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

1

XBRL, Solvency II approach

15th Eurofiling workshopMadrid, 2012-05-31

2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012 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


2001 In force

Nov. 2009: Solvency II Directive

1/1/2011

Technical preparation (advices)

Technical standards

Solvency II Timeline

Implementing measures

Omnibus II

TODAY


XBRL issues

• Main issues to solve for a successful implementation

o Scarcity of available skilled XBRL resources

o Short timeframe before the go-live date


EIOPA current work

• Mutualized developmento An EIOPA effort instead of 30 national effortso 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.o Experience sharing with the others ESAs (EBA, ESMA) and

ESRBo Data Point Modelling project launched (EBA used

methodology)


Tight deadlines and resources scarcity

• Stable reporting requirements in June, DPM in September, supporting stable taxonomy this autumn

• A tool for undertakings project launched o 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 datao Mutualization/sharing possibilities currently examined

(e.g. providing a benchmarking validation service)


Agenda

• Reporting frameworks in EU• Choice of XBRL and architecture• Initial taxonomy development: moderately dimensional• Introduction of Data Point Modelling and highly



Overall reporting framework in EU

……

Countries

Reporters NSAs ESAs

Europe


Agenda

• Reporting frameworks in EU• Choice of XBRL and architecture• Initial taxonomy development: moderately dimensional• Introduction of Data Point Modeling and highly



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)


• Reasons for alignment considerationso Certain firms are required to send reports to both

banking and insurance regulatorso Certain software vendors offer products or solutions for

both, banks and insurance companies

• Commonalities between EBA and EIOPA taxonomies under consideration:o Common dimensionso Data Point Modellingo Common data typeso Taxonomy architecture

o Base primary itemso Label construction

ruleso Toolso etc

Commonalities with EBA taxonomies


Agenda




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 windowshowing P.Item +

Characteristics + Dim. combinaison(s)

Header dimension(s)

Line dimension(s)

Column dimension(s)


Use of codes for concepts

• Codes are used as tag names for conceptso To get usable names (not too log)o To be language-agnostic

o The codes used are those that are defined by the business people in the Quantitative Reporting Templates (regulatory document)

o They are not Excel cell coordinates !


A real template (extract)


AS_D1 Annotated [Ids] Key Mandatory Type Indicators Balance PeriodTypeInvestments data Solo or group

Asset identification

Identification sectionPortfolio type A1 X Y InvestmentPortfolioType D IFund number A2 X FundNumber D IAsset held in unit linked and index linked funds, Y/N A3 Y YN D IID code A4 X Y IdCode D IID code type A5 X Y IdCodeType D IAsset pledged as collateral A6 X AssetPledged D ISecurity title A7 Y String100 D IIssuer name A8 Name D IIssuer sector A9 IssuerSector D IIssuer group, Code A10 String20 D IIssuer country A11 Y Country D ICustody ountry A12 Country D I

Categorization sectionCurrency A13 Y Currency D ICIC A15 Y CIC D IParticipation type A16 YNAndConsolidation D I

Risk sectionExternal rating A17 Rating D I

Rating agency A18 Y Name D I

Duration A20 DurationInYears D IData section

Quantity A22 Quantity D IUnit SII price A23 Monetary D IValuation method SII A24 Y ValuationMethod D IAcquisition cost A25 Monetary D ITotal SII amount A26=A22*A23+A30 Y Monetary D IMaturity date A28 Date D IAccrued interest A30 Monetary D I

Additional information needed in annotated templates


Expression of validations

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


Agenda




• 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


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

Almost everything is a perspective


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 (…)

CashLoansDebt securitiesEquity instrumentsTangible and intangibleOther than (…)

Counterparty sectors:All / Not-applicable

MFIsMMFsMFIs other than MMFs

Central AdministrationOther general governmentNon-MFIs other than government

Original maturity:All

< 1 year≥ 1 year < 2 year≥ 2 years

Counterparty residences:All / Not-applicable

EMU (…)SpainOther than Spain in EMU (…)

Other than EMU (…)

Original currencies:All / Not-applicable

EUROther than EUR Locations of activities:

All / Not-applicableSpainOther than Spain (…)

Amount types:Carrying amount

Gross carrying amount(Specific allowances)(Collective allowances)

Base terms:AssetsLiabilitiesEquityOff-balance sheetExposures

Portfolios:Total (…)

Fair value through profit or lossAmortised cost

Impairment statusAll / Not-applicable

ImpairedUnimpaired

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


Annotated templates using generic base items

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


Agenda




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


Benefits of two layers

Derivatives, Investments other than held for index-linked or unit-linked fundsBS_C1:A10A

Solo or GroupSoloGroup

Solo or Group

PeriodicityAnnually

Quarterly

Monthly

Ad hoc

Valuation method

Solvency II

CRD

Statutory

Line of businessTotal

Non-life, non SLT healthSLT health

LifeNon-SLT health

…

Investment or own useInvestmentOwn use

Not unit-linked, not index-linked

LinkingUnit-linked or index-linked

Types of assetsTotal

Debt instruments

Issuer or residence countryTotal…

Country of custodyTotal…

Type of amountCarrying amount…

Original currencyTotal……

Assets

Highly dimensional approach

Marked to market Marked to model

Solo or GroupSoloGroup

Solo or Group

PeriodicityAnnually

Quarterly

Monthly

Ad hoc

Valuation method

Solvency II

CRD

Statutory

Marked to market Marked to model

Derivatives

……

Moderate dimensional approach


Mapping layer considerations

o Mapping approach:- Equivalence linkbase - Formula linkbase - Instance mapping - Resource mapping - XSLT style-sheets- Rendering linkbase

o Criteria for evaluation of mapping solutions- Standard specifications compliance- Maintenance of solution- Performance of processing (mapping)- Resources required for development- Support by software vendors


Agenda

• Introduction• Reporting frameworks in EU• Choice of XBRL and architecture• Initial taxonomy development: moderately dimensional• Introduction of Data Point Modelling and highly



Why are we going to provide a XBRL Tool for Undertakings?


What are we looking for?


23/7/2012

How and when are we going to develop it?

1st Phase 2nd Phase

21/09/201229/03/2012

1.-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.

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

4/7/2012

4.- Evaluation Process

Analyse the received offers

and choose one of them.

26/10/2012

5 .- Design, implementation,

test and integration

Refine the analysis with the selected

contractor, Implementing phase,

testing phase, integration and NSA

test.

01/01/201401/01/2013

3rd Phase

7 .- Production, configuration and change

management

Adaptive maintenance of

the project.

6 .- Publication

Publish a release for public test.

01/05/201411/04/2012


Requirements

Distribution license for all

Europe. Preferable

EUPLA license

Distribution license for all

Europe. Preferable

EUPLA licenseUsing the input

forms in a similar layout as the public

reference templates.

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

Allowing reusing or

extension of the tool for

national extensions

Easy to use for administrative

staff with limited IT knowledge

MultiplatformMultiplatform

XBRL syntax and formula validation at client side

XBRL syntax and formula validation at client sideEasy to

update when the taxonomy

changes

Internationalization: Languages, data

formats, currencies, etc.

Internationalization: Languages, data

formats, currencies, etc.

2nd level support2nd level support

Open source, reusable

Open source, reusable

Easy to deployEasy to deploy

Good performance

with large amounts of

data

Good performance

with large amounts of

data

Note that these requirements are under discussion and not final


Thank you

Any questions?

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

Documents

xbrl solvency

approach madrid

eu choice of xbrl

adequate choice of xbrl

reporting language slide

valid xbrl instances

methodology slide

xbrl issues main issues