Data Point Model - European Cases

Transcription

1 Data Point Model - European Cases IDQ Summit 7th October 2014 Richmond, VA, USA

2 Agenda About us Introduction to Data Point Model (DPM) DPMs of EBA and EIOPA Experiences of introducing DPM and analytical possibilities 2

3 About us Business Reporting Advisory Group HQ Poznań, Poland Services: Data modelling, training and consultancy services for supervision and financial sector XBRL taxonomies development Development of analytical solutions Bartosz Ochocki and Michal Skopowski are co-authors of Data Point Model methodology Projects conducted in various countries and environments (EU, Indonesia, Malaysia, Israel, South Africa, Bermuda, Peru, ) 3

4 Introduction to Data Point Model (DPM) 4

5 What are the questions asked by business and IT experts? Business users IFRS, FINREP, COREP, - which accounting regime or standard? What do you mean by financial (IAS 39/IFRS7/...)? Where is it disclosed? Gross or net carrying amount? Any of it impaired or past due but not impaired yet? Or maybe it is measured at fair value? If so: which level? Which operations is it reported for? Banking book, assets management,...? Is any of it portion transferred or partially derecognized? Is it audited or unaudited, solo or consolidated (if consolidated then which method)? Financial assets IT Is it a number, date, text? If a number that what is the unit of measure? How is it related to other data which package does it come with (frequency, types of entities)? Does it calculate to or from anything else? Are there any breakdowns applicable? Are they predefined or flexibly assigned by filers? What attributes apply to this data? How is it characterised? Which journal-entries roll-up to this value? 5

6 Business vs. IT issue is not the biggest challenge in EU Banking supervision Insurance supervision Capital market supervision Country 1 Business expert IT expert Business expert IT expert Business expert IT expert Challenges: Country 2 Business expert IT expert - Different sectors (i.e. Basel III vs. Solvency II) - High number of countries (European vs. global initiatives) ( ) - Frameworks (Basel vs. IFRS) - Other (i.e. proportionality rule, solo vs. consolidated reporting, etc.) Country 28 Business expert IT expert 6

7 What are the options of dealing with the problem of communication? "form centric" based on presentation of data which conveys all semantics (interpretation in context of views) description based on table cells (row/column code, e.g. C6 or simply by row/column title concatenation) most common solution in projects with no input from business experts difficult to maintain and apply e.g. for analysis fillers map/extract to/from views (question and error prone) R1 R2 R3 C1 C2 "data centric" explicit and consistent definition irrespective of presentation every data cell fully described by business users with all necessary properties in order to explicitly express its meaning resulting data model supports data exchange (explicit information for filers) and usage (e.g. in analysis) 7

8 How to approach data centric modeling? SELECT SUM(factValue) FROM allfacts WHERE item= assets AND category= loans AND amount= notional AND 8

9 How to solve communication problem? Example from European banking sector International standards Taxonomy Data Model JEGR BASEL III BSI-MIR common statistical requirements 9

10 What is the idea of a data point? identification of a measure/metric (XBRL primary item) and a component of each applicable breakdown (XBRL subdomains related to particular dimensions) describing this measure in order to explicitly define a piece of information (e.g. a cell in a template) measure/metric: shall cover data type information, instant vs. duration, basic business meaning that could be detailed using breakdowns FINREP: current approach: carrying amount, current period, COREP: original exposure pre conversion factors, risk weighted exposure amount, MIR: NDER, APRD, transactions, (to be upgraded to be in line with COREP/FINREP) BSI: assets, liabilities, managed assets, (to be upgraded to be in line with COREP/FINREP) breakdown: a view on a measure/metric from a certain perspective: decomposition of a metric according to a selected criterion disaggregation (with + or sign) of a total (e.g. counterparty sector or residence) indicating certain notion (property) of a base item (e.g. solo vs. CRD consolidated vs. IFRS consolidated reporting scope, ) 10

11 DPM is a methodology, not a technical solution Data Point Model can be applied in various environments however, implementation in particular format may require adding format specific components and may lead to some limitations of given format Data Model It should be possible to migrate from one format to another without much effort 11

12 Example of Data Point definition Net carrying amount of not yet impaired but already past due (over 180 days but less than a year) debt securities held, issued in EUR by MFIs located in EMU with original maturity under one year, measured at amortized cost and relating only to business activities conduced in EU? Locations of activities: All / Not-applicable EU Other than EU ( ) Portfolios: Total ( ) Fair value through profit or loss Amortised cost Impairment status: All / Not-applicable Impaired Unimpaired Time reference: Current period end Previous period end Current period Base terms: Assets Liabilities Equity Off-balance sheet Exposures Categories: Total ( ) Cash Loans Debt securities Equity instruments Tangible and intangible Other than ( ) Amount types (metric): Carrying amount Gross carrying amount (Specific allowances) (Collective allowances) Original currencies: All / Not-applicable EUR Other than EUR Base term: Category: Portfolio: Amount type: Impairment status: Past due period: Original currency: Original maturity: Counterparty sector: Counterparty residence: Location of activity: Time reference: Past due periods: All < 180 days 180 days < 1 year 1 year Original maturity: All < 1 year 1 year < 2 year 2 years Counterparty sectors: All / Not-applicable MFIs MMFs MFIs other than MMFs Central Administration Other general government Non-MFIs other than government Counterparty residences: All / Not-applicable EMU Other than EMU ( ) 12 Assets Debt securities Amortised cost Carrying amount Unimpaired 180 days < 1 year EUR < 1 year MFIs EMU EU Current period end

13 How does DPM help in change communication? Template 3 FINREP ver 1: 51 data points FINREP rev 2: 45 data points Identical cells? 0! Financial Assets Held for Trading, Trading Derivatives, Equity Option Why? different classification of instruments addition of economic hedges as a new portfolio introduction of breakdown by markets Financial Assets Held for Trading, Trading Derivatives, Equity Option, OTC How to present this change? Financial Assets Held for Trading, Trading Derivatives, Equity Option, Organized market 13

14 How does DPM help in change communication? Category Derivatives Portfolio Held for trading Base item Assets Liabilities Assets and/or Liabilities Amount type Carrying amount Notional amount Risk Type Currency (FX) Equity Interest rate Instruments Option Cross swap Forward FRA Future IRS Warrant Option/Cap/Floor/Collar/Swaption Other than Option, Cross swap, Forward and Future Other than Option, Warrant, Forward and Future Other than Option/Cap/Floor/Collar/Swaption, IRS, FRA, Forward and Future 14

15 How does DPM help in change communication? Category Derivatives Portfolio Held for trading Held for trading, economic hedges Base item Assets Liabilities Assets and/or Liabilities Amount type Carrying amount Notional amount Risk Type Currency (FX) Equity Interest rate Instruments Option Other than options Market Organized market OTC 15

16 How does DPM help in change communication? FINREP ver 1 vs FINREP rev 2 = Portfolio Held for trading Instruments Option Cross swap Forward FRA Future IRS Warrant Option/Cap/Floor/Collar/Swaption Other than Option, Cross swap, Forward and Future Other than Option, Warrant, Forward and Future Other than Option/Cap/Floor/Collar/Swaption, IRS, FRA, Forward and Future + + Portfolio Held for trading Held for trading, economic hedges Instruments Option Other than options Market Organized market OTC 16

17 What is the general process of development of the DPM? analysis purpose of information requirements in general (what is this data for?) documentation (explanatory guidelines for information requirements and notification duties) purpose of a statement/note/disclosure (expressed by its title, describing in general the character of information) intersection of title and headers (of row and column) naming each piece of information recursive: supporting documentation and content of other statements, notes and disclosures allowing identification of implicit information that is not explicitly expressed in an analysed statement/disclosure 1. study the information requirements 2. analyse them by statements/disclosures (table by table, header by header according to the divide and conquer approach): A. identify measures (metrics) and list them down (if a measure is already listed reuse it) identifying type of expected value and measurement in time (instant/duration) B. identify and name all breakdowns required to explicitly define each piece of information preserve hierarchies (if applicable) with other already defined values (properties) or reuse existing values if a value is not applicable to any existing hierarchy create a new one 3. review the measures and breakdowns and look for optimization (e.g. breakdowns of similar nature, functional relationships, etc) 4. add other necessary characteristics Resulting DPM shall contain: a list of measures (name, label, data and period type, ) and hierarchy o measures (if applicable) a list of members and dimensions of each domain (name, label, item type, default member) a subdomains of each domain (subdomain name, hierarchy and order, alternative classifications) location in a hierarchy in headers of rows and headers of column (inheritance), coherent breakdowns (items sharing common semantic nature) minimizing redundancy and maximising reusability of definitions 17

18 EBA DPM European Banking Authority Data Point Model 18

19 About EBA European Banking Authority (Previously CEBS Committee of European Banking Supervisors) is responsible for gathering financial statements according to FINREP and COREP frameworks from National Supervisory Authorities (NSAs) from all 28 European Union countries Level 1 reporting (Reporting entities to NSAs) Possibility to reuse EBA taxonomy Custom solution Level 2 reporting (NSAs to EBA) Mandatory XBRL DPM taxonomy First draft versions of EBA DPM and taxonomy developed in 2009 Level 1 XBRL DPM EBA taxonomy or custom solution Reporting entities Internal analysis Information flow NSAs Microprudential analysis Level 2 XBRL DPM EBA taxonomy EBA Macroprudential analysis 19

20 Relation between EBA deliverables Regulations? Original tables DPM Components DPM Dictionary Table referring back to dictionary DPM Dictionary and Member hierarchy Data point definition DPM table layout and data point categorization DPM analysis matrix Taxonomy generated automatically from the Database 20

21 Domains Set of information that share semantic meaning (should be easy to describe) When adding a new information (domain member) it must be clear if: Existing domain should be used (domains should be mutually exclusive) New domain should be added Could be explicit or typed (used in case of unlimited number of rows/columns/tables) Explicit (e.g. Geographical areas, Time intervals ) Typed (e.g. ISIN code; LEI code ) 21

22 Dimensions Perspective to analyze the domain (should be easy to describe) More than one dimension could be used to determine a meaning of one domain Remaining Maturity ; Original Maturity ; Interest rate revision period can be dimensions for Time interval domain Single dimension can t refer to more than one domain 22

23 Domain members In case of EBA Data Point Model, members of two domains are not typical: Metric. Members of this domain cover: Data type information (also specific case when value is restricted to members of predefined subdomain) and Period type Base items. Members of this domain are potential containers of debit/credit attribute 23

24 Hierarchies of domain members Informs about relation (also arithmetical) between members of subdomain There could be more than one hierarchy disaggregating a domain member (so called alternative hierarchies). E.g. member Europe can be disaggregated by all countries of that region, but also with other common definitions like Central Europe ; Eastern Europe ; Western Europe etc. 24

25 How is dictionary information referred in the tables? One of the Components of EBA DPM is Table Layout and Data Point Categorization file For every row and every column there is information about sets of dimensional properties attached to this particular coordinate Additionally, for every cell in the table, there is also information about dimensional properties describing particular data point 25

26 EIOPA DPM European Insurance and Occupational Pensions Authority Data Point Model 26

27 About EIOPA European Insurance and Occupational Pensions Authority (previously CEIOPS - Committee of European Insurance and Occupational Pensions Supervisors) supervise European insurance sector by gathering reports from NSAs (similarly like EBA) Like in EBA, there are 2 levels of reporting, from Reporting Entities to National Supervisor (1st level) and from National Supervisor to EIOPA (2nd level) EIOPA uses EBA DPM taxonomy architecture with few differences in modelling Differently than the EBA, EIOPA will provide free solution for reporting entities to fill their reports (Tool for Undertakings) 27

28 Differences between EBA and EIOPA data models Subject EBA EIOPA Model development process Definition of metrics (indirect) Complexity of gathered information Simplifications due to performance issues Excel/Database to XBRL Taxonomy Types of amount (e.g. Carrying amount, Accumulated impairment ) Mostly aggregated data about financial positions and exposures None Excel to XBRL Taxonomy Simple data types (e.g. Monetary, Decimal ) Aggregated data, but also detailed information (e.g. asset by asset list) Introduction of Moderately Dimensional model 28

29 Moderately Dimensional model Highly dimensional approach (HD) OR Moderate dimensional approach (MD) Metric: - Monetary Metric: - Monetary BC:Assets AS:Derivatives IO:Investment CT:Corporates Types of assets: Basic concept: - Total - Claims incurred - Debt instruments - Assets - Derivatives Investment or own use: - Investment - Own use Counterparty: - General government - Corporates - Households - Other Common part of Dictionary Consolidation scope: - Solo - Group Lines of business: - Life - Other than Life Valuation method: - Solvency II - Statutory accounts Data Point 29

30 Experiences of introducing DPM and analytical possibilities 30

31 What people say about DPM Pierre-Jean Vouette, Special Advisor at EIOPA: The Solvency II directive requires comprehensive data sets. Our assumption is that with the DPM we can provide a layer describing these data sets in an explicit and unambiguous manner to assist the national insurance supervisors and reporting entities across Europe. Carlos Rodriguez, EBA FINREP coordinator: The DPM is a methodology that allows the business experts, who often come with different interpretations, to reach an agreement about the characteristics of data included in the templates and to communicate them to the IT team. In my opinion description of a template through the DPM methodology is an elegant and comprehensive way to convey its content as well as relationships with other templates. One look at a given template, analysed with the DPM, is worth many pages of lengthy explanation of its contents. 31

32 Analytical possibilities of DPM (micro prudential) Give me information about balance sheet value of all debt securities held, issued by central governments item: T04_r12_c02 Or item: DebtSecuritiesHeldIssuedByCentralGovernments Or USD SELECT SUM(factValue) FROM allfacts WHERE item= assets AND category= debt securities held AND amount= carrying amount AND counterparty sector= central governments item: assets category: debt securities held amount: carrying amount counterparty sector: central governments 32

33 Analytical possibilities of DPM (macro prudential) Adding detailed information about particular counterparties to DPM data, e.g. LEI codes (higher disaggregation) Show me which institution exceeds 30% involvement threshold in debt securities issued by European governments Data centric EU governments debt securities 130 bln LEI [ABCD000123] 90 bln LEI [CDX ] 80 bln LEI [XYZ ] LEI [ ] SELECT SUM(factValue) FROM allfacts WHERE item= assets AND category= debt securities held AND amount= carrying amount AND counterparty sector= central governments AND counterparty residence= EU 70 bln 54% Entity A 23 bln 25% Entity X 23 bln 29% Entity E 35 bln 27% Entity B 12 bln 13% Entity Y 23 bln 29% Entity G 19% Entity 56 bln 62% Entity 33,6 bln 42% Entity Involvement of this entity exceeds predefined threshold of 30% 33

34 Thank you! Marek Włodarczak 34