XBRL, Solvency II approach

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

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

Solvency II Timeline Nov. 2009: Solvency II Directive Implementing measures Omnibus II 2001 In force 1/1/2011 Technical standards Technical preparation (advices) TODAY

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

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)

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)

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

Overall reporting framework in EU Europe Countries Reporters NSAs ESAs … …

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

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)

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

Header dimension(s) Column dimension(s) Line dimension(s) 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)

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 !

A real template (extract)

Additional information needed in annotated templates

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

Dimensions in data models only base items few base items, many breakdowns • 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 • 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 • which is a base item, what is a breakdown? • alignment with design of analytical models

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 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 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 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

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).

Annotated templates using generic base items • Data can be analysed from multiple perspectives • Most changes in the model do not affect primary items

Mappinglayer 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

Non-life, non SLT health SLT health Non-SLT health Life Unit-linked or index-linked Own use Types of assets Country of custody Total Benefits of two layers Moderate dimensional approach Highly dimensional approach Derivatives, Investments other than held for index-linked or unit-linked funds BS_C1:A10A 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 … …

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

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

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

What are we looking for?

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. 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. 2nd Phase 1st Phase How and when are we going to develop it? 21/09/2012 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. 6 .- Publication Publish a release for public test. 7 .- Production, configuration and change management Adaptive maintenance of the project. 29/03/2012 Timeline 11/04/2012 4/7/2012 23/7/2012 26/10/2012 01/01/2013 01/01/2014 01/05/2014

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 • XBRL syntax and formula validation at client side • Use of XBRL label, rendering, reference, formulas, etc. • 2nd level support • Easy to update when the taxonomy changes • Open source, • reusable • Good performance with large amounts of data • Multiplatform Note that these requirements are under discussion and not final

Thank you Any questions?

XBRL, Solvency II approach