data governance and data point model architecture at banco de

DATA GOVERNANCE AND DATA POINT
MODEL ARCHITECTURE AT BANCO DE
ESPAÑA
Anselmo Díaz
Director of the Department
MEETING ON FINANCIAL INFORMATION NEEDS FOR STATISTICS,
MACROPRUDENTIAL REGULATION AND SUPERVISION IN CENTRAL BANKS
OF LATIN AMERICA AND THE CARIBBEAN
Ciudad de México
May, 16th 2014
FINANCIAL REPORTING AND CCR DEPARTMENT
DATA GOVERNANCE (I)
BdE
Statistics
Data
§  Design of DPM
Monetary Policy
Data
r
§  CCR reporting
Financial Stability
§  Integrated regulation
of internal and
external requirements
§  Public financial
statements
§  Statistical
reporting
Supervision
FINANCIAL
REPORTING AND CCR
REPORTING
INSTITUTIONS
§  Supervisory
reporting
BdE users
requirements
§  Quality controls of
data
§  Dissemination of data
Data
INTERNATIONAL
ORGANISATIONS
ECB
EBA
BIS
FSB
MARKET (BANKING ASSOCIATIONS)
INFORMATION
TECHNOLOGY
REPORTING INSTITUTIONS
FINANCIAL REPORTING AND CCR DEPARTMENT
2
DATA GOVERNANCE (II)
INTEGRATED REPORTING MODEL
INTERNAL DATA BASE (Free format)
DATA BASE FOR REPORTING TO BdE (Minimum uniform formats)
AGGREGATED DATA
DATA REPORTED INDIVIDUALLY
(Columns: Fixed; Rows: Fixed)
(Columns: Fixed; Rows: Variable)
FINANCIAL REPORTING (FINREP)
X
B
R
L
GROUP SOLVENCY (COREP)
X
B
R
L
CAPITAL RATIO AND SIMILAR
REPORTING
LARGE EXPOSURES
ECB REQUIREMENTS (BSI, MIR)
BIS STATISTICS
BdE REQUIREMENTS
GROUP STRUCTURE (FINREP)
T
E
X
T
BdE CCR
BdE DETAILS OF SECURITIES, SHAREHOLDERS,
BRANCHES, …
DATAWAREHOUSE
(Integrated approach)
FINANCIAL REPORTING AND CCR DEPARTMENT
3
DATA GOVERNANCE (III)
CONCILIATION OF CCR AND FINANCIAL REPORTING
• DATA ON PERSONS
• DATA WHICH LINK PERSONS TO TRANSACTIONS
• DATA ON TRANSACTIONS
DATA OF TRANSACTIONS NOT REPORTED
INDIVIDUALLY
• DATA ON EXPOSURES BELOW € 6.000
• DATA ON EXPOSURES BOOKED IN FOREIGN
BRANCHES
“BdE” REPORTING
DATA REPORTED INDIVIDUALLY
FINANCIAL REPORTING AND CCR DEPARTMENT
DIFFERENCES
(FLAT TEXT FILES)
ENTITIES REPORTING
CCR DATA
AGGREGATED DATA
XBRL
4
DPM METHODOLOGY (I)
Example from the EBA DPM
Metric: Carrying
amount [mi]
Base: Assets
Main category:
Intangible assets
Monetary amount
Base item =
Assets
Instant
Credit
FINANCIAL REPORTING AND CCR DEPARTMENT
5
DPM METHODOLOGY (II)
ADVANTAGES
DPM helps business experts to study the logic inside the designed
templates
ü May lead to design better templates
DPM helps reporting entities to identify what exactly is being asked at
any given data point
ü May lead to collect data with better quality
DPM can help reporters organize their database
ü May lead them to better collect data from their subsidiaries and branches
ü May lead to save resources
FINANCIAL REPORTING AND CCR DEPARTMENT
6
DPM METHODOLOGY (III)
ANALYSIS MATRIX
A) TEMPLATE
B) ANALYSIS MATRIX
FINANCIAL REPORTING AND CCR DEPARTMENT
7
DPM ARCHITECT TOOL (I)
It can be used for the creation
of XBRL taxonomies and
validation rules
The tool allows the
representation of (some
of) the information in the
Data Point Model in bidimensional tables, with
internal codes allocated
to each data point
It substantially eases
the process of creating
a DPM
Banco de
España
has developed an IT
tool to create and
maintain Data Point
Models:
DPM Architect
FINANCIAL REPORTING AND CCR DEPARTMENT
8
DPM ARCHITECT TOOL (II)
LEVEL
CONTENT
CONCEPT AND ITEMS
• Basic items
GLOBAL
Dictionary of concepts
common to all reporting
frameworks and taxonomies
• Domains and members
• Hierarchy of members of a domain
• Dimensions of a domain and their members
• Taxonomies
REPORTING
FRAMEWORK
(FINREP,
COREP/…)
Groups of taxonomies and
definitions of the data to be
reported, rendered and sent to
other institutions related to
each reporting framework
• Data: Basic item and pairs of dimensions/
members that identify each data
• Tables and sections: Generation of the graphic
presentation
• Modules of data: Tables to be reported at the
same time
• Validation rules
FINANCIAL REPORTING AND CCR DEPARTMENT
9
DPM ARCHITECT TOOL (III)
INTEGRATED DICTIONARY
FINANCIAL REPORTING AND CCR DEPARTMENT
10
DPM ARCHITECT TOOL (IV)
HIERARCHY OF MEMBERS OF A DOMAIN
Example: hierarchy of geographical area domain
FINANCIAL REPORTING AND CCR DEPARTMENT
11
INFORMATION NEEDS FOR STATISTICS,
MACROPRUDENTIAL AND SUPERVISION (I)
SCOPE OF FINANCIAL STATEMENTS
ACTIVITY
FINANCIAL STATEMENTS
TOTAL
DOMESTIC
ACTIVITY
NON DOMESTIC
ACTIVITY
CONSOLIDATED BASIS
§  ECONOMIC GROUP
§  BANKING GROUP
INDIVIDUAL (SOLO) BASIS
FINANCIAL REPORTING AND CCR DEPARTMENT
12
INFORMATION NEEDS FOR STATISTICS,
MACROPRUDENTIAL AND SUPERVISION (II)
•  Loans and advances
•  Loans
•  Advances other
than loans
•  Equity instruments
•  Derivatives
•  Debt securities issued
FINANCIAL LIABILITIES
FINANCIAL ASSETS
•  Debt securities
•  Deposits
•  Other financial
liabilities
•  Derivatives
•  Short positions
OFF-BALANCE SHEET ITEMS
MAIN INSTRUMENTS
•  Financial guarantees
•  Loan commitments
•  Other commitments
FINANCIAL REPORTING AND CCR DEPARTMENT
13
INFORMATION NEEDS FOR STATISTICS,
MACROPRUDENTIAL AND SUPERVISION (III)
MEASUREMENT CRITERIA
BREAKDOWN OF CARRYING AMOUNT
·  CARRYING AMOUNT (BOOK VALUE)
MEASUREMENT CRITERIA
·  NOMINAL (DRAWN PRINCIPAL)
·  FAIR VALUE
·  AMORTISED COST
·  COST
o  DRAWN PRINCIPAL (LOANS AND DEPOSITS)
o  CREDIT RISK ADJUSTMENTS
•  ACCUMULATED ALLOWANCES
-  SPECIFIC ALLOWANCES
-  GENERAL ALLOWANCES
•  CHANGES IN FAIR VALUE DUE TO CREDIT RISK
•  DISCOUNT IN ADQUISITION DUE TO CREDIT RISK
o  OTHER VALUATION ADJUSTMENTS
•  PREMIUM (DISCOUNT) IN ADQUISITION NON DUE TO
CREDIT RISK
•  CHANGES IN FAIR VALUE NON DUE TO CREDIT RISK
•  ACCRUED INTEREST
•  FEES
•  TRANSACTION COST
•  MICRO-HEDGE
FINANCIAL REPORTING AND CCR DEPARTMENT
14
INFORMATION NEEDS FOR STATISTICS,
MACROPRUDENTIAL AND SUPERVISION (IV)
MAIN DIMENSIONS FOR FINANCIAL INSTRUMENTS
DIRECT AND FINAL
COUNTERPARTIES
• 
• 
• 
• 
• 
INSTITUTIONAL SECTOR
ECONOMIC ACTIVITY
GEOGRAPHICAL AREA
RELATED PARTY
SIZE OF THE COMPANY
TRANSACTIONS
• 
• 
• 
• 
• 
• 
• 
• 
• 
TYPE OF PRODUCT
CURRENCY
COLLATERAL TYPE
PURPOSE
ACCOUNTING PORFOLIO
PERFORMING STATUS
FORBEARANCE (REFINANCING OR
REESTRUCTURING) STATUS
ORIGINAL MATURITY
RESIDUAL MATURITY
FINANCIAL REPORTING AND CCR DEPARTMENT
15
CONCLUSIONS
BANCO DE ESPAÑA
IT REDUCES REPORTING
BURDEN OF BOTH
applies an
3
CREDIT INSTITUTIONS
AND BANCO DE
ESPAÑA
INTEGRATED APPROACH
for designing and collecting data
for statistical, macroprudential
2
and supervision reporting,
based on a
IT IMPROVES THE
QUALITY OF DATA
1
DPM METHODOLOGY
because
IT INCREASES THE
CONSISTENCY OF THE
REQUIRED DATA
FINANCIAL REPORTING AND CCR DEPARTMENT
16
ANSELMO DÍAZ
GRACIAS POR SU ATENCIÓN
FINANCIAL REPORTING AND CCR DEPARTMENT

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