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Building an XBRL Basel II solution in Europe

The COREP XBRL project

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AGENDA

Business case European Basel II framework

COREP concept Superset of reports Data Matrix

COREP project Architecture Test cases Project team

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Business case: XBRL use on COREP

Bank

Risk Management

OperationsCounterparties

Collateral…

Aggregator

Report

------------------------------

Supervisor

IS Supervisory

ReportsOther data

……

Reception

Presentation, Analysis…Bank operations, controls….

XBRL

instance

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Business case: XBRL use on COREP

Bank

Risk Management

OperationsCounterparties

Collateral…

Report

------------------------------

Supervisor

IS Supervisory

ReportsOther data

……

Presentation, Analysis…

Bank operations, controls….

Basel IIApp.

to XBRL

from XBRL

Basel IIApp.

Report

------------------------------

File Transfer (National)

COREP XBRL

Taxonomy (Europe)

COREP XBRL

Taxonomy (National

Extension)

ErrorsErrors

Internet

XBRL implementation

XBRL common

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Business case - Definition

COREP:defining a COmmon REPorting framework around the solvency ratio for credit institutions and investment firms under the European Union Capital Requirements.

(Based on Basel II, Pillar I)Committee of European Banking Supervisors www.c-ebs.org

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Business case - requirements

Flexibility: each supervisor is allowed to choose the scope as well as the level of aggregation of information required; the framework will allow for flexibility also to accommodate for differences in the exercise of the national options foreseen in the Capital Requirements, for instance with reference to the treatment of small institutions;

Consistency: the same concepts and terminology have been used as far as possible;

Standardisation: the number of different templates has been minimised.

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Business case – European framework

Basel II

Directives 2000/12 & 93/6

Country 1

FSA 1

Report 2Report 1

------------------------------------

Country 3Country 2 Country 25

FSA 2 FSA 3 FSA 25

Report 25

----------------------------------------------------------------------------------------------------------------------------------------------------------------

Report 3

----------------------------------------------------------------------------------------------------------------------------------------------------------------

National Regulation

Transposition into national Legislation

European Law9X,XX% Basel II compatible

National Implementation

XBRL challenge!

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Largereport

Mediumreport

COREP concept: extension

Smallreport

Customreport

COREP superset of reports

COREP superset of reports

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COREP concept: template

Dimension 2

Dimension 1

Dimension 3

Dimension 4

Measure MeasureMeasure Measure

Template:

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COREP concept: Data Matrix

EXPOSURE TYPES

STANDARD APPROACH CAPITAL REQUIREMENTS

EXPOSURE CLASSES

All the dimensions are optional!

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COREP project: goals

Deliverables

Initial COREP XBRL taxonomy

Set of non-confidential test cases

Basic collaborative environment

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COREP Project: forecast by January 21st

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COREP project: Architecture

Initial XML/XBRL taxonomy based in COREP Technological challenge

17 Dimensions Exposure type, Exposure classes, Risk weights…

24 Measure sets Exposure value, Capital requirements, …

26 Templates (Dimensions x Measures) SA Capital requirements, IRB Capital requirements…

Taxonomy description at www.corep.info

Simplest solution for the easiest implementation

Key XBRL “gurus” are participating in COREP

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COREP project: Test cases

Set of non-confidential test cases:

Anonymous: No reputation risk Public: to be used everywhere Early involvement of banks & users Hands-on experience in COREP Quality control of XBRL taxonomies As simple as fulfilling a spreadsheet but… With the intrinsic complexity of Basel II

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COREP project: Test cases flow

Anonymous Information

e-mail

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Anonymous Comments

Public Repository

COREP-XBRL Group

COLLABORATING INSTITUTIONCOLLABORATING

INSTITUTIONCOLLABORATING INSTITUTION

test@corep.info

Excel File

XBRL printout

Doc, Pdf,… Files

2

3

4

5

1

COLLABORATING INSTITUTIONS

SUPERVISORS

XBRL COMMUNITY

OTHERS

XBRL Instance

Anonymous upload

Non compliant test cases

Excel File

Doc File

Mapper

PROJECTMANAGEMENT

Anonymous Information

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COREP project: Request for testing

Common framework for the reporting of the solvency ratio (COREP) by credit institutions

To test the COREP XBRL project, institutions are invited to participate by providing test data on a best effort basis. Please visit www.corep.info for details. 

Who can participate? Any institution that has access to data of banking activities, like for example, credit institutions, consultant firms or any other party interested in participating.

How to participate? Institutions should provide test cases using this spreadsheet (www.corep.info/documents/coreptest.zip) and attaching all the relevant documentation associated. No XBRL knowledge is necessary!

Collaborating institutions will acquire through their participation in this process: A deeper and better understanding on the COREP reporting framework for the solvency

ratio. A chance to provide comments on how the proposed framework works. This may help

institutions to provide comments on the CEBS consultation paper. An early knowledge about the availability in their systems of the information that will be

required in the future for solvency reporting.

The collaboration in this open process will also allow the Institutions to benefit from the experiences, comments, suggestions and questions posed by other members of the banking industry, market participants and XBRL experts.

Questions? e-mail to test@corep.info

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COREP project team

Basic collaborative environment Multinational project team

50 participants from 12 countries on kick-off workshop

Different skills Supervisor – business Supervisor – IT experts XBRL practitioners Banks, consultants & providers University

Extensive use of Internet tools Website www.corep.info E-mail list & repository on Yahoo Group Conference call

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Acknowledgments

Name Country Affiliation Name Country AffiliationAdrian Abbott UK FSA Ignacio Boixo ES NCBAlejandro Sanz ES Infodesa Ignacio Hernández-RosES Soft.AGAliki Kazakopoulo GR NCB J. Emilio Labra ES Prof.Dr.Annica Lundblad SE PwC Javier Cobo ES FujitsuAntonio Menchero ES Soft.AG Javier de Andres ES Prof.Dr.Antonio Sánchez-SerranoES NCB Jean-Marie Coudière FR NCBArturo Labanda ES PwC Jesus F. Liger ES AzertiaBryce Pippert USA UBmatrix Johan Giertz SE BankCésar Pérez-Chirinos ES NCB José Luis F. Cuñado ES InfodesaCharles Hoffman USA UBmatrix Josef Macdonald UK IASBCormac McKenna IE Fujitsu Katrin Schmehl DE NCBCristina Mena ES inorme Klaus Baumann DE NCBDaniel D'Amico UK XBRL Krisztina Tamási HU FSADaniel Hamm DE NCB Magdalena Llano ES ScholarDavid Castro ES Azertia Michele Romanelli IT NCBDelphine Moreau FR NCB Olivier Servais BE XBRLDennis Pels NL NCB Pablo Navarro ES Soft.AGDon Inscoe USA FSA Pamela Maggiori IT NCBEmilio Querol ES PwC Panagiotis Voulgaris GR NCBFernando Navarrete ES NCB Paolo Milani IT NCBFernando Wagener ES NCB Pedro Lorca ES Prof.Dr.Francesco Canfora IT Bank Phil Walenga USA UBmatrixFrancisco Flores ES Scholar Ron Baremans NL NCBFrédéric Marié FR NCB Victoria Santillana ES AFIGustavo Garcia ES IBM Walter Hamscher USA XBRL

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Test cases are more than welcome.

Fell free to join the COREP Club!

Thanks for your attention.