XBRL Solvency II approach 15 th Eurofiling workshop

XBRL, Solvency II approach 15 th 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 5

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,

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 10

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 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 13

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 14

A real template (extract) 2012 -05 -31 – XBRL, Solvency II approach - Madrid

Additional information needed in annotated templates 2012 -05 -31 – XBRL, Solvency II approach

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

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 18

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 • 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 • which is a base item, what is a breakdown? • alignment with design of analytical models 2012 -05 -31 – XBRL, Solvency II approach - Madrid – © 2012 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 debt securities assets liabilities income/ expense natures income/gains or assets: property, resources, goods, liabilities: sources of funding for expenses/losses: etc that a company possesses and company’s assets and operations, e. g. controls, e. g. financial instruments that have been issued economic benefits that occurred owned by a reporting entity that shall by a reporting entity, thus represents an during the period and originated generate economic benefits in the obligation that needs to be settled in the from increase/decrease in value or future by a transfer of some assets (such result on sales/purchase of a given as cash) from the entity financial instrument 2012 -05 -31 – XBRL, Solvency II approach - Madrid – © 2012 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 (…) 21

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 22

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_C 1: A 10 A Solo or Group Solo Group Periodicity Annually Quarterly Monthly Ad hoc Valuation method Solvency II Marked to market Marked to model CRD Statutory 26

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 30

How and when are we going to develop it? 2 nd Phase 1 st Phase 1. Project Setup Establish the members of the project, general goals, software methodolo gy, calendar, etc. Timeline 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. 29/03/2012 11/04/2012 4. Evaluation Process 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. 4/7/2012 23/7/201 2 2012 -05 -31 – XBRL, Solvency II approach - Madrid – © 2012 Analyse the received offers and choose one of them. 5. - Design, implementati on, test and integration Refine the analysis with the selected contractor, Implementing phase, testing phase, integration and NSA test. 21/09/2012 26/10/20101/01/201 2 3 3 rd Phase 6. Publicati on Publish a release for public test. 01/01/201 4 7. Production, configuration and change management Adaptive maintenance of the project. 01/05/201 4 31

Requirements Internationalizat ion: Languages, data formats, currencies, etc. Easy to deploy Distribution license for all Europe. Preferable EUPLA license Easy to use for administrativ e staff with limited IT knowledge 2 nd level support Using the input forms in a similar layout as the public reference templates. Use of XBRL label, rendering, reference, formulas, etc. Open source, reusable Allowing reusing or extension of the tool for national extensions Easy to update when the taxonomy changes Multiplatfor m XBRL syntax and formula validation at client side Good performanc e with large amounts of data Note that these requirements are under discussion and not final 2012 -05 -31 – XBRL, Solvency II approach - Madrid – © 2012 32