12th XBRL International Conference
Leveraging XBRL on Banking Supervision
Ignacio Boixo
COREP. XBRL Project Coordinator
XBRL Spain. Manager
Tokyo, 2005-11-08
Agenda
1. Basel II *
2. COREP: European Basel II
3. Dimensional extensibility**
4. Implementing XBRL Banking Supervision
5. Challenges in leveraging XBRL
* Acknowledgement to Frédéric Marié
** Acknowledgement to Katrin Schmehl & Panagiotis Voulgaris
2
Structure of the New Basel II Accord
Three
Pillars
I – Capital
requirements
Risk weighted
assets
Credit risk
Standardised
Approach
Operational
risk
Internal
Ratings-based
Approach
3
II - Supervisory
review process
Definition of
capital
Market
risks
III - Market
discipline
Pillar I: Minimum Capital Requirements
Regulatory Capital
Credit Risk
Revised Standardized
Approach
or
Foundation IRBA
or
Advanced IRBA
≥ 8%
Market Risk
Standardized Approach
or
Internal Models Approach
+Operational risk
Basic Indicator Approach
or
Standardized Approach
or
Advanced Measurement A.
4
Capital Adequacy Framework
Evolution of the most well-known
Basel I requirement in minimum
capital standard or Cooke Ratio
Own funds
Lendings
≥ 8%
2 . Operational Risk
Credit, operational and market risks: Evolutionary path and
capital incentives to move to the most advanced approach
Increasing management standard
Standardised Foundation IRB
Approach
Approach
Advanced IRB
Approach
Basic IndicatorThe Standardised
Approach (BIA) Approach (TSA)
Standardised
Approach
Credit risk
modelling ?
Advanced
Measurement
Approach (AMA)
Internal Models
Approach
Increasing capital charges
5
Pillar II: Supervisory Review Process
Pillar 2 is intended :
 to achieve a level of capital commensurate
with a bank’s overall risk profile
 to encourage banks to develop and use better
risk management techniques in monitoring
and managing their risks
6
Pillar III: Market Discipline
 Pillar 3 is intended to provide investors with reliable and
timely information to understand a bank’s risk profile
 Enhance role of market participants in encouraging
banks to hold adequate levels of capital
 Pre-condition for the use of some methodologies
(Internal ratings-based approaches, AMA)
 Qualitative and quantitative disclosures (information
on methodology and key inputs, e.g. explanation of
structure of internal rating system and PD, LGD
assumptions,…)
7
COREP
Defining a COmmon REPorting framework
around the solvency ratio for credit
institutions and investment firms (Basel II)
under the European Union Capital
Requirements.
Based on the proposal for the Recasted
European Directives 2000/12/CE and 93/6/EEC
released in July 2004
Under the Authority of the Committee of
European Banking Supervisors
www.c-ebs.org
8
COREP concept: extension
COREP
Future templates?
COREP Templates
Today
Pillar II
Supervision
Pillar I
Capital
Pillar III
Market
9
vs. Pillars
3 • COREP: Flexibility Principle
Basel II
European Law
9X,XX% Basel II compatible
Directives 2000/12 & 93/6
Country 1
Country 2
Country 3
Transposition into
national Legislation
Country 25
National Regulation
FSA 1
FSA 2
FSA 3
FSA 25
National Implementation
Report 1
----------------------------------
Report 2
Report 3
Report 25
-------------------------------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------------------------------------
10
XBRL challenge!
COREP Goals
Objectives
A new ratio = a new challenge & new opportunity
Reduce the regulatory reporting burden for
International Groups
A better co-operation between Supervisors
Principles
Objectives & Principles
Flexibility
Consistency
Standardization
11
3 • COREP: Flexibility Principle
Flexibility
3 levels of flexibility (A, B & C)
COREP
D1
C1
B3
B2
D2
A
D3
D4
B1
C2
C3
C4
Reporting CAD III
12
A: data needed by all
Supervisors.
B: specific to a country or a
group of countries but integrated
in the dictionary of common
data.
C: data specific to a country or
sector (leasing…). To be
integrated when possible.
D: data outside COREP (credit
register…)
COREP concept: extension
COREP
superset of reports
Custom
report
Sreport
mall
Medium
Large
report
report
Depending on the national requirements each country
will determine a framework and a level of detail.
13
COREP concept: template
Template:
Dimension 2
Dimension 1
Measure
Dimension 3
Dimension 4
14
Measure
Measure
Measure
COREP concept: Data Matrix
All the dimensions are optional!
EXPOSURE
TYPES
EXPOSURE
CLASSES
STANDARD APPROACH
CAPITAL REQUIREMENTS
15
COREP taxonomy customisation requirements
 COREP defines a superset of possible reporting
items.
 Each country has the right to choose the level of
detail.
 The COREP framework must be highly flexible and
extensible.
 To meet this goal the framework is as modular as
possible.
.
i
m
p
o
r
t
s
.
dimension
.XSD
measures
.XSD
16
template
.XSD
Customisation of Labels: I
German labels
English labels
 meaningful names of the items to be reported
 are used in reports to hide the technical name
17
Customisation of Labels: II
 Each country defines its own dictionary in its
national extension taxonomies.
 The measure and dimension items can refer
to several translations.
<GOLD id=“m-fr-gr_Gold”>
National labels
18
technical name
Customisation of References
 Each COREP reporting item refers to where it
is derived from: the EU directive for Basel II.
 References to the national law can be added.
ORIGINAL CREDIT & COUNTERPARTY RISK EXPOSURE…
19
Customisation of the template structure
Possible changes:
 Adding or removing columns
and rows
 Reordering the hierarchical
structure
 Restrict cells from being
reported
 Provide choices between
dimensions
 Remove dimensions from the
template
20
Adding or removing columns and rows I
COREP FIRB
National FIRB
A B C
Column B has to be removed.
21
A C D
Column D has to be added.
Adding or removing columns and rows II
COREP taxonomy structure
 The hierarchical
structure of the
FIRB template has
been changed.
A
B
C
 Column B is no
longer allowed in
the national
taxonomy.
National taxonomy structure
A
 Column D has been
added to the
national taxonomy.
C
D
22
Reordering the hierarchical structure: I
 New items can be positioned as necessary in the
national template structure.
 Existing items can be reordered if required.
 Thus every country can
personalise the
presentation of its
templates.
A D C
Columns C and D have
been exchanged.
23
Reordering the hierarchical structure: II
Structure before reordering:
A
C
D
New structure:
A
D
C
24
Restrict cells from being reported: I

Every cell is a combination of a measure and its dimensions.

Some row/column combinations are not valid inside the EU
directive of Basel II and must not be reported. They are
marked in grey inside the COREP templates.

National taxonomies can override those restrictions.
D2
M
M: Measure
D1: Dimension 1
D2: Dimension 2
D1
X
25
Restrict cells from being reported: II
Measures
M
excludes
Mn
includes
Exposure Class
Dimension
D1
D2
D1
Dn
includes
Exposure Type
Dimension
26
D2
Dn
Restrict cells from being reported: III
 Restricted cells can be grouped together, i.e.
several cells in one column.
 Inside the taxonomy they are added in a container
that holds all the invalid dimensions.
 The container can be reused for other measures
of the template.
M1
excludes
D1
D2
D3
M2
D4
excludes
27
Container that holds
a dimension group.
Provide choices among dimensions: I
 For this template either Dimension 2 or
Dimension 3 can be used.
choice
D1
28
D2
D3
Provide choices among dimensions: II
 If a banking supervisor decides that one of two
or more possible dimensions has to be used for
a national COREP template, it can define this
choice inside the template taxonomy.
Template
measures
either
Dimension A
choice
or
includes
Dimension B
Dimension C
29
Either Dimension A
or Dimension B has
to be used in the
template.
Remove dimensions from the template: I
 The national banking supervisor decides that a
dimension is not needed in a template.
30
Remove dimensions from the template: II
 The national taxonomy can be created to reflect
this requirement by removing the connection
between the measures of the template and the
dimension that is not needed.
Template
measures
includes
Dimension A
includes
Dimension B
31
Dimension B is no
longer allowed.
COREP implementation: Model
Bank
Supervisor
Taxonomy
XBRL
Errors
Internet
Risk Management
INDUSTRY
to
XBRL
Operations
Counterparties
Collateral
…
Supervision
from
XBRL
Report
XBRL
-----------------------------
32
Reports
Other data
…
COREP implementation: Model
Didactic model for explanatory purposes only
Basel II
XBRL implementation
COREP
XBRL
(National)
Basel II
COREP
XBRL
(Europe)
Bank
Supervisor
Internet
Bank operations,
controls….
Presentation,
Analysis…
Errors
Errors
Risk Management
IS Supervisory
Basel II
App.
Operations
Counterparties
Collateral
…
to
XBRL
from
XBRL
Report
----------------------------
Report
XBRL core
----------------------------
File Transfer (National)
33
Basel II
App.
Reports
Other data
…
…
COREP implementation: Banks
XBRL
Reports
Bank 1
Multiple implementation approaches:
•
Small banks may use Application Service
Provider -ASP- model, outsourcing technical
complexity
•
Banks may report all to all the Supervisors:
Basel II & IFRS, Banking & Stock Exchange…
•
International Banks may reduce supervisory
burden when reporting to different countries
Bank 2
Bank 3
ASP provider
Basel II
Bank n
Banking Supervisor
IFRS
International
Bank
Stock Ex. Supervisor
Country Z Supervisor
34
COREP project: Acknowledgments
(kick-off workshop, February 2005)
Name
Adrian Abbott
Alejandro Sanz
Aliki Kazakopoulo
Annica Lundblad
Antonio Menchero
Antonio Sánchez-Serrano
Arturo Labanda
Bryce Pippert
César Pérez-Chirinos
Charles Hoffman
Cormac McKenna
Cristina Mena
Daniel D'Amico
Daniel Hamm
David Castro
Delphine Moreau
Dennis Pels
Don Inscoe
Emilio Querol
Fernando Navarrete
Fernando Wagener
Francesco Canfora
Francisco Flores
Frédéric Marié
Gustavo Garcia
Country
UK
ES
GR
SE
ES
ES
ES
USA
ES
USA
IE
ES
UK
DE
ES
FR
NL
USA
ES
ES
ES
IT
ES
FR
ES
Affiliation
FSA
Infodesa
NCB
PwC
Soft.AG
NCB
PwC
UBmatrix
NCB
UBmatrix
Fujitsu
inorme
XBRL
NCB
Azertia
NCB
NCB
FSA
PwC
NCB
NCB
Bank
Scholar
NCB
IBM
35
Name
Ignacio Boixo
Ignacio Hernández-Ros
J. Emilio Labra
Javier Cobo
Javier de Andres
Jean-Marie Coudière
Jesus F. Liger
Johan Giertz
José Luis F. Cuñado
Josef Macdonald
Katrin Schmehl
Klaus Baumann
Krisztina Tamási
Magdalena Llano
Michele Romanelli
Olivier Servais
Pablo Navarro
Pamela Maggiori
Panagiotis Voulgaris
Paolo Milani
Pedro Lorca
Phil Walenga
Ron Baremans
Victoria Santillana
Walter Hamscher
Country
ES
ES
ES
ES
ES
FR
ES
SE
ES
UK
DE
DE
HU
ES
IT
BE
ES
IT
GR
IT
ES
USA
NL
ES
USA
Affiliation
NCB
XBRL
Prof.Dr.
Fujitsu
Prof.Dr.
NCB
Azertia
Bank
Infodesa
IASB
NCB
NCB
FSA
XBRL
NCB
XBRL
Soft.AG
NCB
NCB
NCB
Prof.Dr.
UBmatrix
NCB
AFI
XBRL
Opportunity window
2002
2003
2004
2005
2006
2007
2008
Too late
Today!
Too early
Establishing:
CEBS
XBRL EU
•••
36
Operational:
Basel II
IFRS/IAS
•••
COREP Next steps: Releases
Steering
Committee
05-06-03
Dimensions:
Public draft
05-07-19
Vendors
involvement
European
Workshop
Dimensions:
Approved
COREP:
Published
05-08-26
05-09-15
05-11-07
1Q 2005
Release 0.5
Release 0.6
Release 0.7
Release 1.0
37
Basel II: Bottom up approach
Basel II
Int’l Accord
Defined into XBRL terms
Int’l XBRL taxonomy
Country 1
Country 2
Country 3
Global consolidation
Country n
National Jurisdiction
FSA 1
FSA 2
FSA n
FSA 3
National Implementation
Report 1
----------------------------------
Report 2
Report 3
Report 25
-------------------------------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------------------------------------
38
Real XBRL
implementations
!
COREP Next steps: Options
Challenge
The real challenge is not the initial design of
the taxonomy; a group of enthusiastic people is
ready to carry out this job, as it has been
demonstrated.
The real challenge is real the XBRL implementation
The long term challenge is building XBRL
Banking Supervision in a bottom up approach
39
Thanks - Obrigado - Merci - Gracias
Danke - Grazie - Ευχαριστίες - Спасибо
Pieter Bruegel
The Tower of Babel. 1563
40