Andrea Novello

Research Analyst BIRD methodology –

DG-S
Definition of data
sets
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SMCube methodology
background

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SMCube methodology

• SMCube is a methodology for defining metadata

• It is used to create cubes, which provide the definition of tables

(data sets)

• Example:

Contract Instrument Type of Legal final Subordinated Syndicated Accrued

Inception date Currency
identifier identifier instrument maturity date debt loan identifier interest

ABC 1 Loan 01/01/2015 31/12/2015 FALSE - 100 EUR

ABC 2 Derivative 01/01/2015 31/12/2015 USD

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SMCube methodology

• What do we need to know?

– What are the fields (columns) of the cube
– What are the allowed values (domains) for each field
– What is the role of one field within one cube
• Is it possible to have two records (rows) with the same contract identifier?
• Which combination of variables makes a record unique?
• Is the variable currency referring to the instrument or to the accrued interest?

Contract Instrument Type of Legal final Subordinated Syndicated Accrued

Inception date Currency
identifier identifier instrument maturity date debt loan identifier interest

ABC 1 Loan 01/01/2015 31/12/2015 FALSE - 100 EUR

ABC 2 Derivative 01/01/2015 31/12/2015 USD

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SMCube methodology

• In order to describe correctly the data set/ table we need some

tools
• In SMCube methodology these tools are:

1) Variables
2) Domains
3) Subdomain
4) Roles

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SMCube methodology - Variables

• Variables are the fields of one cube

Contract Instrument Type of Legal final Subordinated Syndicated Accrued

Inception date Currency
identifier identifier instrument maturity date debt loan identifier interest

ABC 1 Loan 01/01/2015 31/12/2015 FALSE - 100 EUR

ABC 2 Derivative 01/01/2015 31/12/2015 USD

• Variables are defined independently of the cube, and they can be

reused

• Variables are defined on domains, which state the allowed values

for the variables

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SMCube methodology - Domains

• Domains define the allowed values for a variable

• Two types of domain:

– Enumerated: they are composed of a list of members. For instance: the
domain Accounting portfolios is composed of the members: Loans and
receivables, Held for Trading…
– Non-enumerated: the allowed values are not listed. These domains are:
• Monetary
• Integer
• Real
• String
• Date

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SMCube methodology - Subdomains

• In the context of a cube, a variable might need to take a subset of

the full domain
– For instance: The geographical areas for location of collateral and residence of
the counterparty are not the same
– For non-enumerated domains, subdomains will take the form of a pattern. For
instance: Positive monetary, string with 2 letters and 10 numbers
• In the context of a cube, variables are associated with a concrete
subdomain

• It is possible to define a subdomain which comprises the whole

domain (full subdomain)

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SMCube methodology - Subdomains

• An example of subdomain in SHS for CL_OBS_STATUS

CODE DESCRIPTION SHSS SHSG SHSE CC Sectors CC Groups CC Eurosystem

A Normal value X X X X X X
B Break X X
E Estimated value X X
F Forecast value X X
H Missing value; holiday or weekend X X
L Missing value; data exist but were not collected X X
M Missing value; data cannot exist X X
P Provisional value X X
Q Missing value; suppressed X X
S Strike X X

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SMCube methodology - Roles

• What is the role of each variable in the context of the cube? Three
possibilities:
– Dimensions: Define which variables create a unique record (equivalent to
primary keys of a database table)
– Observation values: Provide information referring to the dimensions
– Attributes: Provide additional information referring only to an observation
value

• If in our example cube a record is uniquely identified by the

combination of Contract and Instrument identifier:

Dimensions Observation values

Contract Instrument Type of Legal final Subordinated Syndicated Accrued
Inception date Currency
identifier identifier instrument maturity date debt loan identifier interest

ABC 1 Loan 01/01/2015 31/12/2015 FALSE - 100 EUR

ABC 2 Derivative 01/01/2015 31/12/2015 USD

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SMCube methodology - Roles

• What about the variable Currency? In principle it could provide

information on
– the instrument. Then it would be providing information on the combination of
Contract identifier and Instrument identifier. The role of the variable would then
be Observation value.
– the accrued interest monetary amount. The information would then be what is
the currency of the amount, and therefore it would be adding information to an
observation value (Accrued interest), so its role would be Attribute.

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SMCube methodology – Definition of a cube

• Summarising, one cube is defined with the following elements

– Variables
– which have a role and
– are associated with a subdomain.
– For the attributes, they are associated with an observation value.

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SMCube methodology – Further examples

• What is the difference between these three cubes?

Variable Subdomain Role Applies to
ISIN ISIN codes D
Accounting portfolio Accounting portfolios for securities O
Nominal amount Non-negative amounts O
Currency All currencies A Nominal amount

Variable Subdomain Role

ISIN ISIN codes D
Accounting portfolio Accounting portfolios for securities D
Nominal amount Non-negative amounts O
Currency All currencies O

Variable Subdomain Role

ISIN ISIN codes D
Accounting portfolio Accounting portfolios for securities D
Nominal amount Non-negative amounts O
Currency All currencies D

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Definition of data sets

Defining a data set in the dictionary

➢ Core elements (i.e. variables, domains, subdomains,

members,…)  building blocks

➢ Used to define cubes / datasets (i.e. structures)

ROLE CUBE_STRUCTURE_ID CUBE_VARIABLE_CODE SUBDOMAIN_ID
D BIRD_RVRS_RPRCHS_LNS_2 DT_RFRNC DT_FLL
D BIRD_RVRS_RPRCHS_LNS_2 INSTRMNT_UNQ_ID STRNG_120_ID
D BIRD_RVRS_RPRCHS_LNS_2 PRSPCTV_ID STRNG_RSTRCTD_ID
O BIRD_RVRS_RPRCHS_LNS_2 ACCMLTD_CHNGS_FV MNTRY_ALL_2D
O BIRD_RVRS_RPRCHS_LNS_2 ACCMLTD_CHNGS_FV_CR MNTRY_ALL_2D
O BIRD_RVRS_RPRCHS_LNS_2 ACCMLTD_IMPRMNT MNTRY_NN_NGTV_2D
O BIRD_RVRS_RPRCHS_LNS_2 ACCMLTD_IMPRMNT_GAAP1 MNTRY_NN_NGTV_2D
O BIRD_RVRS_RPRCHS_LNS_2 ACCMLTD_IMPRMNT_GAAP2 MNTRY_NN_NGTV_2D
O BIRD_RVRS_RPRCHS_LNS_2 ACCMLTD_NGTV_VL_ADJSTMNT_MR MNTRY_NN_NGTV_2D
O BIRD_RVRS_RPRCHS_LNS_2 ACCMLTD_WRTFFS MNTRY_NN_NGTV_2D
O BIRD_RVRS_RPRCHS_LNS_2 ACCNTNG_CLSSFCTN ACCNTNG_CLSSFCTN_BIRD_5
O BIRD_RVRS_RPRCHS_LNS_2 ACCRD_INTRST MNTRY_ALL_2D
O BIRD_RVRS_RPRCHS_LNS_2 ANNLSD_AGRD_RT RL_ALL_6D
O BIRD_RVRS_RPRCHS_LNS_2 APPRCH_CRDT_QLTY_STTS APPRCH_CRDT_QLTY_STTS
O BIRD_RVRS_RPRCHS_LNS_2 ARRRS MNTRY_NN_NGTV_2D
O BIRD_RVRS_RPRCHS_LNS_2 CLLTRL_OBTND_TKNG_PSSSSN BLN_TF
O BIRD_RVRS_RPRCHS_LNS_2 CLLTRL_OBTND_TKNG_PSSSSN_DT DT_END_MNTH
O BIRD_RVRS_RPRCHS_LNS_2 CMLTV_RCVRS_SNC_DFLT MNTRY_NN_NGTV_2D
O BIRD_RVRS_RPRCHS_LNS_2 CMMTMNT_INCPTN MNTRY_NN_NGTV_2D
O BIRD_RVRS_RPRCHS_LNS_2 CNTRCT_ID STRNG_RSTRCTD_ID_60
O BIRD_RVRS_RPRCHS_LNS_2 CRDT_QLTY_STTS CRDT_QLTY_INPT_LYR
O BIRD_RVRS_RPRCHS_LNS_2 CRRNCY_DNMNTN ISO4217
O BIRD_RVRS_RPRCHS_LNS_2 CRRYNG_AMNT MNTRY_ALL_2D

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Definition of data sets

What is a Variable set?

Type of instrument Currency Fair value Carrying amount

Loans EUR 11 13

Debt securities USD 17 19

Data set without a variable set

Type of instrument Currency Type of value Observation value

Loans EUR Fair value 11

Loans EUR Carrying amount 13

Debt securities USD Fair value 17

Debt securities USD Carrying amount 19

Data set using a variable set

➢ Variables sets are used for the translation of Metrics of DPM / XBRL into out
dictionary
➢ Please note that Dimensions are indicated in green

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Definition of data sets

Representation of templates (e.g. FinRep)

F 05.01 - Breakdown of non-trading loans and advances by product: Loan and advances other than held for trading by product

Columns
Gross carrying amount Carrying amount
Central banks General governments Credit institutions Other financial Non-financial Households
corporations corporations
005 010 020 030 040 050 060
009 By product
152586 152414 152431 152421 152464 152454 152441
On demand [call] and short notice [current account] 010
€£$ €£$ €£$ €£$ €£$ €£$ €£$
152587 152415 152432 152422 152465 152455 152442
Credit card debt 020
€£$ €£$ €£$ €£$ €£$ €£$ €£$
152591 152436 152426 152469 152459 152446
Trade receivables 030 €£$
€£$
€£$ €£$ €£$ €£$ €£$
152588 152416 152433 152423 152466 152456 152443
Finance leases 040 €£$ €£$ €£$ €£$ €£$ €£$ €£$
152590 152418 152435 152425 152468 152458 152445
Reverse repurchase loans 050 €£$ €£$ €£$ €£$ €£$ €£$ €£$
152589 152417 152434 152424 152467 152457 152444
Other term loans 060
€£$ €£$ €£$ €£$ €£$ €£$ €£$
152585 152413 152430 152420 152463 152453 152440
Advances that are not loans 070
Rows

€£$ €£$ €£$ €£$ €£$ €£$ €£$

152598 152419 152439 152429 152472 152462 152449
LOANS AND ADVANCES 080 €£$ €£$ €£$ €£$ €£$ €£$ €£$
089 By collateral
152593 152438 152428 152471 152461 152448
of which: loans collateralized by immovable property 090 €£$
€£$
€£$ €£$ €£$ €£$ €£$
152592 234585 152437 152427 152470 152460 152447
of which: other collateralized loans 100 €£$ €£$ €£$ €£$ €£$ €£$ €£$
109 By purpose
152600 152450
of which: credit for consumption 110 €£$
€£$ €£$ €£$ €£$ €£$
€£$
152601 152451
of which: lending for house purchase 120 €£$
€£$ €£$ €£$ €£$ €£$
€£$
129 By subordination
152584 152452
of which: project finance loans 130 €£$
€£$ €£$ €£$ €£$
€£$
€£$

Breakdown of non-trading loans and advances by product: Loan and advances other than held for trading by product
(F05.01)
➢ DPM / XBRL content is translated into the dictionary without any changes to
the content itself (i.e. non-reference description, using DPM codification)
➢ One annotated template is translated into one cube
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Definition of data sets

Representation of templates (e.g. FinRep)

Role Variable Subdomain / Member / Variable set
D Main category (MCY) Loans and advances (x469)
Total/Not applicable (x0),
Project finance loans (x360),
Advances that are not loans (x823),
On demand [call] and short notice [current account] (x824),
Term loans. Credit card debt (x825),
D Instrument (MCB) Term loans. Finance leases (x826),
Term loans. Other than Trade receivables,
Credit card debt, Finance leases,
Reverse repurchase loans (x827),
Term loans. Reverse repurchase loans (x828),
Term loans. Trade receivables (x829)
D Accounting portfolio (APL) Financial assets other than Held for trading and Trading Financial Assets (x77)
Not applicable/ All counterparties (x0),
General governments (x1),
Central banks (x10),
D Counterparty sector (CPS) Credit institutions (x12),
Financial corporations other than credit institutions (x18),
Non-financial corporations (x20),
Households (x5)
Total/Not applicable (x0),
D Main category of collateral or guarantee given (MCC) Other than Real estate (x262),
Real estate (x292)
Not applicable/All purposes (x0),
D Purpose (PUR) Credit for consumption (x1),
Lending for house purchase (x3)
Gross carrying amount (mi136),
D Artificial variable for metrics (ATY)
Carrying amount (mi53)
O Observation_Value (Observation_Value) Non enumerated subdomain for domain String (355)

Associated cube structure for the template F05.01

➢ The associated cube structure represents an orthogonal coordinate system

(that may comprise “more” information that the template)
➢ A data point (in the template) is represented by a point in this coordinate
system (which is called a Combination in the dictionary)
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Definition of data sets

Representation of data points (e.g. FinRep)

Columns
Gross carrying amount Carrying amount
Central banks General governments Credit institutions Other financial Non-financial Households
corporations corporations
005 010 020 030 040 050 060
009 By product
152586 152414 152431 152421 152464 152454 152441
On demand [call] and short notice [current account] 010 €£$ €£$ €£$ €£$ €£$ €£$ €£$
152587 152415 152432 152422 152465 152455 152442
Credit card debt 020
€£$ €£$ €£$ €£$ €£$ €£$ €£$
152591 152436 152426 152469 152459 152446
Trade receivables 030 €£$
€£$
€£$ €£$ €£$ €£$ €£$
152588 152416 152433 152423 152466 152456 152443
Finance leases 040
€£$ €£$ €£$ €£$ €£$ €£$ €£$
152590 152418 152435 152425 152468 152458 152445
Reverse repurchase loans 050 €£$ €£$ €£$ €£$ €£$ €£$ €£$
152589 152417 152434 152424 152467 152457 152444
Other term loans 060
€£$ €£$ €£$ €£$ €£$ €£$ €£$

Data point 152425

Role Variable Subdomain / Member / Variable set

D Main category (MCY) Loans and advances (x469)

D Instrument (MCB) Term loans. Reverse repurchase loans (x828)
D Accounting portfolio (APL) Financial assets other than Held for trading and Trading Financial Assets (x77)

D Counterparty sector (CPS) Credit institutions (x12)

D Main category of collateral or guarantee given (MCC) Total/Not applicable (x0)

D Purpose (PUR) Not applicable/All purposes (x0)
D Artificial variable for metrics (ATY) Carrying amount (mi53)
O Observation_Value (Observation_Value) Non enumerated subdomain for domain String (355)

Combination EBA_152425

➢ A data point (in the template) is equal to a Combination in the dictionary

➢ A cube and its set of combinations is a complete description of the content
of the related template
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Methodology in practice
BIRD structure

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SDD structure

In the SDD the information is organized in packages,

for the users the interesting part is :
• CORE Package defines the elements that are necessary to
describe the information

• DATA DEFINITION Package defines the data sets

• MAPPING Package defines the semantic integration of the SDD

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BIRD methodology – Reference / non-reference
Rubric

The multiple codes problem

Several different codification systems exist…

BSI AnaCredit
BS_COUNT_SECTOR INSTTNL_SCTR
BS counterpart sector Institutional sector
2100 - General Government S13 - Central government (excluding social security funds)
1100 - Central Bank (S.121)
S121 - Central banks
00BK - Non-resident banks
122_A - Credit institutions

SHS FINREP
ISSUER_SECTOR CPS
Issuer ESA 2010 sector Counterparty sector
S_13 - General government x1 - General governments
S_121 - The central bank x10 - Central banks
S_122 - Deposit-taking corporations except the central bank
x12 - Credit institutions

… But the input layer should use one single

set of codes!

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