EBA欧洲银行-EBA-Data-Instructions-for-Commodity-Derivatives-Firms_19页_397kb

报告摘要

Summary of EBA Data Collection Exercise on the Revision of Prudential Framework for Investment Firms

1. Introduction

The European Banking Authority (EBA) is conducting a data collection exercise to support the European Commission in reviewing the prudential framework for investment firms, particularly focusing on commodity derivatives firms. The purpose of the exercise is to assess whether the current prudential requirements under the Capital Requirements Regulation (CRR) and Directive 2013/36/EU (CRD) are appropriate for these firms.

The data collection aims to inform the Commission on three key aspects:

The appropriate prudential regime for commodities derivatives firms.
Whether the liquidity coverage ratio (LCR) should apply to investment firms.
The suitable prudential supervision regime for local firms and those not holding client money that perform a combination of MiFID services.

The EBA has previously issued a report in 2015, which suggested a new categorisation of investment firms into three groups: systemic and bank-like firms, non-systemic firms, and very small firms with non-interconnected services. The current exercise seeks to further explore these recommendations, especially in the context of commodity derivatives firms.

2. General Information

2.1 Scope of the Exercise

The exercise targets commodity derivatives firms, including those not currently subject to MiFID I.
It excludes firms operating in a Member State through outward MiFID passport.
Data from similar exercises for MiFID investment firms and UCITS/AIFMD firms is available on the EBA website.

2.2 Consolidation Level

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.
The consolidated data should be clearly identified (e.g., with “Consolidated” in the firm name).

2.3 Reporting Date

The reference date is 31 December 2015.
If another date is used due to data unavailability, it must be indicated in the "General_Information" sheet.
Foreign exchange reference rates for that date are provided, with the option to use alternative rates if necessary.

2.4 Filling in the Data

The data collection should be completed on a best-efforts basis.
If data is not available, the cell should be marked as "not available".
Decimal separator should be a dot (.) and not a comma (,).
Answers must be provided in dedicated orange cells, with comments in green cells.
Consistent use of reporting currency, unit, and scope of consolidation is required across all sheets.

2.5 Process

Templates and instructions are available on the EBA website and circulated to competent authorities.
Questions or comments should be directed to the national competent authority or directly to the EBA.
Completed templates must be submitted to the national competent authority, which will forward them to the EBA.
Firms not currently regulated can submit data directly to the EBA.
Data quality checks will be conducted by the EBA and national authorities, with possible requests for clarification or adjustment.

2.6 Timeline

20 December 2016: Publication and distribution of final QIS templates and instructions.
20 February 2017: Deadline for commodity derivatives firms to submit data.
27 February 2017: National competent authorities perform quality checks and forward templates to the EBA.

3. Specific Instructions

3.1 Part 1: "General Information"

A.1 – Firm name: Provide the full name.
A.1.1 – Legal Entity Identifier (LEI): Indicate if the firm has a LEI.
A.2 – Country Code: Select from a drop-down menu.
A.3 – Group structure: Indicate if the firm is a single legal entity.
A.4 – Banking group: Indicate if the firm is part of a banking group and provide total assets and whether it is the parent.
A.5 – Investment firm group: Indicate if the firm is part of an investment firm group and provide total assets and whether it is the parent.
A.6 – G-SII or O-SII group: Indicate if the firm is part of a global or other systemically important institution group.
A.7 – Non-financial group: Indicate if the firm is part of a non-financial group.
A.8 – Other regulated business: Indicate if the firm is part of a group with other regulated activities.
A.9 – MiFID authorisation: Indicate if the firm is authorised to provide MiFID services.
A.10 – Exemptions under MiFID: Indicate if the firm is currently using exemptions.
A.11 – Outward MiFID passport: Indicate if the firm exercises passporting rights in other EU jurisdictions.
A.12 – Legal status: Indicate if the firm is private, public, listed, or non-listed.

3.2 Part 2: "Financial Information"

Firms may submit either audited financial statements or regulatory reporting files.
Certain financial variables apply only to MiFID investment firms with a balance sheet exceeding EUR 1 billion.
Balance sheet aggregates should be reported as of 31 December 2015.
Assets under management/advice/safekeeping should be reported for MiFID firms.
Client money and financial instruments are to be reported, with a note on how they are accounted for.
Profit/loss aggregates and trading activity are to be reported, with specific instructions on categorisation and valuation.
Transaction data and contracts should be reported for 31 March 2016, with breakdowns by commodity class and type of transaction.

3.3 Part 3: "Solvency"

This section focuses on minimum capital requirements.
Professional indemnity insurance usage and maximum coverage are to be indicated.

3.4 Part 4: "Liquidity"

Details on liquidity requirements are to be provided, including initial margin and open positions.

3.5 Part 5: "Large Exposures"

This section collects information on large exposures, including thresholds and regulatory capital implications.

4. Key Information

The exercise is part of a broader effort to revise the prudential framework for investment firms.
The data collection is designed to minimise burden on firms, using a limited set of variables.
Confidentiality is ensured through strict data handling protocols.
Commodity derivatives firms are defined based on MiFID I and II criteria, including whether they are currently regulated or may be subject to new requirements.
The data is to be submitted in EUR using a consistent reporting unit (one, thousands, or millions).
The EBA and national authorities will conduct quality checks and may request additional information or adjustments.