DATA GOVERNANCE AND DATA POINT MODEL ARCHITECTURE AT BANCO DE ESPAÑA

Transcription

1 DATA GOVERNANCE AND DATA POINT MODEL ARCHITECTURE AT BANCO DE ESPAÑA Anselmo Díaz Director of the Department MEETING ON FINANCIAL INFORMATION NEEDS FOR STATISTICS, MACROPRUDENTIAL REGULATION AND SUPERVISION IN CENTRAL BANKS OF LATIN AMERICA AND THE CARIBBEAN Ciudad de México May, 16th 2014

2 DATA GOVERNANCE (I) BdE Statistics Data Design of DPM Monetary Policy Data r CCR reporting Financial Stability Integrated regulation of internal and external requirements Public financial statements Statistical reporting Supervision FINANCIAL REPORTING AND CCR REPORTING INSTITUTIONS Supervisory reporting BdE users requirements Quality controls of data Dissemination of data Data INTERNATIONAL ORGANISATIONS ECB EBA BIS FSB MARKET (BANKING ASSOCIATIONS) INFORMATION TECHNOLOGY REPORTING INSTITUTIONS 2

3 DATA GOVERNANCE (II) INTEGRATED REPORTING MODEL INTERNAL DATA BASE (Free format) DATA BASE FOR REPORTING TO BdE (Minimum uniform formats) AGGREGATED DATA (Columns: Fixed; Rows: Fixed) DATA REPORTED INDIVIDUALLY (Columns: Fixed; Rows: Variable) X B R L FINANCIAL REPORTING (FINREP) CAPITAL RATIO AND SIMILAR REPORTING ECB REQUIREMENTS (BSI, MIR) BIS STATISTICS BdE REQUIREMENTS X B R L T E X T GROUP SOLVENCY (COREP) GROUP STRUCTURE (FINREP) LARGE EXPOSURES BdE CCR BdE DETAILS OF SECURITIES, SHAREHOLDERS, BRANCHES, DATAWAREHOUSE (Integrated approach) 3

4 DATA GOVERNANCE (III) CONCILIATION OF CCR AND FINANCIAL REPORTING CCR DATA (FLAT TEXT FILES) AGGREGATED DATA XBRL DATA REPORTED INDIVIDUALLY DATA ON PERSONS DATA WHICH LINK PERSONS TO TRANSACTIONS DATA ON TRANSACTIONS DATA OF TRANSACTIONS NOT REPORTED INDIVIDUALLY DATA ON EXPOSURES BELOW DATA ON EXPOSURES BOOKED IN FOREIGN BRANCHES BdE REPORTING ENTITIES REPORTING DIFFERENCES 4

5 DPM METHODOLOGY (I) Example from the EBA DPM Metric: Carrying amount [mi] Base: Assets Main category: Intangible assets Monetary amount Base item = Assets Instant Credit 5

6 DPM METHODOLOGY (II) ADVANTAGES DPM helps business experts to study the logic inside the designed templates ü May lead to design better templates DPM helps reporting entities to identify what exactly is being asked at any given data point ü May lead to collect data with better quality DPM can help reporters organize their database ü May lead them to better collect data from their subsidiaries and branches ü May lead to save resources 6

7 DPM METHODOLOGY (III) ANALYSIS MATRIX A) TEMPLATE B) ANALYSIS MATRIX 7

8 DPM ARCHITECT TOOL (I) It can be used for the creation of XBRL taxonomies and validation rules It substantially eases the process of creating a DPM Banco de España has developed an IT tool to create and maintain Data Point Models: DPM Architect The tool allows the representation of (some of) the information in the Data Point Model in bidimensional tables, with internal codes allocated to each data point 8

9 DPM ARCHITECT TOOL (II) LEVEL CONTENT CONCEPT AND ITEMS GLOBAL REPORTING FRAMEWORK (FINREP, COREP/ ) Dictionary of concepts common to all reporting frameworks and taxonomies Groups of taxonomies and definitions of the data to be reported, rendered and sent to other institutions related to each reporting framework Basic items Domains and members Hierarchy of members of a domain Dimensions of a domain and their members Taxonomies Data: Basic item and pairs of dimensions/ members that identify each data Tables and sections: Generation of the graphic presentation Modules of data: Tables to be reported at the same time Validation rules 9

10 DPM ARCHITECT TOOL (III) INTEGRATED DICTIONARY 10

11 DPM ARCHITECT TOOL (IV) HIERARCHY OF MEMBERS OF A DOMAIN Example: hierarchy of geographical area domain 11

12 INFORMATION NEEDS FOR STATISTICS, MACROPRUDENTIAL AND SUPERVISION (I) SCOPE OF FINANCIAL STATEMENTS FINANCIAL STATEMENTS TOTAL ACTIVITY DOMESTIC ACTIVITY NON DOMESTIC ACTIVITY CONSOLIDATED BASIS ECONOMIC GROUP BANKING GROUP INDIVIDUAL (SOLO) BASIS 12

13 INFORMATION NEEDS FOR STATISTICS, MACROPRUDENTIAL AND SUPERVISION (II) MAIN INSTRUMENTS FINANCIAL ASSETS Debt securities Loans and advances Loans Advances other than loans Equity instruments Derivatives FINANCIAL LIABILITIES Debt securities issued Deposits Other financial liabilities Derivatives Short positions OFF-BALANCE SHEET ITEMS Financial guarantees Loan commitments Other commitments 13

14 INFORMATION NEEDS FOR STATISTICS, MACROPRUDENTIAL AND SUPERVISION (III) MEASUREMENT CRITERIA BREAKDOWN OF CARRYING AMOUNT CARRYING AMOUNT (BOOK VALUE) MEASUREMENT CRITERIA NOMINAL (DRAWN PRINCIPAL) FAIR VALUE o DRAWN PRINCIPAL (LOANS AND DEPOSITS) o CREDIT RISK ADJUSTMENTS ACCUMULATED ALLOWANCES - SPECIFIC ALLOWANCES - GENERAL ALLOWANCES CHANGES IN FAIR VALUE DUE TO CREDIT RISK AMORTISED COST COST o DISCOUNT IN ADQUISITION DUE TO CREDIT RISK OTHER VALUATION ADJUSTMENTS PREMIUM (DISCOUNT) IN ADQUISITION NON DUE TO CREDIT RISK CHANGES IN FAIR VALUE NON DUE TO CREDIT RISK ACCRUED INTEREST FEES TRANSACTION COST MICRO-HEDGE 14

15 INFORMATION NEEDS FOR STATISTICS, MACROPRUDENTIAL AND SUPERVISION (IV) MAIN DIMENSIONS FOR FINANCIAL INSTRUMENTS DIRECT AND FINAL COUNTERPARTIES TRANSACTIONS INSTITUTIONAL SECTOR ECONOMIC ACTIVITY GEOGRAPHICAL AREA RELATED PARTY SIZE OF THE COMPANY TYPE OF PRODUCT CURRENCY COLLATERAL TYPE PURPOSE ACCOUNTING PORFOLIO PERFORMING STATUS FORBEARANCE (REFINANCING OR REESTRUCTURING) STATUS ORIGINAL MATURITY RESIDUAL MATURITY 15

16 CONCLUSIONS BANCO DE ESPAÑA applies an INTEGRATED APPROACH 3 IT REDUCES REPORTING BURDEN OF BOTH CREDIT INSTITUTIONS AND BANCO DE ESPAÑA for designing and collecting data for statistical, macroprudential 2 and supervision reporting, based on a DPM METHODOLOGY IT IMPROVES THE QUALITY OF DATA 1 because IT INCREASES THE CONSISTENCY OF THE REQUIRED DATA 16

17 ANSELMO DÍAZ GRACIAS POR SU ATENCIÓN