2018年-ECB欧洲央行_Guidance_notes_to_reporting_agents_on_SHS_regulation_66页_1mb

Summary of SHS Regulation Guidance Notes for Reporting Agents

1. Overview

This document provides guidance on the amended SHSG (Securities Holdings Statistics by Reporting Banking Groups) data reporting requirements under the SHS Regulation (Regulation (EU) No 1011/2012). The amendments were adopted by the ECB Governing Council in August 2016 and are effective from the reference period ending September 2018. The purpose of the amendments is to enhance the quality and comprehensiveness of the data collected on securities holdings by reporting banking groups, particularly by including additional attributes related to accounting and risk.

The SHSG data collection applies to all significant banking groups under ECB supervision, following the prudential consolidation scope defined in the CRR (Capital Requirements Regulation). Reporting is conducted on a quarterly basis, with data provided to the relevant NCB (National Central Bank) for transmission to the SHSDB (Securities Holdings Statistics Database). The NCBs determine the timeliness of data submission to meet the SHSDB deadlines.

2. Scope of SHSG Data Collection

• Banking group definition: Follows the prudential consolidation scope under the CRR. This includes all domestic and foreign financial entities of the group.
• Exclusions:
  • Holdings of insurance undertakings are not included, as they are not part of the prudential scope.
  • Securities held in custody for third parties are also excluded.
• Central reporting by the head of the group: All security holdings of the banking group must be reported centrally by the head of the group (home approach), which is defined as the entity established in a euro area country.
• Reporting of branches: Branches are reported together with their related legal entity (subsidiary) as single holding information. If a branch is not a significant supervised branch, it is not reported separately.

3. Instrument Categories Covered

The following instrument categories are included in the SHSG reporting:

• Debt securities (F.31 and F.32):
  • F.31: Short-term debt securities (original maturity ≤ 1 year).
  • F.32: Long-term debt securities (original maturity > 1 year or no stated maturity).
  • Characteristics include issue date, issue price, redemption date, coupon rate, and currency denomination.
• Equity (F.51):
  • Sub-categorized into listed shares (F.511), unlisted shares (F.512), and other equity (F.519).
• Investment fund shares or units (F.52):
  • Sub-categorized into money market fund (MMF) shares (F.521) and non-MMF investment fund shares (F.522).

4. General Reporting Requirements

4.1 Frequency and Timeliness

• Quarterly reporting: Group data reporting agents must provide security-by-security data on the end-quarter positions.
• Timeliness: Determined by the NCBs to ensure data is transmitted to SHSDB in a timely manner, as per ECB Guideline.

4.2 Level of Reporting

• Group level: Data is aggregated for the banking group as a whole, for attributes uniquely defined at the group level.
• Entity level: Data is reported for each individual legal entity (head and subsidiaries) for attributes that are specific to the entity.
• Significant supervised branches: Must be reported separately if they are located in non-participating Member States.

4.3 Accounting Rules

• Harmonised accounting and risk principles: Group accounting policies should be applied, preferably in accordance with IFRS or national GAAP.
• Consolidated statements: Used to generate the SHSG data, with the group approach being the primary basis.
• Intra-group holdings: Must be reported on a gross basis, without netting. "Own" holdings are included if they are effectively issued or if they are used for market operations.
• Retained securitisations: Covered bonds and similar assets must be reported in accordance with the economic ownership principle.
• Repurchase transactions: Must be reported as holdings by the original owner, not the temporary holder.
• Negative holdings: Reported in the case of reverse repos or short selling, but accounting and risk attributes may be omitted for "pure" short positions.

5. Reported Attributes

The SHSG data reporting includes the following main components:

• Holder reference information:

  • Basic data for each legal entity in the banking group.
  • Encourages the use of identifiers consistent with AnaCredit for interlinkage with other datasets.

• Holdings of ISIN and non-ISIN securities:

  • Group level attributes: Include information that applies to the group as a whole.
  • Entity level attributes: Include details specific to each legal entity (head and subsidiaries).
  • Non-ISIN securities: Additional attributes for instrument and issuer references are required.

Overall, the data collection focuses on providing detailed accounting and risk-related attributes, ensuring consistency and comparability across the banking sector.