XBRL, Solvency II approach

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XBRL, Solvency II approach

• 15th Eurofiling workshop
• Madrid, 2012-05-31

2
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
Solvency II Timeline
Nov. 2009 Solvency II Directive
Implementing measures
Omnibus II
2001
In force
Technical standards
Technical preparation (advices)
TODAY
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XBRL issues

• Main issues to solve for a successful
  implementation
• Scarcity of available skilled XBRL resources
• Short timeframe before the go-live date

5
EIOPA current work

• Mutualized development
• An EIOPA effort instead of 30 national efforts
• A 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.
• Experience sharing with the others ESAs (EBA,
  ESMA) and ESRB
• Data Point Modelling project launched (EBA used
  methodology)

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Tight deadlines and resources scarcity

• Stable reporting requirements in June, DPM in
  September, supporting stable taxonomy this autumn
• A tool for undertakings project launched
• To 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
• Mutualization/sharing possibilities currently
  examined (e.g. providing a benchmarking
  validation service)

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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
Overall reporting framework in EU
Europe
Countries
Reporters
NSAs
ESAs


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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
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)

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Commonalities with EBA taxonomies

• Reasons for alignment considerations
• Certain firms are required to send reports to
  both banking and insurance regulators
• Certain software vendors offer products or
  solutions for both, banks and insurance companies
• Commonalities between EBA and EIOPA taxonomies
  under consideration
• Common dimensions
• Data Point Modelling
• Common data types
• Taxonomy architecture

• Base primary items
• Label construction rules
• Tools
• etc

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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
Taxonomy generated from templates
Types
Dimension Domain, value orlist of values
Abstract primary items (label or alias)
Primary items (label or alias)
Pop-up window showing P.Item Characteristics
Dim. combinaison(s)
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Use of codes for concepts

• Codes are used as tag names for concepts
• To get usable names (not too log)
• To be language-agnostic
• The codes used are those that are defined by the
  business people in the Quantitative Reporting
  Templates (regulatory document)
• They are not Excel cell coordinates !

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A real template (extract)
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Additional information needed in annotated
templates
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Expression of validations

• Generation of XBRL assertions with code, label,
  messages, using patterns

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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

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Dimensions in data models
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

• 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

• which is a base item, what is a breakdown?
• alignment with design of analytical models

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Almost everything is a perspective
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,

held-for-trading
instruments
designated at fair value
loans
derivatives
available-for-sale
debt securities
income/expense
natures
liabilities
assets
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

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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).
Past due periods
All
0 days
lt 180 days
180 days
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
Base term Assets
Original maturity
All
lt 1 year
1 year lt 2 year
2 years
Category Debt securities
Categories
Total ()
Cash
Loans
Debt securities
Equity instruments
Tangible and intangible
Other than ()
Portfolio Amortised cost
Amount type Carrying amount
Impairment status Unimpaired
Counterparty sectors
All / Not-applicable
MFIs
MMFs
MFIs other than MMFs
Central Administration
Other general government
Non-MFIs other than government
Past due period 180 days
Original currency EUR
Original maturity lt 1 year
Counterparty sector MFIs
Amount types
Carrying amount
Gross carrying amount
(Specific allowances)
(Collective allowances)
Counterparty residence EMU
Location of activity Spain
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 ()
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Annotated templates using generic base items

• Data can be analysed from multiple perspectives
• Most changes in the model do not affect primary
  items

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Pro and cons for HD taxonomies

• Pros
• Quality check for the model (via DPM)
• Explicit dependencies between concepts
• Change management with stable base items
• Use of breakdowns for internal purposes
  (databases, BI)
• Potential bridge with other reporting frameworks
• No need for arbitrary decisions (base vs
  dimensions)
• Data centric model (template independent)
• Cons
• Less readability of taxonomies
• Bigger instances and lower performances (more
  breakdowns used)
• More time and resources required for preparation
• More complex formulas / assertions with need of
  dimension filters

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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

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EIOPA XBRL Approach Two Layers
Non-DPM Eurofiling XBRL architecture
MDA taxonomy layer
Annotated templates (limited DPM)
Solvency II templates
DPM XBRL architecture
DPM-based annotated templates
HDA taxonomy layer
Data Point Model
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Benefits of two layers
Moderate dimensional approach
Highly dimensional approach
Derivatives, Investments other than held for
index-linked or unit-linked funds BS_C1A10A
Assets
Total
Solo or Group
Solo or Group
Debt instruments
Solo or Group
Solo or Group
Solo
Derivatives
Solo

Group
Investment or own use

Group
Investment
Periodicity
Periodicity
Annually
Linking
Annually
Quarterly
Not unit-linked, not index-linked
Quarterly
Monthly
Line of business
Monthly
Total
Ad hoc

Ad hoc
Valuation method
Valuation method
Solvency II
Solvency II
Marked to market
Marked to market

Marked to model
Issuer or residence country
Marked to model
CRD
Total
CRD

Statutory
Type of amount
Statutory
Carrying amount

Original currency
Total


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Mapping layer considerations

• Mapping approach
• Equivalence linkbase
• Formula linkbase
• Instance mapping
• Resource mapping
• XSLT style-sheets
• Rendering linkbase
• Criteria for evaluation of mapping solutions
• Standard specifications compliance
• Maintenance of solution
• Performance of processing (mapping)
• Resources required for development
• Support by software vendors

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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

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Why are we going to provide a XBRL Tool for
Undertakings?
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What are we looking for?
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How and when are we going to develop it?
3rd Phase
4.- Evaluation Process Analyse the received
offers and choose one of them.
5 .- Design, implementation, test and integration
Refine the analysis with the selected
contractor, Implementing phase, testing phase,
integration and NSA test.
7 .- Production, configuration and change
management Adaptive maintenance of the project.
6 .- Publication Publish a release for public
test.
11/04/2012
23/7/2012
4/7/2012
26/10/2012
01/01/2014
01/01/2013
01/05/2014
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Requirements
Distribution license for all Europe. Preferable
EUPLA license
Internationalization Languages, data formats,
currencies, etc.
Using the input forms in a similar layout as the
public reference templates.
Allowing reusing or extension of the tool for
national extensions
Easy to use for administrative staff with limited
IT knowledge
Easy to deploy
Use of XBRL label, rendering, reference,
formulas, etc.
XBRL syntax and formula validation at client side
Easy to update when the taxonomy changes
2nd level support
Open source, reusable
Good performance with large amounts of data
Multiplatform
Note that these requirements are under discussion
and not final
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• Thank you
• Any questions?