XBRL, Solvency II approach
15th Eurofiling workshop
Madrid, 2012-05-31
1
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
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
2
Solvency II Timeline
Nov. 2009:
Solvency II
Directive
2001
Omnibus II
Implementing
measures
In force
1/1/2011
TODAY
Technical
preparation
(advices)
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
Technical
standards
3
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
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
4
EIOPA current work
• Mutualized development
o An EIOPA effort instead of 30 national efforts
o 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 ESRB
o Data Point Modelling project launched (EBA used
methodology)
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
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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
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 data
o Mutualization/sharing possibilities currently examined
(e.g. providing a benchmarking validation service)
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
6
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
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
7
Overall reporting framework in
EU
Europe
Countries
Reporters
…
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
NSAs
ESAs
…
8
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
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
9
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)
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
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Commonalities with EBA
taxonomies
• Reasons for alignment considerations
o Certain firms are required to send reports to both
banking and insurance regulators
o Certain software vendors offer products or solutions for
both, banks and insurance companies
• Commonalities between EBA and EIOPA
taxonomies under consideration:
o
o
o
o
Common dimensions
Data Point Modelling
Common data types
Taxonomy architecture
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
o Base primary items
o Label construction
rules
o Tools
o etc
11
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
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
12
Taxonomy generated from
templates
Types
Dimension
Domain, value or
list of values
Abstract primary
items
(label or alias)
Header dimension(s)
Column dimension(s)
Primary items
(label or alias)
Line dimension(s)
Pop-up window
showing P.Item +
Characteristics + Dim.
combinaison(s)
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
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Use of codes for concepts
• Codes are used as tag names for concepts
o 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 !
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
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A real template (extract)
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
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Additional information needed in
annotated templates
AS_D1
Investments data
Annotated
Solo or group
[Ids]
Key
Mandatory
Type
X
X
Y
Indicators
Balance
PeriodType
InvestmentPortfolioType
FundNumber
YN
IdCode
IdCodeType
AssetPledged
String100
D
D
D
D
D
D
D
I
I
I
I
I
I
I
Name
IssuerSector
String20
Country
Country
D
D
D
D
D
I
I
I
I
I
Currency
CIC
YNAndConsolidation
D
D
D
I
I
I
Rating
D
I
Name
D
I
Asset identification
Identification section
Portfolio type
Fund number
Asset held in unit linked and index linked funds, Y/N
ID code
ID code type
Asset pledged as collateral
Security title
Issuer name
A1
A2
A3
A4
A5
A6
A7
X
X
X
Y
Y
Y
Y
Issuer sector
Issuer group, Code
Issuer country
Custody ountry
A8
A9
A10
A11
A12
Categorization section
Currency
CIC
Participation type
A13
A15
A16
Risk section
External rating
A17
Rating agency
A18
Duration
A20
DurationInYears
D
I
A22
A23
A24
Quantity
Monetary
ValuationMethod
Monetary
Monetary
Date
Monetary
D
D
D
D
D
D
D
I
I
I
I
I
I
I
Data section
Quantity
Unit SII price
Valuation method SII
Acquisition cost
Total SII amount
Maturity date
Accrued interest
Y
Y
Y
Y
Y
A25
A26=A22*A23+A30
A28
A30
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
Y
16
Expression of validations
• Generation of XBRL assertions with code, label, messages, using
patterns
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
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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
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
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Dimensions in data
models
only base items
•
•
•
•
•
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
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
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 conceptbreakdown is stable but components of
breakdowns tend to change
19
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, …
held-for-trading
instruments
designated
at fair value
loans
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, …
derivatives
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
debt securities
assets
liabilities
income/
expense
natures
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
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
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
20
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).
Base terms:
Assets
Liabilities
Equity
Off-balance sheet
Exposures
Categories:
Total (…)
Cash
Loans
Debt securities
Equity instruments
Tangible and intangible
Other than (…)
Amount types:
Carrying amount
Gross carrying amount
(Specific allowances)
(Collective allowances)
Portfolios:
Total (…)
Fair value through profit or loss
Amortised cost
Impairment status
All / Not-applicable
Impaired
Unimpaired
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
Original currencies:
All / Not-applicable
EUR
Other than EUR
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
Past due periods:
All
0 days
< 180 days
≥ 180 days
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 (…)
Spain
Other than Spain in EMU (…)
Other than EMU (…)
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
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
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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
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
24
EIOPA XBRL Approach: Two
Layers
Non-DPM
Eurofiling XBRL
architecture
Annotated
templates
(limited DPM)
Solvency II
templates
MDA taxonomy
layer
Mapping layer
Data Point
Model
DPM-based
annotated
templates
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
DPM XBRL
architecture
HDA taxonomy
layer
25
Benefits of two layers
Moderate dimensional approach
Highly dimensional approach
Assets
Types of assets
Total
Debt instruments
Derivatives
…
Investment
… or own use
Investment
Own use
Linking
Unit-linked or index-linked
Not unit-linked, not index-linked
Line of business
Total
Non-life, non SLT health
…
SLT health
Non-SLT health
Life
Country of custody
Total
…
Issuer or residence country
Total
…
Type of amount
Carrying amount
…
Original currency
Total
……
Solo or Group
Solo
Group
Periodicity
Annually
Quarterly
Monthly
Ad hoc
Valuation method
Solvency II
Marked to market
Marked to model
CRD
Statutory
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
Derivatives, Investments other
than held for index-linked or unitlinked funds
BS_C1:A10A
Solo or Group
Solo
Group
Periodicity
Annually
Quarterly
Monthly
Ad hoc
Valuation method
Solvency II
Marked to market
Marked to model
CRD
Statutory
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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
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
27
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
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
28
Why are we going to provide a
XBRL Tool for Undertakings?
Solvency II will be
applied to all
European countries,
XBRL is not well
known in all of them
Tight timeline for the
implementation
Providing a
Tool for
Undertakings
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
Some small and
medium undertakings
may have
difficulties to adapt
their system for the
first submissions
Principle of
proportionality
29
What are we looking for?
Helping the undertakings without XBRL knowledge,
providing a tool to easily create complete and valid
XBRL instances of the Solvency II harmonized
quantitative reporting
Designing the XBRL tool to be reusable for
other projects and specifically extensible for
NSA local requirements
Contributing to XBRL community and open
source community
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
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How and when are we going to
develop it?
2nd Phase
1st Phase
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
4.- Evaluation
Process
Write and publish a public
tender request for an offer
which includes the
requirements established
on the analysis.
Analyse the
received offers
and choose
one of them.
The interested companies
will have 2 months to
submit their offers.
5 .- Design,
implementation,
test and
integration
3rd Phase
6 .Publication
Publish a
release for
public test.
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.
Timeline
29/03/2012
11/04/2012
4/7/2012 23/7/2012
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
21/09/2012
26/10/2012 01/01/2013
01/01/2014
01/05/2014
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Requirements
Internationalization:
Languages, data
formats, currencies,
etc.
Distribution
license for all
Europe.
Preferable
EUPLA license
Easy to use for
administrative
staff with limited
IT knowledge
Easy to deploy
2nd
level
support
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
Easy to
update when
the taxonomy
changes
Open source,
reusable
XBRL syntax
and formula
validation at
client side
Good
performance
with large
amounts of
data
Multiplatform
Note that these requirements are under
discussion and not final
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
32
Thank you
Any questions?
2012-05-31 – XBRL, Solvency II approach - Madrid – © 2012
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