ECB Statistics
Percentage Intervals
Amount interval
Minimum reserve
COREP
Exposure type
Securitization type
…
FINREP
Collateral
Sector
Risk type
Impairment
Currency
Time intervals
Geographical areas
Amount type
Entity code
Main categories
Loan type
Transfer
Comprehensive income
Controling/ Non-controlling
Fair value level
Portfolio
…
FINREP rev 2
Market
Approach/Model used
Approach/Model used
SOLVENCY II
Line of business
Type of business
Diversification
Type of contract
Change in basic own funds
Type of claim
…
2006 - 2012 © Business Reporting – Advisory Group
COREP XBRL (EBA) Architecture
Conceptual level (Dictionary) + Dimensional relationships
(coherent with definitions in legal format)
Presentation relationships layer
(flexible views)
National extension
Dimensional relations Complete model
of data requirements
Presentation relations Current data requirements
Dictionary Concepts declarations, labels and
references
Data warehouse User interface
design and stability of mapping flexible views
• aim: coherency, stability, flexibility (+ simplicity and efficiency)
• aspects: implementation and maintenance (both at filer and supervisor sides)
2006 - 2012 © Business Reporting – Advisory Group
EBA development process
conv information requirements
(legal regulations)
analysis matrix (information from
annotated templates)
metadata database conversion tool
(XBRL properties)
XBRL taxonomy
XBRL taxonomy
macro
analysis and
publication
mapping and storage
exchange and
validation
DPM Architect
2006 - 2012 © Business Reporting – Advisory Group
Implementation scenarios
ERP REPORT WRITER
Portal
ERP
1. Receiver provides XBRL enabled excel, word, PDF templates
2. Outsourcing (printer, consultant, vendor to prepare reports )
3. Bolt-on (tools to transform your reports into XBRL at the last stage )
4. Integrate (build XBRL into company’s business reporting supply chain)
Portal
Portal
Portal
Benefits Challenges
• no implementation costs • need for manual work (rekeying data)
• error prone • no benefit outside of this
particular reporting context
• comprehensive support • low risk • no knowledge required
• lack of control • possibly high cost • lack of internal capabilities
• simplified approach • potential cost-saving • control over result
• comprehensive approach • cost-saving (mid-long) • control over result • automated processing • enhanced reporting • high data quality
• upfront investment • level of complication
• knowledge required • time risk • significant effort for change
update
2006 - 2012 © Business Reporting – Advisory Group
Compliance
REPORTING GATE
Webservice & validation
Data input interface & validation
REPORTING ENTITY (BANK)
RELATED ENTITY (e.g. SUBSIDIARY)
XBRL Taxonomies
XBRL
SUPERVISOR (analysis, publication)
REGULATORY AGENCIES (sharing, registry)
INVESTOR, LENDER (analysis)
FOREIGN REGULATORY AGENCY (analysis, publication)
XBRL Taxonomies
XBRL file upload & validation
Other (authentication, security, prefill, notifications)
XBRL
XBRL
XBRL
XBRL
2006 - 2012 © Business Reporting – Advisory Group
Conclusions
In internal scenarios:
• DPM can be used as a bridge allowing precise communication
• XBRL can be used as electronic information exchange standards
In external (compliance) scenarios:
• DPM allows to map internal data sources
• XBRL allows to create the final report
XBRL software:
• Disclosure management systems enabled with XBRL and DPM
• ETL mechanisms understanding DPM and using XBRL
• Validators, mappers to XBRL
Michal Piechocki, CEO
michal.piechocki@br-ag.eu
m: +48 505 558628 | o: +48 618 522277 | f: +48 618 522277
Business Reporting – Advisory Group spółka z ograniczoną odpowiedzialnością spółka komandytowa
Sniadeckich 28/5 | 60-774 Poznan | Poland
http://www.br-ag.eu | info@br-ag.eu
Contact