EBA欧洲银行-Presentation-Public-Hearing-Investment-Firms-December-2016_39页_1mb

报告摘要

EBA Discussion Paper Summary: Designing a New Prudential Regime for Investment Firms

Introduction

The European Banking Authority (EBA) published a Discussion Paper in November 2016, proposing a new prudential regime for investment firms in response to the European Commission's Call for Advice (CfA) from June 2016. The objective is to design a more appropriate and tailored prudential framework that addresses the specific risks of different types of investment firms while ensuring consistency and harmonisation across the EU.

Key Objectives

To establish a new categorisation of investment firms based on their systemic importance and risk profile.
To design a prudential regime that is more aligned with the business models and operational risks of investment firms.
To ensure that the regime is harmonised across the EU and includes appropriate capital and liquidity requirements.

Firms Invited to Respond

MiFID investment firms subject to CRR requirements.
MiFID firms exempt from CRR.
Firms exempt from MiFID.

Process Overview

First data collection (internal): EBA published a report on MiFID investment firms in December 2015.
Second data collection (external): Technical roundtables with industry stakeholders were held.
Public consultation: Open until 2 February 2017, with responses to be submitted via the EBA website.
Next steps: EBA Final Report on the CfA due in June 2017, followed by the EU Commission's legislative proposal.

Categorisation of Investment Firms

Class 1: 'Systemic and Bank-like' Investment Firms

Should remain under full CRR requirements, as per EBA opinion of 19 October 2016.
Criteria include:
- Holding client money or securities
- Engaging in underwriting or proprietary trading
- Having significant exposure risk

Class 2 and 3: Non-'Systemic and Bank-like' Investment Firms

Includes all other investment firms, including those with systemic importance but not suitable for CRR.
Class 3: Very small, non-interconnected firms.

Classification Criteria

Qualitative: Nature of activities and risk profile.
Quantitative: Balance sheet size, income/turnover, assets under management (AuM), etc.

Capital Requirements

Key Principles

Capital requirements for non-'systemic and bank-like' firms should not match those of systemic firms.
Requirements should ensure service continuity, loss absorption, liquidity, and orderly wind-down in case of failure.
Address risks associated with holding client money and securities.
Harmonisation across the EU is essential.
Firms with higher risk to customers or markets should hold more capital.
Firms with similar risk profiles should be treated based on their balance sheet and off-balance sheet exposures.

Capital Formula

$$
\text {capital} = \mathbf {MAX} [ \mathbf {ICR}, \mathbf {FOR}, \left(\sum_ {i = 1} ^ {p} a _ {i} K _ {i}\right) * \mathbf {f} (\mathbf {RFUM}) ]
$$

Where:

ICR: Initial capital requirement
FOR: Fixed overheads requirement (25% of annual fixed overheads)
K-factors: Observable indicators (e.g., AUM, AUA, ASA, CMH, LTC, COH, PTA)
RFUM: Risk to Firm Up-lift Measure (leverage measure)
f: A function of RFUM, initially proposed as a square root

Transition Coefficient

A coefficient "y" is introduced to ensure a smooth transition between FOR and K-factors.

Liquidity Requirements

Three Options for Measuring Liquidity Risk

Counterbalancing capacity: Ensures that payables are balanced by receivables, using liquid assets for shortfalls.
Liquidity buffer: Provides a cushion for unexpected changes in payables and receivables.
Regulatory requirement obligations: Capital held as own funds must be invested in liquid assets to meet obligations.

Key Considerations

Liquid assets: Definition and scope to be clarified in Annex 4.
Operational requirements: Tailored to the firm's size, complexity, and nature of activities.

Other Prudential Considerations

4.4.1 Concentration Risk

To prevent significant distress or failure due to exposure to a single counterparty or group.
Reporting requirements include:
- Earnings
- Client money and securities segregation
- Assets held with custodians

4.4.2 Consolidated Supervision

Addresses risks from group entities, including excessive leverage and double gearing.
Ensures that capital and liquidity buffers are not double-counted across legal entities.

4.4.3 Individual Firm Requirements

Competent authorities can impose measures to improve risk management, reduce risk profile, and require additional capital or liquidity.

4.4.4 Macro-Prudential Perspective

Investment firms can contribute to systemic risk collectively.
ESRB recommends a macro-prudential approach to safeguard financial stability.

4.4.5 Reporting and Tools

Current reporting burden is excessive for small firms.
New reporting requirements will be developed alongside the new regime.

Remuneration and Governance

A prudential remuneration framework for Class 2/3 firms should aim to:
- Counteract operational risks
- Protect consumers
Challenges for applying CRD/CRR remuneration rules to Class 1 firms.
CRD governance requirements may be relevant for Class 2/3 firms.