EBA欧洲银行-EBA-Data-Instructions-MiFID-IFs-supplementary_18页_431kb

报告摘要

The EBA initiated a supplementary data collection exercise in response to the 2015 Report published by the European Commission, which proposed a new prudential framework for investment firms.
The report recommended a new categorisation of investment firms into three classes:
- Class 1: Systemic and 'bank-like' firms subject to full CRD/CRR requirements.
- Class 2: Non-systemic firms with a limited set of prudential requirements.
- Class 3: Very small firms with 'non-interconnected' services.
The EBA also proposed a specific prudential regime for Class 2 and Class 3 firms.
A discussion paper (DP) was published in November 2016, which was followed by a consultation period ending in February 2017.
The DP introduced K-factors, which are risk-based capital requirements for investment firms, grouped into three categories:
- Risk to Customers (RtC)
- Risk to Market (RtM)
- Risk to Firm (RtF)
Based on feedback, the EBA decided to carry out a supplementary data collection to calibrate the new prudential regime and perform a final impact assessment.

The data collection addresses MiFID investment firms, including those expected to fall under MiFID II.
It excludes UCITS/AIFMD firms conducting MiFID activities or services.
The exercise includes firms authorised by competent authorities in their home jurisdiction, excluding those operating through an outward MiFID passport.
Firms that participated in the first data collection are invited to resubmit the updated templates.

Data should be submitted on a solo basis.
If consolidated data is required, two sets of templates must be submitted: one for solo and one for consolidated (with a clear identification in Row B.5).

The reference dates are 31 December 2015 and 31 December 2016.
If data is not available for these dates, another appropriate date may be used, and this should be indicated in the "General_Information" sheet.
Foreign exchange reference rates for these dates are provided, and they should be sourced from the ECB website.

The data collection should be completed on a best effort basis.
If data is not available, it should be marked as 'not available' in the designated cells, not as zero.
Decimal separator should be a dot (.).
Data should be entered only in orange cells, with comments provided in green cells.
Consistent reporting currency, unit, and scope of consolidation must be used throughout the template.

Templates and instructions are available on the EBA website.
Institutions should submit completed templates to their national competent authority, which will forward them to the EBA.
The EBA and national competent authorities will perform data quality checks.
If additional clarification is needed, it will be communicated through the national competent authority.

06 July 2017: Publication and distribution of the final QIS templates and instructions.
03 August 2017: Deadline for investment firms to submit the completed templates to their national competent authorities.

B.1: Reporting currency (from a drop-down menu).
B.2: Reporting unit (ones, thousands, or millions).
B.3/B.4: Reference date (dd/mm/yyyy) for the data.
B.5: Scope of consolidation (solo or consolidated, with clear identification).

A.1: Total assets (excluding AUM, including client money and financial instruments).
A.2: Trading book business (on- and off-balance sheet, excluding credit derivatives).
A.3: Total gross revenues (according to applicable accounting framework).
A.4: Assets under management (AUM) – breakdown into discretionary and advisory services.
A.5: Assets safeguarded and administered (ASA) – including safe custody assets.
A.6: Investment advisory fees (GIA) – excluding fees from AUM and third-party transactions.
A.7: Market risk requirements (NPR) – based on CRR or equivalent rules.
A.8: Client money held (CMH) – total amount held for clients, including both MiFID and non-MiFID activities.
A.9: Counterparty credit risk requirements (TCD) – based on CRR or equivalent rules.
A.10: Exposure value subject to counterparty credit risk – breakdown into credit institutions/investment firms and others.
A.11: Concentration risk requirements (CON) – based on Article 397 of the CRR.

B.1: Own funds capital (Tier 1 and Tier 2).
B.2: Net assets (less intangibles) – only if B.1 is not available.
B.3: Operational risk requirements – based on CRR or equivalent rules.
B.4: Total Pillar 1 capital requirements – 8% of total risk exposures.
B.5: Total capital requirements (Pillar 1 and Pillar 2) – including any Pillar 2 add-ons.
B.6: Fixed overhead requirements (FOR) – one quarter of the preceding year's fixed overheads.
B.7: Initial capital – minimum capital requested for authorisation (from a drop-down menu).

C.1: High quality liquid assets (HQLA) – valued at market prices and reduced by haircuts.
C.2: Cash and cash at banks – breakdown into encumbered and unencumbered parts.
C.3: Total amount of guarantees provided to customers – average and maximum amounts for 2015 and 2016.

D.1: Customer orders executed (COE) – executed in the client’s name (cash market and derivatives).
D.2: Daily trading flow (DTF) – executed in the firm’s name (only for trading firms).
D.3: Gross notional amount of full portfolio – own account positions (cash market and derivatives).

The data collection aims to support the calibration and impact assessment of the new prudential regime.
Templates are available on the EBA website.
The reporting currency and unit must be consistent throughout the template.
K-factors are used to calculate capital requirements based on risk categories.
The deadline for submission is 03 August 2017.
The data should be submitted on a best effort basis, with clear indication of missing data.
Comments should be provided in designated green cells.
Exchange rates for conversion to EUR are provided for the reference dates.